Statistical modeling, Financial and economic time series analysis, Investment and risk management, Empirical analysis on financial crises and asset bubbles
Tanokura, Y., Sato, S. and Kitagawa, G. (2019), Detecting Information Flows in Dominant Components of Stock Market Returns, MIMS-RBP Statistics & Data Science Series, Meiji University, SDS-13, 21 pages.
Shimazaku, Y., Nakamura K. and Tanokura, Y. (2018), Analysis of Exchange Rates and Gold Price Using Relative Noise Contribution, the proceedings of the 49th ISCIE International Symposium on Stochatic Systems Theory and Applications, Vol. 2018, pp 142-146.
Kariya, T., Tanokura, Y., Takada, H. and Yamamura, Y. (2016), Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector, Asia-Pacific Financial Markets, Volume 23, Issue 3, pp 229-262, DOI 10.1007/s10690-016-9217-7.
Tanokura, Y. and Kitagawa, G. (2015), Indexation and Causation of Financial Markets –Nonstationary Time Series Analysis Method-, Springer Series in Statistics, Springer Tokyo.
Kariya, T., Yamamura, Y., Tanokura, Y. and Wang, Z. (2015), Credit Risk Analysis on Euro Government Bonds - Term Structures of Default Probabilities, Asia-Pacific Financial Markets, Volume 22, Issue 4, pp 397-427, DOI 10.1007/s10690-015-9202-6.
Received the best paper award of the JAFEE.
Tanokura, Y., Tsuda, H., Sato, S. and Kitagawa, G. (2013), Index Development for a Market with Heavy-tailed Distributions, The proceedings of the 59th International Statistical Institute World Statistics Congress, Hong Kong, pp 3469-3474.
Tanokura, Y., Tsuda, H., Sato, S. and Kitagawa, G. (2013), Detecting Spillover Effects of Financial Crises by Time Series Analysis, Monthly Journal Statistics, June 2013, Japan Statistical Association, pp 15-20 (in Japanese).
Tanokura, Y., Tsuda, H., Sato, S. and Kitagawa, G. (2012), Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis, in: Bell, W. R., Holan , S. H. and McElroy, T. S. (eds.), Economic Time Series: Modeling and Seasonality, Chapman & Hall/CRC, pp 359-380.
Tanokura, Y. (2006), Detection of the international sector co-movements, Japanese Association of Financial Econometrics and Engineering Journal – Econometrics on financial engineering and security markets 2006, Toyokeizai sinposha, Tokyo, pp 155-178 (in Japanese).
Tanokura, Y. and Kitagawa, G. (2004), Power contribution analysis for multivariate time series with correlated noise sources, Advances and Applications in Statistics, 4, pp 65-95.
Tanokura, Y. and Kitagawa, G. (2004), Modeling influential correlated noise sources in multivariate dynamic systems, in: Hamza, M. H. (ed.), The 15th IASTED International Conference on Modelling and Simulation, ACTA Press, Marina del Rey, CA, USA, pp 19-24.
Tanokura, Y. and Kitagawa, G. (2003), Discovery of information flow in multivariate dynamic systems, in: Chu , W. (ed.), The 2nd IASTED International Conference on Information and Knowledge Sharing, ACTA Press, Scottsdale, AZ, USA, pp 132-137.
May 2019: "Statistical Modeling of Financial Markets" (keynote speech), at the international conference on Finance, accounting and Management Decisions, in Taiwan.
Feburary 2019: "On the Trend Change Factors of Financial Markets", at the International Conference on Mathematical Modeling and Applications (ICMMA 2018): Data Science,Time Series Modeling and Applications, Meiji University, Nakano, Tokyo.
November 2013: “Sovereign Credit Risk Analysis through Statistical Modeling”, in the International Conference on Mathematical Modeling and Applications (ICMMA 2013), Meiji University, Nakano, Tokyo.
July 2012: “Sovereign Risk Trend in terms of Price Distribution Dependent CDS Index”, in the International Financial Market Forum: Global Market Solutions 2012, Belle Salle Yaesu, Tokyo.
Ph. D. received in 2004: Doctoral course, Department of Statistical Science, School of Multidisciplinary Science, the Graduate School for Advanced Studies. Doctral Thesis: Generalization of Akaike's Power Contribution.
Master of Science in Mathematics received in 1988: Master’s course at Graduate School of Science and Engineering, Waseda University.
Bachelor of Science in Mathematics received in 1984: Department of Mathematics, School of Education, Waseda University.
Employment and Business Performance
April 2012 - current: Associate professor, Graduate School of Advanced Mathematical Sciences, Meiji University
April 2011 - March 2012: Visiting researcher, the Institute of Statistical Mathematics
May 2009 - March 2011: Project researcher, the Institute of Statistical Mathematics
March 2008 - December 2008: Quantitative analyst, Consulting, Russell Investments Japan Co., Ltd.
July 2007 - February 2008: Quantitative analyst, Global Fixed Income, Barclays Global Investors Japan Limited
October 2004 - June 2007: Project researcher, the Institute of Statistical Mathematics
December 1999 - December 2000: Consultant, Research department, Merrill Lynch Japan Inc.
September 1994 - January 1998: Quantitative analyst, Research department, Smith Barney International Inc.
Ranked the seventh (1996) and the tenth (1997) of the quantitative analyst in the Nikkei pools
August 1992 - July 1994: Quantitative analyst, Research department, Barclays de Zoete Wedd Securities Limited
Ranked the first of the quantitative analysis with Nizam Hamid in the Greenwich Survey (1993 and 1994)
July 1990 - August 1992: Junior quantitative analyst, Research department, UBS Phillips and Drew Int’l Limited
January 1990 - June 1990: Accounting executive, Foreign exchange, Merrill Lynch Japan Incorporated
March 1988 - December 1989: Option dealer, Global currency options, Banque Indosuez