Associate Professor MATSUMOTO, Takuji
Faculty, Affiliation
Faculty of Transdisciplinary Sciences, Institute of Philosophy in Interdisciplinary Sciences
College and School Educational Field
Division of Economics, Graduate School of Human and Socio-Environmental Studies
School of Entrepreneurial and Innovation Studies, College of Transdisciplinary Sciences for Innovation
School of Economics, College of Human and Social Sciences
Laboratory
Academic Background
【Academic background(Doctoral/Master's Degree)】
University of Tsukuba Doctor Graduate School of Business Sciences 202008 Completed
Massachusetts Institute of Technology Master Technology and Policy Program 201206 Completed
【Academic background(Bachelor's Degree)】
The University of Tokyo 200503
Career
Kanazawa University Faculty of Transdisciplinary Sciences for Innovation Associate professor(2022/04-)
Central Research Institute of Electric Power Industry Socio-Economic Research Center Research Scientist(2020/04-2022/03)
London Business School Visiting PhD Student (JSPS Overseas Challenge Program for Young Researchers)(2019/10-2020/02)
Mitsubishi Research Institute Senior Researcher(2015/04-2019/09)
Cabinet Secretariat, Japan(2013/12-2015/03)
Board of Audit, Japan(2005/04-2013/11)
Year & Month of Birth
1982/11
Academic Society
The Japanese Association of Financial Econometrics and Engineering
THE OPERATIONS RESEARCH SOCIETY OF JAPAN
INFORMS
IEEE
International Institute of Forecasters (IIF)
The International Association for Energy Economics
Award
○JAFEE BEST PAPER AWARD(2024/08)
○Best Paper Award(2024/03)
○JAFEE Young Researcher's Paper Award 2018(2019/02)
○JAFEE Oral Presentation Award(2018/03)
Specialities
Finance, Energy Finance, Financial Engineering、Operations Research, Data Science, Risk Management
Speciality Keywords
Energy Finance,Financial Engineering,Energy Economics,Time Series Analysis,Forecasting,Electricity Markets,Risk Management,Weather Derivatives
Research Themes
Energy Market Analysis
Modeling energy prices, analyzing the drivers of electricity price volatility, and studying forward premiums in electricity markets.
Time Series Forecasting
Modeling and developing forecasting models for a variety of time series data, including electricity demand, solar power generation, and electricity prices.
Risk Management and Decision Making
Development of derivatives to mitigate market risk and design of hedging schemes.
Market Design for a Distributed Energy Society
Designing a market that simultaneously achieves large-scale deployment of distributed energy resources, energy efficiency, and price stability.
Books
Papers
- Electricity Price Forecasting with Principal Component-Guided Sparse Regression Takuji Matsumoto,Florian Ziel 2024 20th International Conference on the European Energy Market (EEM) 29 1 2024/06/10
- Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives Takuji Matsumoto,Yuji Yamada E3S Web of Conferences 530 05005 2024/05
- Improving the Efficiency of Hedge Trading Using Higher-Order Standardized Weather Derivatives for Wind Power Takuji Matsumoto,Yuji Yamada Energies 16 7 3112 2023/03/29
- Mitigation of the Inefficiency in Imbalance Settlement Designs Using Day-Ahead Prices Takuji Matsumoto,Derek Bunn,Yuji Yamada IEEE Transactions on Power Systems 37 5 1 2022/09
- Pricing electricity day-ahead cap futures with multifactor skew-t densities Takuji Matsumoto,Derek Bunn,Yuji Yamada Quantitative Finance 22 5 835 2022/05/04
- Principal Component Quanto Derivatives for Enhanced Solar Power Hedging Takuji Matsumoto,Yuji Yamada Proceedings of the 60th JAFEE winter conference 1 2024/02
- スウィングクオントオプションの価格付けとヘッジ Yuji Yamada,Takuji Matsumoto Proceedings of the 59th JAFEE summer conference 1 2023/08
- Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy Takuji Matsumoto,Yuji Yamada Environmental Science and Engineering 269 2023/12
- Optimal Arbitrage with Limit Orders in Day-Ahead Electricity Markets Takuji Matsumoto,Derek Bunn Proceedings of 18th IAEE European Conference 2023/07
- Construction of Mixed Derivatives Strategy for Wind Power Producers Yuji Yamada,Takuji Matsumoto Energies 16 9 3809 2023/04/28
- Electricity Spot Price Forecasting Using Principal Component-Guided Sparse Regression Takuji Matsumoto Abstracts of the 2022 Autumun National Conference of the ORSJ 1 2022/08
- Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather Yuji Yamada,Takuji Matsumoto Extended Abstracts of the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022 2022/09
- Standardized Multivariate Weather Derivatives for Hedging Risk in Wind Power Generation Businesses Takuji Matsumoto,Yuji Yamada Proc. in the 57th JAFEE winter conference 1 2022/08
- Power Forward Curve Model with Mitigated Swell Based on Constrained Least Square Error Approach Takuji Matsumoto,Misao Endo 2022 12th International Conference on Power, Energy and Electrical Engineering (CPEEE 2022) 207 2022/02/25
- Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness Takuji Matsumoto,Yuji Yamada Energies 14 11 3351 2021/06/07
- One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange Takuji Matsumoto,Misao Endo The Journal of Energy Markets 14 3 1 2021/09
- Comprehensive and Comparative Analysis of GAM-Based PV Power Forecasting Models Using Multidimensional Tensor Product Splines against Machine Learning Techniques Takuji Matsumoto,Yuji Yamada Energies 14 21 7146 2021/11/01
- Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets Yuji Yamada,Takuji Matsumoto Energies 14 21 7311 2021/11/04
- Customization of Non-Parametric Hedging Models using Standardized Weather Derivatives: Ensuring Robustness by Cyclic Cubic Splines Takuji Matsumoto,Yuji Yamada Proc. in the 55th JAFEE winter conference 1 2021/08
- Construction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function Takuji Matsumoto,Yuji Yamada IOP Conference Series: Earth and Environmental Science 812 1 012001 2021/07/01
- Forecast method of PV power generation output using 3D tensor product spline function (in Japanese) Takuji Matsumoto,Yuji Yamada Abstracts of the 2021 Spring National Conference of the ORSJ 1 2021/03
- Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives Takuji Matsumoto,Yuji Yamada Energy Economics 95 105101 105101 2021/01/23
- Electricity price forecast based on weekly weather forecast and its application to arbitrage in the forward market Takuji Matsumoto,Misao Endo Proceedings of IEEE 2021 11th International Conference on Power, Energy and Electrical Engineering (CPEEE 2021) 104 2021/03
- Consideration for liquidation of the electricity futures market - Realization of strategic risk hedge trading - (in Japanese) Misao Endo,Takuji Matsumoto Review of Electricity Economics 67 51 2020/12
- Forecast Based Risk Management for Electricity Trading Market Takuji Matsumoto Doctoral dissertation, University of Tsukuba 2020/08/31
- Hedging strategies for solar power businesses in electricity market using weather derivatives Takuji Matsumoto,Yuji Yamada Proceedings of 2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering (REPE 2019) 236 2020/03
- Meteorological Forecast Error Derivatives for Renewable Energy Power Trading (in Japanese) Yuji Yamada,Takuji Matsumoto Communications of the Operations Research Society of Japan 65 1 12 2020/01
- Integrated derivative portfolio for hedging the risk of fluctuations in solar power business revenue in the wholesale power trading market (in Japanese) Takuji Matsumoto,Yuji Yamada Proc. in the 51st JAFEE winter conference 1 2019/08
- PREDICTION METHOD FOR SOLAR POWER BUSINESS BASED ON FORECASTED GENERAL WEATHER CONDITIONS AND PERIODIC TRENDS BY WEATHER Takuji Matsumoto,Yuji Yamada Transactions of the Operations Research Society of Japan 62 1 2019/03
- Cross-hedging of prediction error loss in solar power using tensor product spline function (in Japanese) Takuji Matsumoto,Yuji Yamada Proc. of the 50th JAFEE winter conference 1 2019/02
- Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market Takuji Matsumoto,Yuji Yamada Asia-Pacific Financial Markets 26 211 2018/11
- Solar Radiation Derivatives for Hedging Output Forecast Error Loss in Solar Power (in Japanese) Takuji Matsumoto,Yuji Yamada Abstracts of the 2018 Spring National Conference of the ORSJ 1 2018/03
- Game Analysis on Fraud Audit in the Field of Public Audit System (in Japanese) Takuji Matsumoto Kikei-kensa Kenkyu (Government Audit Research) 53 93 2016/03
Conference Presentations
- Unveiling Forward Premium Dynamics: Theoretical and Empirical Insights from Limit Order Arbitrage Models(conference：International Conference on Modelling and Managing Energy Risks (MaMER2024))(2024/09/19)
- Electricity Price Forecasting with Principal Component-Guided Sparse Regression(conference：The 20th International Conference on the European Energy Market (EEM24))(2024/06/10)
- Efficient Risk Management for Distributed Clean Energy: Principal Component based Weather Derivatives(conference：2024 14th International Conference on Future Environment and Energy (ICFEE 2024))(2024/03/16)
- Principal Component Quanto Derivatives for Enhanced Solar Power Hedging(conference：The 60th JAFEE winter conference)(2024/02/17)
- Optimal Arbitrage with Limit Orders in Day-Ahead Electricity Markets(conference：18th IAEE European Conference)(2023/07/25)
- Product and market design of weather derivatives for efficient wind power risk hedge trading(conference：Waseda Workshop on Economics of Uncertainty and its Related Field)(2023/03/16)
- Energy Finance and Digital Transformation(2024/01/11)
- Construction of interpretable GAM-based PV forecasts that outperform the prediction accuracy of machine learning methods(conference：The 7th International Conference on New Energy and Future Energy Systems (NEFES 2022))(2022/10/26)
- Comprehensive And Comparative Analysis Of GAM-based Solar Power Forecasting Models Versus Four Machine Learning Methods(conference：2022 INFORMS Annual Meeting)(2022/10/18)
- Discussant: " An empirical analysis of the price rise in the European and Japanese electricity markets - Implications for future energy policy and electricity market design -"(conference：Society for Environmental Economics and Policy Studies 2022 Conference)(2022/10/02)
- Information Value of Weekly Weather Forecasts: An Empirical Analysis of Electricity Price Forecasting and Forward Arbitrage(conference：11th International Ruhr Energy Conference (INREC 2022))(2022/09/28)
- Multivariate Weather Derivatives for Wind Power Risk Management: Standardization Scheme and Trading Strategy(conference：The 9th International Conference on Energy and Environment Research)(2022/09/16)
- Continuous Hedging Strategy for Power Market Using Financial Instruments on Electricity Price and Weather(conference：Extended Abstracts of the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022)(2022/09/16)
- Electricity Spot Price Forecasting Using Principal Component-Guided Sparse Regression(conference：The 2022 Autumun National Conference of the ORSJ)(2022/09/14)
- スウィングクオントオプションの価格付けとヘッジ(conference：The 59th JAFEE summer conference)(2023/08/17)
- Standardized Multivariate Weather Derivatives for Hedging Risk in Wind Power Generation Businesses(conference：the 57th JAFEE winter conference)(2022/08/20)
- Power Forward Curve Model with Mitigated Swell Based on Constrained Least Square Error Approach(conference：IEEE 2022 12th International Conference on Power, Energy and Electrical Engineering (CPEEE 2022))(2022/02/27)
- Pricing Electricity Day-Ahead Cap Futures Using Multifactor GAMLSS Density Forecasts(conference：2021 INFORMS Annual Meeting)(2021/10/27)
- Customized Nonparametric Hedging Model for Electric Utilities: Suitable Basis Selection to Ensure Robustness(conference：22nd Conference of the International Federation of Operational Research Societies (IFORS 2021))(2021/08/27)
- Customization of Non-Parametric Hedging Models using Standardized Weather Derivatives: Ensuring Robustness by Cyclic Cubic Splines(conference：The 55th JAFEE summer conference)(2021/08/22)
- Solar power forecasting method based on smooth trend estimation in three directions of time, date, and solar radiation(conference：41st International Symposium on Forecasting (ISF 2021))(2021/06/29)
- Construction of Forecast Model for Power Demand and PV Power Generation Using Tensor Product Spline Function(conference：2021 3rd International Conference on Clean Energy and Electrical Systems)(2021/04/26)
- Forecast method of PV power generation output using 3D tensor product spline function(conference：2021 Spring National Conference of the ORSJ)(2021/03/02)
- Electricity price forecast based on weekly weather forecast and its application to arbitrage in the forward market(conference：IEEE 2021 11th International Conference on Power, Energy and Electrical Engineering (CPEEE 2021))(2021/02/28)
- Analytical Framework for Efficient Imbalance Settlement Mechanisms in the Japanese Electricity Markets(conference：2020 INFORMS Annual Meeting)(2020/11/11)
- Simultaneous Hedging of Price and Volume for Electricity Trading Using Prediction Error Derivatives(conference：2020 INFORMS Annual Meeting)(2020/11/09)
- Risk Management for Electricity Market Using a Forecasting Approach(conference：Faculty Seminar of Financial Strategy Program, Hitotsubashi University Business School (HUB))(2020/08/04)
- Hedging strategies for solar power businesses in electricity market using weather derivatives(conference：2019 IEEE 2nd International Conference on Renewable Energy and Power Engineering (REPE 2019))(2019/11/03)
- Hedge Modelling for Solar Power Business Using Multiple Non-parametric Regression Methods(conference：2019 INFORMS Annual Meeting)(2019/10/22)
- Integrated derivative portfolio for hedging the risk of fluctuations in solar power business revenue in the wholesale power trading market (in Japanese)(conference：The 51st JAFEE winter conference)(2019/08/06)
- The changing JEPX market - The future of wholesale electric power as seen from data analysis (in Japanese)(conference：Energy Information Center Seminar)(2019/04/09)
- Nonparametric composite models for solar radiation forecasting and solar derivatives (in Japanese)(conference：JSPS Scientific Research (A) Support Workshop "Theory and Practice of Power Market Trading Risk Management")(2019/03/16)
- Cross-hedging of prediction error loss in solar power using tensor product spline function (in Japanese)(conference：The 50th JAFEE winter conference)(2019/02/23)
- A risk management tool for solar power businesses using prediction error weather derivatives(conference：International Symposium on Knowledge Sciences)(2018/11/26)
- Solar Radiation Derivatives for Hedging Output Forecast Error Loss in Solar Power (in Japanese)(conference：2018 Spring National Conference of the ORSJ)(2018/03/15)
- Design of solar radiation forecast error derivatives in solar power generation and measurement of hedging effect (in Japanese)(conference：The 48th JAFEE winter conference)(2018/03/02)
Others
- Construction of a Forward Curve for Electricity Market Trading Practices in Japan (in Japanese) Takuji Matsumoto,Misao Endo CRIEPI Research Material SE21503 2022/02/25
- How should we understand the risk premium, for effective electricity futures trading? (in Japanese) Takuji Matsumoto Denki Shimbun Seminar 235 2021/06
- Empirical analysis of risk premium in the Japanese electricity futures market Takuji Matsumoto,Misao Endo Central Research Institute of Electric Power Industry, research report (ISBN: 9784798319001) 2021/03
- Consideration for liquidation of the electricity futures market - Realization of strategic risk hedge trading - (in Japanese) Misao Endo,Takuji Matsumoto Socio-economic Research Center, Central Research Institute of Electric Power Industry 67 51 2020/12
- Impact of JEPX Spot Price 0.01 JPY/kWh - How Electricity Utilities Should Face the Risks - (in Japanese) Takuji Matsumoto Monthly Energy Forum, August 2020 788 96 2020/08
Arts and Fieldwork
Patent
Theme to the desired joint research
Grant-in-Aid for Scientific Research
○「Development of Price Models and Comprehensive Fundamental Analysis for Electricity Market Risk Management in Japan」(2024-2026)
○Fund for the Promotion of Joint International Research (Fostering Joint International Research (A))「Elucidating electricity market mechanisms through sophisticated forecasting methods: integrating empirical insights from Japan and Europe」(2023-2025)
○Grants-in-Aid for Scientific Research Grant-in-Aid for Early-Career Scientists「Risk management method and optimal system design of electricity market in the era of large scale deployment of distributed generation」(2021-2024)
○Grant-in-Aid for Scientific Research (A)「Construction of risk management system to support renewable energy P2P transactions 」(2020-2024)
○Challenging Research (Exploratory)「Risk management system for losses caused by trading electricity in whole sale market using weather derivatives 」(2019-2023)
Competitive research funding,Contribution
○Development of forecasting and modeling methods of prices in electricity market and application to risk management Overseas Challenge Program for Young Researchers Japan Society for the Promotion of Science(2019-2019)
Collaborative research,Consignment study
Classes (Bachelors)
○ESG Investment(2024)
○Super Smart City and Society 5.0(2024)
○Graduation Thesis Research(2024)
○Qualifying Examination(2024)
○Exploratory Project Seminar (ESG Investment Simulation)(2024)
○Introduction to FinTech and Advanced Business(2024)
○Seminar(2024)
○Introduction to Finance(2023)
○Introduction to Finance(2023)
○Introduction to Finance(2023)
○Financial Engineering(2023)
○Seminar(2023)
○Super Smart City and Society 5.0(2023)
○Super Smart City and Society 5.0(2023)
○ESG Investment(2023)
○Introduction to FinTech and Advanced Business(2023)
○Introduction to FinTech and Advanced Business(2023)
○Exploratory Project Seminar(2023)
○Introduction to Finance(2022)
○Introduction to Finance(2022)
○Super Smart City and Society 5.0(2022)
○Introduction to FinTech and Advanced Business(2022)
○Introduction to Finance(2021)