Personnel Information

写真a

SUZUKI Kiyoshi


Title

Specially appointed professor

Field

Field of Data Science

Homepage URL

https://researchmap.jp/20AbbeyRoad

Research Interests 【 display / non-display

  • Stochastic Control

  • Financial Engineering

  • Portfolio Selection Problem

  • Quantitative strategy

  • Finance

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Graduating School 【 display / non-display

  • The University of Tokyo, Faculty of Science

    University, 1989.03, Graduated, Japan

Graduate School 【 display / non-display

  • The University of Tokyo, Graduate School, Division of Science

    Master's Course, 1991.03, Completed, Japan

  • Hitotsubashi University, Graduate School, Division of Business Administration

    Doctor's Course, 2021.09, Completed, Japan

Degree 【 display / non-display

  • Ph. D. in Finance, Humanities & Social Sciences / Money and finance, Hitotsubashi University, Coursework, 2021.09

Campus Career 【 display / non-display

  • Shiga University Data Science and AI Innovation Research Promotion Center,Specially appointed professor, 2023.08 - Now

External Career 【 display / non-display

  • Nomura Research Institute Corporate Research Department, Analyst, 1991.04 - 1993.06

  • Nomura Research Institute Financial Technology Research Department, 1993.07 - 1994.12

  • Nomura Research Institute Investment Research Department, 1994.12 - 1995.11

  • Nomura Trust Bank, Tokyo Deposit and FX Market Department, Foreign Exchange Dealing Division, FX Forward and Option Dealing Desk, 1995.12 - 1997.05

  • Nomura Securities Inc. Financial Engineering Research Center, 1997.06 - 2006.06

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Association Memberships 【 display / non-display

  • The Securities Analysts Association of Japan, 1995.04 - Now

  • NIPPON FINANCE ASSOCIATION, 2011.04 - Now

  • The Japanese Association of Financial Econometrics and Engineering (JAFEE), 2011.04 - Now

Research Areas 【 display / non-display

  • Financial Engineering

  • Financial Econometrics

  • Optimization

  • Financial Risk Management

Qualification acquired 【 display / non-display

  • Securities Analyst

  • Software Design & Development Engineer/Information Processing Engineer, Class 1

  • Registered FSA (Financial Services Agency, the United Kingdom)

 

Papers 【 display / non-display

  • Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach, Mathematics of Operations Research, vol.46 (1) (p.336 - 360) , 2021.02, Kiyoshi Suzuki

    DOI:10.1287/moor.2020.1059, Research paper (scientific journal), Single Author

    Authorship:Lead author, Last author, Corresponding author  

  • Optimal pair-trading strategy over long/short/square positions—empirical study, Quantitative Finance, vol.18 (1) (p.97 - 119) , 2018.01, Kiyoshi Suzuki

    DOI:10.1080/14697688.2017.1346277, Research paper (scientific journal), Single Author

    Authorship:Lead author, Last author, Corresponding author  

  • Optimal switching strategy of a mean-reverting asset over multiple regimes, Automatica, vol.67 (p.33 - 45) , 2016.05, Kiyoshi Suzuki

    DOI:10.1016/j.automatica.2015.12.023, Research paper (scientific journal), Single Author

    Authorship:Lead author, Last author, Corresponding author  

  • The well-posed solution to the optimal portfolio problem, 2015.06, Kiyoshi Suzuki

    Research paper (scientific journal), Single Author

    Authorship:Lead author  

  • Convertible Bond Market Trend (3), GEKKAN SHIHONSHIJYOU (2005/01) (233) (p.43 - 62) , 2005.01, Kiyoshi Suzuki

    Research paper (scientific journal), Single Author

    Authorship:Lead author, Last author, Corresponding author  

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Books 【 display / non-display

  • KABUSHIKIUNYOUTOTOUSHISENRYAKU KABUSHIKI portfolio UNYOUNO RIRONTO JITSUMU (Japanese), KINZAI, 2002.10, Yasuyuki Kato, Kiyoshi Suzuki, Tomonori Uchiyama, et al.

    ,Chapter 10: Convertible Bond Investment, Joint author

  • Financial Engineering Dictionary, TOYO-KEIZAI SHINPOSYA, 2001.09, Nomura Securities Financial Research Center

    ,Corresponding Editor, Joint editor

Review Papers 【 display / non-display

  • Sell-off of the stock index futures under its theoretical price, Osaka Stock Exchange, Futures and Options Report, 2002/11(Vol.14 No.11), vol.14 (11) , 2002.11, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

    Authorship:Lead author  

  • Visualization of the stock index futures market (1): Data from the fundamental macro to the market micro-structure, Osaka Stock Exchange, Futures and Options Report, 2003/02(Vol.15 No.2), 2003.02, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

    Authorship:Lead author  

  • Visualization of the stock index futures market (2): Data from the fundamental macro to the market micro-structure, Osaka Stock Exchange, Futures and Options Report, 2003/03(Vol.15 No.3), vol.15 (3) , 2003.03, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

    Authorship:Lead author  

  • Visualization of the stock index futures market (3): Data from the fundamental macro to the market micro-structure, Osaka Stock Exchange, Futures and Options Report, 2003/04(Vol.15 No.4), vol.15 (4) , 2003.04, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

    Authorship:Lead author  

  • Nikkei 225 Options Gamma-short strategy (1) : Hedge simulation with intraday data, Osaka Stock Exchange, Futures and Options Report, 2005/01(Vol.17 No.1), 2005.01, Kiyoshi Suzuki

    Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media), Single Author

    Authorship:Lead author  

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Artistic and sporting activities 【 display / non-display

  • [System]: Core deposit management system, 2018.05

    Software

  • [System]: Equity portfolio optimization system, 1998.05

    Software

Presentations 【 display / non-display

  • JAFEE 2021 winter conference, , 2022.02,2022.02.19, A Viscosity Solution as a Piecewise Classical Solution to an Optimal Switching and Free Boundary Problem with Simultaneous Multiple Switches, Oral presentation (general)

  • NIPPON FINANCE ASSOCIATION 23rd Conference (2015), , 2015.06,2015.06.07, The well-posed solution to the optimal portfolio problem, Oral presentation (general)

  • , 2012.10,2012.10.04, Optimal switching strategy of a mean-reverting asset over multiple regimes, Oral presentation (invited, special)

  • NIPPON FINANCE ASSOCIATION 20th Conference (2012), , 2012.05,2012.05.26, Optimal switching strategy of a mean-reverting asset over multiple regimes, Oral presentation (general)

  • Kyoto University Applied Financial Engineering Symposium, International presentation, 2004.03,2004.03.12, Optimal tracking for asset allocation with fixed and proportional transaction costs, Public lecture, seminar, tutorial, course, or other speech

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Committee Memberships 【 display / non-display

  • Automatica (IFAC, the International Federation of Automatic Control), Peer-reviewer, 2021.10 - 2021.12

 
 
 

Media Coverage 【 display / non-display