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Quantitative Finance, Mathematical Finance, Financial Economics, Market Microstructure, Application of Stochastic Control, Application of Game Theory, Machine Learning and its Application
Japan

Activities

Employment (3)

Tokyo University of Science: Tokyo, JP

2023-04-01 to present | Assistant Professor (Department of Industrial and Systems Engineering)
Employment
Source: Self-asserted source
Makoto Shimoshimizu

Tokyo Metropolitan University: Tokyo, JP

2020-10-01 to 2023-03-31 | Assistant Professor (Department of Management)
Employment
Source: Self-asserted source
Makoto Shimoshimizu

JSPS: Tokyo, JP

2019-04-01 to 2020-09-30 | Research Fellow
Employment
Source: Self-asserted source
Makoto Shimoshimizu

Education and qualifications (3)

Osaka University: Osaka, JP

2018-04-01 to 2021-03-24 | Ph. D. (Graduate School of Economics)
Education
Source: Self-asserted source
Makoto Shimoshimizu

Osaka University: Osaka, JP

2017-04-01 to 2018-03-22 | M. A. (Graduate School of Ecomonics)
Education
Source: Self-asserted source
Makoto Shimoshimizu

Osaka University: Osaka, JP

2013-04-01 to 2017-03-22 | B. A. (School of Economics)
Education
Source: Self-asserted source
Makoto Shimoshimizu

Professional activities (3)

Japanese Association of Financial Economics and Engineering: Tokyo, JP

2022-08-19 | JAFEE young scientist best paper award 2021
Distinction
Source: Self-asserted source
Makoto Shimoshimizu

International Journal of Theoretical and Applied Finance: Singapore, SG

2022-03-23 | Selected as one of the featured papers for 25th anniversary of IJTAF
Distinction
Source: Self-asserted source
Makoto Shimoshimizu

Japanese Association of Financial Econometrics and Engineering: Tokyo, JP

2020-08-29 | Best presentation award for young researchers (JAFEE Conference Competition at 54th JAFEE Conference)
Distinction
Source: Self-asserted source
Makoto Shimoshimizu

Funding (1)

An Application of Stochastic Dynamic Programing to Various Problems in Market Microstructure

2021-04-01 to 2024-03-31 | Grant
Japan Society for the Promotion of Science (Tokyo, JP)
GRANT_NUMBER: 21K13325
Source: Self-asserted source
Makoto Shimoshimizu via DimensionsWizard

Works (6)

Trade execution games in a Markovian environment

arXiv
2024 | Other
EID:

2-s2.0-85194204459

Part of ISSN: 23318422
Contributors: Ohnishi, M.; Shimoshimizu, M.
Source: Self-asserted source
Makoto Shimoshimizu via Scopus - Elsevier

Total discounted cash flow with Poisson arrivals

SSRN
2024-10-15 | Journal article
Contributors: Yuto Kitamura; Yuta Kudo; Makoto Shimoshimizu; Makoto Goto
Source: Self-asserted source
Makoto Shimoshimizu

Introduction to Optimal Execution

Intelligent Systems Reference Library
2024-08-28 | Book chapter
Part of ISBN: 9783031610363
Part of ISBN: 9783031610370
Part of ISSN: 1868-4394
Part of ISSN: 1868-4408
Contributors: Makoto Shimoshimizu
Source: Self-asserted source
Makoto Shimoshimizu

Optimal Pair–Trade Execution with Generalized Cross–Impact

Asia-Pacific Financial Markets
2022 | Journal article
EID:

2-s2.0-85114188837

Part of ISSN: 15736946 13872834
Contributors: Ohnishi, M.; Shimoshimizu, M.
Source: Self-asserted source
Makoto Shimoshimizu via Scopus - Elsevier
grade
Preferred source (of 2)‎

Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders

International Journal of Theoretical and Applied Finance
2021 | Journal article
EID:

2-s2.0-85112462506

Part of ISSN: 02190249
Contributors: Fukasawa, M.; Ohnishi, M.; Shimoshimizu, M.
Source: Self-asserted source
Makoto Shimoshimizu via Scopus - Elsevier

Optimal and equilibrium execution strategies with generalized price impact

Quantitative Finance
2020 | Journal article
EID:

2-s2.0-85085291202

Part of ISSN: 14697696 14697688
Contributors: Ohnishi, M.; Shimoshimizu, M.
Source: Self-asserted source
Makoto Shimoshimizu via Scopus - Elsevier

Peer review (1 review for 1 publication/grant)

Review activity for Annals of operation research. (1)