Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading participant, by the ratio of cancellation and execution in the order placement as well as the number of executions at the opening of the afternoon session. Then, we analyze ordering patterns of the servers in the categories in short intervals for the top 10 highest trading volume stocks. By classifying the intervals into four cases by returns, we observe how different types of market participants submit or execute orders in the market situations. Moreover, we investigate the shares of the executed volumes for the different types of servers in the swings and roundabouts of the Nikkei 225 index, which were observed in September in 2015. The main findings of this study are as follows: Server type A, which supposedly includes non-market making proprietary traders with high-speed algorithmic strategies, executes and places orders along with the direction of the market. The shares of the execution and order volumes along with the market direction increase when the stock price moves sharply. Server type B, which presumably includes servers employing a market making strategy with high cancellation and low execution ratio, shifts its market making price ranges in the rapid price movements. We observe that passive servers in Server type B have a large share and buy at low levels in the price falls. Also, Server type B, as well as Server type A, makes profit in the price falling days and particularly, the aggressive servers in the server type make most of the profit. Server type C, which is assumed to include servers receiving orders from small investors, constantly has a large share of execution and order volume.     

Impacts of robotization on the Japanese economy

The introduction of robots leads to a reduction of direct labor, whereas it stimulates the investment activity of firms and thereby brings about a rise in indirect employment. This paper attempts to evaluate relative magnitudes of both effects of robotization on employment. The method of analysis depends on the application of an econometric model. The results of the survey at the individual firm level are also utilized. The forecast for the current five years (1985–1990) is that robotization will result in a net effect of a 23 thousand person decrease in employment.     

A comparative analysis of new product development by Italian and Japanese manufacturing companies: A case study

Based on survey data from Italian and Japanese companies, six measurement scales are developed for practices, process, strategic guide, and capabilities for new product development as potential determinants of its financial performance, that is, attainment of profit goals and revenue goals. By employing a regression model with a country dummy variable, the differential determinants of financial goals attainment between Italian and Japanese samples are estimated. A significant difference can be found in the impact of new product development capabilities on profit goals attainment only. Then, we evaluate the level of improvement in explanatory power by dividing the pooled sample into two and enabling regression coefficients to take different values, and find no evidences of the significant improvement. Technology and marketing capabilities concerning new product development are demonstrated to be overwhelmingly important to financial performance.     

Incomplete Insurance and Non-expected Utility

This paper shows that the estimation of non-expected utility (Kreps–Porteus preference) based on the representative agent model is less robust with respect to the departure from complete markets than is the expected utility for the following reasons. First, the precautionary saving caused by uninsured shocks may be evaluated incorrectly. Second, the portfolio held by individual household includes not only marketable assets, but also non-marketable assets (e.g. human capital) in the context of incomplete markets. Third, returns on marketable assets may not provide sufficient information for recovering relevant parameters. The estimated parameters available from the existing empirical research are consistent with the biasedness of parameters implied by this study.
JEL Classification: E44, G12.     

Armington elasticities in intermediate inputs trade: a problem in using multilateral trade data

Abstract.  In this paper we find that the estimates of Armington elasticities (the elasticity of substitution between groups of products identified by country of origin) obtained from multilateral trade data can differ from those obtained from bilateral trade data. In particular, the former tends to be higher than the latter when trade consists largely of intermediate inputs. Given that the variety of intermediate inputs traded across borders is increasing rapidly and that the effect of this increase is not adequately captured in multilateral trade data, the evidence shows that the employment of multilateral trade data to estimate Armington elasticities needs caution. JEL classification: F14, C51     

Environmental Protection in the Presence of Unemployment and Common Resources

This paper examines the effects of an export tax (on a processed resource good), the number of harvesters and an afforestation policy in a small, open economy with urban unemployment. The export tax increases the urban unemployment rate, but improves the quality of the environment. Here, the optimal export tax is lower than the adjusted marginal environmental damage. Reducing the number of harvesters has a similar resource allocation effect to that of an export tax. However, the afforestation policy can resolve the trade‐off between urban unemployment and the quality of the environment and may also improve the welfare of a country.