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Papers by Daisuke YOKOUCHI

Kritzman and Li (2010) introduced the turbulence index (TI) based on the Mahalanobis distance for... more Kritzman and Li (2010) introduced the turbulence index (TI) based on the Mahalanobis distance for capturing the degree of multivariate asset price “unusualness” over time. We consider adding a sign to the unusualness indicator to detect change points toward both bull and bear markets. We find that unusualness is driven by government bonds when TI is extended to vector autoregression-based TI (VTI) to eliminate autocorrelation structure and introduce signed VTI (SVTI) based on this finding. Our simulation with simple dynamic asset allocation strategies using the TI, SVTI, and a static counterpart suggests that SVTI could enhance performance compared with the other portfolios.

The Japanese Journal of Real Estate Sciences, 2020

This paper focused on a method of data cleansing for used condominium database that is open to th... more This paper focused on a method of data cleansing for used condominium database that is open to the public by the Ministry of Land, Infrastructure, Transport and Tourism. By identifying and removing error records, which are not transaction outliers, it enables us to analyze this dataset appropriately. In this study, we proposed two methods to deal with serious error, that is suspect of "Fat finger error". In addition, as a result of noise removal, the analysis results using the hedonic model have improved significantly.

Asia-Pacific Financial Markets, 2018

This study proposes a new method for creating an index-tracking portfolio using time series decom... more This study proposes a new method for creating an index-tracking portfolio using time series decomposition. First, we construct index-tracking portfolios of stocks chosen because their price movements mimic that of the Dow-Jones Industrial Average. Our method utilizes similarities of constituent stocks to the benchmark that are assessed by distances of time series trends derived from decomposing original series. Although the portfolios chosen by our method reasonably tracked the performance of the benchmark, they did not surpass the clustering approach discussed in earlier studies. Therefore, we examined what causes tracking error and found that two causes for deficiencies in our similarity-based method, which are unintended irregular movements of holding stocks and highly correlated relationships within stocks in the portfolio. To overcome them and to improve tracking performance, we propose a similarity-balanced approach that is another index-tracking method with alternate use of similarity. Doing so improved the tracking performance by avoiding the problem of high correlation among the stocks chosen under the initial method.

Mathematical Methods of Operations Research, 2008

In recent years, a large number of research papers and monographs on the analysis of hedge fund r... more In recent years, a large number of research papers and monographs on the analysis of hedge fund returns have been published. Typically, the authors of these studies implicitly or explicitly treat monthly returns of hedge funds as independent and identically distributed observations. The Hedge Fund Index might be able to serve that role. But the returns of an individual hedge fund are not like that. They behave autoregressively depending on the time periods. This stochastic behavior should be modeled as a combined/regime switching stochastic process of two processes: i.i.d. process and autoregressive process. This paper first depicts the autoregressiveness of hedge fund returns. Then we introduce our statistical model for returns of an individual hedge fund and then, with our retrospective view, we perform several data analyses for individual hedge funds' return data.

Glycoconjugate Journal, 2012

In this study, we purified and characterized the β-xylosidase involved in the turnover of plant c... more In this study, we purified and characterized the β-xylosidase involved in the turnover of plant complex type N-glycans to homogeneity from mature red tomatoes. Purified β-xylosidase (β-Xyl'ase Le-1) gave a single band with molecular masses of 67 kDa on SDS-PAGE under a reducing condition and 60 kDa on gelfiltration, indicating that β-Xyl'ase Le-1 has a monomeric structure in plant cells. The N-terminal amino acid could not be identified owing to a chemical modification. When pyridylaminated (PA-) N-glycans were used as substrates, β-Xyl'ase Le-1 showed optimum activity at about pH 5 at 40 °C, suggesting that the enzyme functions in a rather acidic circumstance such as in the vacuole or cell wall. β-Xyl'ase Le-1 hydrolyzed the β1-2 xylosyl residue from Man₁Xyl₁GlcNAc₂-PA, Man₁Xyl₁Fuc₁GlcNAc₂-PA, and Man₂Xyl₁Fuc₁GlcNAc₂-PA, but not that from Man₃Xyl₁GlcNAc₂-PA or Man₃Xyl₁Fuc₁GlcNAc₂-PA, indicating that the α1-3 arm mannosyl residue exerts significant steric hindrance for the access of β-Xyl'ase Le-1 to the xylosyl residue, whereas the α1-3 fucosyl residue exerts little effect. These results suggest that the release of the β1-2 xylosyl residue by β-Xyl'ase Le-1 occurs at least after the removal the α-1,3-mannosyl residue in the core trimannosyl unit.

Hitotsubashi journal of commerce and management, 2020

This paper proposes a new method to analyze time series data with regime shifts and makes the fol... more This paper proposes a new method to analyze time series data with regime shifts and makes the following three contributions: (1) it suggests an exponential weighted estimation algorithm for autoregressive model with time varying coefficients, (2) it gives a visualization technique of structural change points and an outlier measure based on the Mahalanobis distance and (3) it illustrates that our method works for hedge fund return data and high frequency FX data.

Kritzman and Li (2010) introduced the turbulence index (TI) based on the Mahalanobis distance for... more Kritzman and Li (2010) introduced the turbulence index (TI) based on the Mahalanobis distance for capturing the degree of multivariate asset price “unusualness” over time. We consider adding a sign to the unusualness indicator to detect change points toward both bull and bear markets. We find that unusualness is driven by government bonds when TI is extended to vector autoregression-based TI (VTI) to eliminate autocorrelation structure and introduce signed VTI (SVTI) based on this finding. Our simulation with simple dynamic asset allocation strategies using the TI, SVTI, and a static counterpart suggests that SVTI could enhance performance compared with the other portfolios.

The Japanese Journal of Real Estate Sciences, 2020

This paper focused on a method of data cleansing for used condominium database that is open to th... more This paper focused on a method of data cleansing for used condominium database that is open to the public by the Ministry of Land, Infrastructure, Transport and Tourism. By identifying and removing error records, which are not transaction outliers, it enables us to analyze this dataset appropriately. In this study, we proposed two methods to deal with serious error, that is suspect of "Fat finger error". In addition, as a result of noise removal, the analysis results using the hedonic model have improved significantly.

Asia-Pacific Financial Markets, 2018

This study proposes a new method for creating an index-tracking portfolio using time series decom... more This study proposes a new method for creating an index-tracking portfolio using time series decomposition. First, we construct index-tracking portfolios of stocks chosen because their price movements mimic that of the Dow-Jones Industrial Average. Our method utilizes similarities of constituent stocks to the benchmark that are assessed by distances of time series trends derived from decomposing original series. Although the portfolios chosen by our method reasonably tracked the performance of the benchmark, they did not surpass the clustering approach discussed in earlier studies. Therefore, we examined what causes tracking error and found that two causes for deficiencies in our similarity-based method, which are unintended irregular movements of holding stocks and highly correlated relationships within stocks in the portfolio. To overcome them and to improve tracking performance, we propose a similarity-balanced approach that is another index-tracking method with alternate use of similarity. Doing so improved the tracking performance by avoiding the problem of high correlation among the stocks chosen under the initial method.

Mathematical Methods of Operations Research, 2008

In recent years, a large number of research papers and monographs on the analysis of hedge fund r... more In recent years, a large number of research papers and monographs on the analysis of hedge fund returns have been published. Typically, the authors of these studies implicitly or explicitly treat monthly returns of hedge funds as independent and identically distributed observations. The Hedge Fund Index might be able to serve that role. But the returns of an individual hedge fund are not like that. They behave autoregressively depending on the time periods. This stochastic behavior should be modeled as a combined/regime switching stochastic process of two processes: i.i.d. process and autoregressive process. This paper first depicts the autoregressiveness of hedge fund returns. Then we introduce our statistical model for returns of an individual hedge fund and then, with our retrospective view, we perform several data analyses for individual hedge funds' return data.

Glycoconjugate Journal, 2012

In this study, we purified and characterized the β-xylosidase involved in the turnover of plant c... more In this study, we purified and characterized the β-xylosidase involved in the turnover of plant complex type N-glycans to homogeneity from mature red tomatoes. Purified β-xylosidase (β-Xyl'ase Le-1) gave a single band with molecular masses of 67 kDa on SDS-PAGE under a reducing condition and 60 kDa on gelfiltration, indicating that β-Xyl'ase Le-1 has a monomeric structure in plant cells. The N-terminal amino acid could not be identified owing to a chemical modification. When pyridylaminated (PA-) N-glycans were used as substrates, β-Xyl'ase Le-1 showed optimum activity at about pH 5 at 40 °C, suggesting that the enzyme functions in a rather acidic circumstance such as in the vacuole or cell wall. β-Xyl'ase Le-1 hydrolyzed the β1-2 xylosyl residue from Man₁Xyl₁GlcNAc₂-PA, Man₁Xyl₁Fuc₁GlcNAc₂-PA, and Man₂Xyl₁Fuc₁GlcNAc₂-PA, but not that from Man₃Xyl₁GlcNAc₂-PA or Man₃Xyl₁Fuc₁GlcNAc₂-PA, indicating that the α1-3 arm mannosyl residue exerts significant steric hindrance for the access of β-Xyl'ase Le-1 to the xylosyl residue, whereas the α1-3 fucosyl residue exerts little effect. These results suggest that the release of the β1-2 xylosyl residue by β-Xyl'ase Le-1 occurs at least after the removal the α-1,3-mannosyl residue in the core trimannosyl unit.

Hitotsubashi journal of commerce and management, 2020

This paper proposes a new method to analyze time series data with regime shifts and makes the fol... more This paper proposes a new method to analyze time series data with regime shifts and makes the following three contributions: (1) it suggests an exponential weighted estimation algorithm for autoregressive model with time varying coefficients, (2) it gives a visualization technique of structural change points and an outlier measure based on the Mahalanobis distance and (3) it illustrates that our method works for hedge fund return data and high frequency FX data.