博士

修士

出版者・発行元：Nanzan Daigaku Keiei Gakkai  

This paper provides a brief review of Ikuta's integrated theory, delving into optimal stopping problems associated with asset selling and buying. His focus is on four types of decision-making problems that stem from determining whether the buyer or the seller proposes the transaction price in both asset selling and buying problems. Ikuta's exploration originates from his inquiries into the seemingly intuitive symmetrical and analogous relationships within the four types selling and buying problems. Notably, Ikuta uncovers that these relationships are not always straightforward. Furthermore, Ikuta introduces novel elements, including Quitting Penalty and Search-skipping Possibility. This results in the discovery of unique optimal decision rules customized for various asset trading models, successfully addressing aspects that are concealed from conventional analytic frameworks in optimal stopping problems. Specifically, these rules identify the Optimal Initiation Time for conducting search activities. Recognizing its potential impact on existing research, this paper aims to outline the key aspects of Ikuta's integrated theory and share insights derived from his study. In concluding remarks, the review suggests a prospective application of Ikuta's research to American options.

出版者・発行元：MDPI  

This study investigates the optimal and non-optimal parameter values of the MACD (Moving
Average Convergence Divergence) technical analysis indicator for three major stock market index futures: the Nikkei 225, the Dow Jones, and the Nasdaq. Using a recently developed methodology, it reveals the existence of specific ranges of optimal and non-optimal values for each of the three parameters of the MACD indicator in these indices. Sample models employing the optimal parameter values in the three index futures generated significantly higher returns, outperforming both a non-technical buy-and-hold strategy and a random strategy that did not incorporate any market information. This discovery suggests that the three market indices may not be weak-form efficient. Therefore, this study contributes to the research on market efficiency by verifying inefficiency using a new approach. The highlight of this study is identifying that the ranges of optimal parameter values for the three indices are different from each other, but the optimal parameter value combinations for each of the three indices share a unique characteristic form. This issue and its finding have not been explored in the existing literature. Several interesting findings and valuable insights for market
participants and researchers arise from this study. The new methodology is unique in finding optimal and non-optimal parameter values through the analysis of parameter sets used in well-performing and poorly performing sample models. Its validity and reliability have been confirmed by this study, making a useful contribution to the field of technical analysis research, particularly in parameter optimization insight.

出版者・発行元：Sciedu Press  

This paper explores: (1) what parameter values are most often used to optimize the Moving Average Convergence Divergence (MACD) trading system for the Japanese Nikkei 225 futures market; and, (2) the characteristics of good performing models with the optimized parameter values. To accomplish this purpose, this paper presents a new methodology to find the three optimal parameter values of the MACD trading system; this approach systematically examines specific ranges of optimal parameter values. Evidence from the Japanese futures market demonstrates the validity of this new methodological approach. From this, we find that for the Japanese market the technical trading system is most often optimized by three parameter values within three specific ranges over the last 11 years (2011 2021). These optimal value combinations have a unique characteristic form. These findings give insightful and broader perspectives about the market. This issue, methodology and the results have not been discussed in the existing literature. This paper also considers how the models with optimal parameter values performed during the pandemic period (2020 2021).

出版者・発行元：MDPI (Basel, Switzerland)  

Much research has examined performance or market efficiency by using the moving average convergence divergence (MACD) technical analysis tool. However, most tests fail to verify efficiency with the traditional parameter settings of 12, 26, and 9 days. This study confirms that applying the traditional model to Japan’s Nikkei 225 futures prices produces negative performance over the period of 2011–2019. Yet, it also finds that the MACD tool can earn significant positive returns when it uses optimized parameter values. This suggests that the Japanese market is not weak-form efficient in the sense that futures prices do not reflect all public information. Hence, the three parameters values of the MACD tool should be optimized for each market and this should take precedence over finding other strategies to reduce false trade signals. This study also tests which models are able to improve profitability by applying additional criteria to avoid false trade signals. From simulations using 19,456 different MACD models, we find that the number of models with improved performance resulting from these strategies is far greater for models with opti-mized parameter values than for models with non-optimized values. This approach has not been discussed in the existing literature.

出版者・発行元：南山経営学会  

テクニカル分析ツールのひとつであるMACD (移動平均収束拡散法)は生成される売買シグナルが３つのパラメータの値に依存する。そのため、そのパラメータに設定する値が結果を左右する。ところが、MACDを用いた先行研究例では従来からよく使われている値（12,26,9）を使用しているのが多く、パラメータの最適性に関しては殆ど注意を向けていない。本稿は、Nikkei 225 Futuresのデータ(2011-2019)を用いた19,456個のMACDモデルのトレーディング・シミュレーションの結果に基づき、同市場におけるMACDのパラメータの最適性に関する試験的な分析結果を示す。

総ページ数：230  

　「変化」と「不確実性」はビジネスに付き物である．それ故，それらを扱えるツールやスキールは，ビジネスモデルを計画・実行・分析する者にとって欠かせない．本書では，不確実性が問題の中心要素であり，それによって起こり得るすべての結果に対する検討が必要な問題を扱う．そして，そのような問題の解決に有効でありかつ重要なツールとして，モンテカルロ法を用いたシミュレーション（Monte　Carlo simulation）を取り上げ，その活用例を示す．基本的には実務への応用性を意識してい書いてあるが，シミュレーション結果の分析と扱う問題に対する理論的な解説にも重点を置いてある．本は８章構成となっており，各章は小論文形式で書かれている．

European Journal of Operational Research

2007年度南山学会第２回経営系列の研究例会にて「ある商店街の現状と打開策について」という題で発表

European Journal of Operational Research

European Journal of Operational Research

南山大学経営研究センター主催の「最適停止問題ワークショップ」を開催し、研究発表を行った。