JPX Working Papers
Japan Exchange Group, Inc. (JPX) highlights research and studies on changes in the market and regulatory environment with the aim of raising competitiveness. Conducted by officers and employees of JPX, its subsidiaries, and affiliates, as well as outside researchers, JPX Working Papers are intended to draw comments widely from academia, research institutions, and other market participants and observers.
Readers are reminded that the contents and opinions contained in the papers are those of the authors and do not reflect the official opinions of JPX, its subsidiaries, or affiliates.
| Date of Publication | Title | Full Text | Summary | |
| Vol.47 | 2025/03/14 | Asymmetric Volatility as a Mixture of Multiple Components: Factorization using Artificial Market Simulations | * | * |
| Vol.46 | 2025/01/20 | Tail Risk Index based on Nikkei 225 Options | * | * |
| Vol.45 | 2025/01/20 | Migration to New Margin Calculation Method (JSCC-VaR) in Listed Financial Derivatives Brief Overview and Impact Analysis |  |
* |
| Vol.44 | 2024/05/20 | OSE 3-Month TONA Futures and BOJ Monetary Policy | |
* |
| Vol.43 | 2024/03/04 | Automated Determination of TCFD Recommended Disclosures through Zero-shot Text Classification Using Large Language Models | |
|
| Vol.42 | 2024/01/31 | Impact of optimization of the tick size for TOPIX Mid 400 constituents | |
* |
| Vol.41 | 2023/09/11 | Origins of the Tokyo Stock Exchange: Path Dependence of Trading Systems | |
* |
| Vol.40 | 2022/08/30 | How Changes in Tick Sizes Affect Investors' Execution Costs | |
* |
| Vol.39 | 2022/06/30 | Business Diversification of U.S. Stock Exchanges | * | * |
| Special Report | 2022/05/27 | How does standardization work in derivative markets? Evidence from the options on JGB Futures | |
* |
| Vol.38 | 2022/03/09 | Analysis of Short Side Market Inefficiencies Using Artificial Market Model | |
|
| Vol.37 | 2021/09/16 | Investigation into effectiveness of maker-taker fees in stock markets using artificial market | |
* |
| Special Report | 2021/06/28 | Expansion of the Heterogeneous Autoregressive Model with Tokyo Stock Exchange Co-Location Dataset | |
* |
| Special Report | 2021/06/24 | On the evaluation of intraday market quality in the limit-order book markets: A collaborative filtering approach | * | * |
| Vol. 36 | 2021/06/07 | Issues around the Fragmentation in the U.S. Equities Market | * | * |
| Vol. 35 | 2021/01/28 | Analysis of Detail Breakdown Trading Data (Margin Transaction and Short Selling) |
|
|
| Special Report | 2020/12/14 | Report on Pilot Test of DLT Information Sharing Platform in the Field of Securities Post-Trade (Project Name:B-POST) | |
* |
| Vol. 34 | 2020/03/27 | Systemic Risk Analysis using Multiplex Model among Bank, Company and Financial Market | * | * |
| Vol. 33 | 2020/01/30 | Self-Adjusting Mechanism in the Evolving U.S. Listings Market | * | * |
| Vol. 32 | 2019/08/06 | A Case Study of Initiatives at JPX on Experimental Tests toward the RPA Adoption Project and its Promotion | * | * |
| Vol. 31 | 2019/05/08 | Examination of Machine Translation in Corporate Governance Reports | |
* |
| Vol. 30 | 2019/04/09 | Analysis of the Use of Distributed Ledger Technology in Post-Trade Process of Cross-Border Securities Transaction | * | * |
| Vol. 29 | 2019/04/01 | Detection of Factors Influencing Market Liquidity Using an Agent-based Simulation | * | * |
| Vol. 28 | 2019/04/01 | Analysis of Investors’ Behavior through Non-Time Series Analysis of Stock Prices | |
|
| Vol. 27 | 2019/02/25 | Liquidity and Arbitrage Cost between ETF and Stocks using Agent-Based Model | |
|
| Vol. 26 | 2019/02/19 | Initiatives toward Using Blockchain and Encouraging Open Innovation in the Securities Industry | |
* |
| Vol. 25 | 2019/02/14 | Simulation of Chain Bankruptcy: the Effects of Asset Price Volatility and the Network Structure | * | * |
| Vol. 24 | 2018/12/11 | Impact on Utility of Traders by Improvement of Liquidity in Stock Secondary Markets | * | * |
| Vol. 23 | 2018/07/12 | Proof of Concept on Utilization of Blockchain Technology in KYC Processes | |
* |
| Vol. 22 | 2018/01/18 | Study on Applicability of Distributed Ledger Technology in Trade Matching Processes | |
* |
| └(Supplement) | (2019/02/19) | Study on Applicability of DLT in Trade Matching Processes, Phase 2 | * | |
| Vol. 21 | 2017/09/19 | Analysis of Reference Price Latencies in Japanese Dark Pools | * | * |
| Vol. 20 | 2017/09/14 | The Trend of Exploring the Use of Distributed Ledger Technology in the Capital Market | |
* |
| Vol. 19 | 2017/04/28 | Statistical analysis of high-frequency limit-order book data: On cross-market, single-asset lead-lag relationships in the Japanese stock market | * | * |
| Vol. 18 | 2016/12/14 | Analysis of the Impact of Capital Adequacy Regulation on Multiple Asset Markets using Artificial Market Simulation | * | * |
| Vol. 17 | 2016/12/08 | Investigation of Frequent Batch Auctions using Agent Based Model | |
|
| Vol. 16 | 2016/09/15 | Movements related to Listed Infrastructure Funds Markets in the U.S. - Studies of MLP, YieldCo, Solar REITs - | * | * |
| Vol. 15 | 2016/08/30 | Applicability of Distributed Ledger Technology to Capital Market Infrastructure | |
* |
| Vol. 14 | 2016/06/09 | Analysis of Differences in Trading Behavior at Day and Night Sessions for Nikkei 225 Futures | |
|
| Vol. 13 | 2016/03/31 | Empirical analysis of the high-frequency lead/lag relationships of trading activities on limit-order books across the Japanese stock exchanges | * | * |
| Vol. 12 | 2016/03/28 | The Effects of Japanese Employee Stock Ownership Plans on Productivity, Wages, and Corporate Performance | |
* |
| Vol. 11 | 2016/03/11 | Predicting Short-Term Market Fluctuations using the VPIN Metric - An Empirical Analysis of Nikkei 225 Futures and Nikkei 225 mini - | * | * |
| Vol. 10 | 2015/03/31 | On the Effects of the 2014 TSE Tick Size Reduction on the Domestic Stock Market: an Empirical Study | * | * |
| Vol. 9 | 2015/03/31 | Impacts of Speedup of Market System on Price Formations using Artificial Market Simulations | |
|
| Vol. 8 | 2015/03/31 | The Impact of Market Maker's Strategy Considering Position to the Competition among Markets: Analysis by Artificial Market Approach | * | * |
| Vol. 7 | 2015/01/20 | Impact of Tick Size Pilot Program on Trading Costs at Tokyo Stock Exchange | |
|
| Vol. 6 | 2014/07/31 | High Frequency Quoting, Trading, and Efficiency of Prices | |
|
| Special Report | 2014/07/10 | High Frequency Trading and the Complexity of the U.S. Equities Market | * | * |
| Vol. 5 | 2014/07/07 | Analysis of the Impact of Market Maker's Spread to the Competition among Markets using an Artificial Market | * | * |
| Vol. 4 | 2014/05/20 | Analysis of High-frequency Trading at Tokyo Stock Exchange | |
|
| Vol. 3 | 2013/03/19 | Change Detection of Orders in Stock Markets using Gaussian Mixture Model | * | * |
| Vol. 2 | 2013/01/30 | Investigation of Relationship between Tick Size and Trading Volume of Markets using Artificial Market Simulations | |
|
| Vol. 1 | 2012/09/28 | Short Selling on the Tokyo Stock Exchange and the Effects of the Uptick Rule | * | * |
(Note)
- ･"*" is used to denote JPX Working Papers for which English versions are not available. For Japanese versions, please refer to the following page.