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1. |
Article |
Investigating the Evolution of Bitcoin Markets: An Analysis From the Perspective of the USD/EUR Foreign Exchange Spot Market 43,pp.011009-1-011009-16 (Collaboration) 2024/07 |
| Language | English | | Publication Date | 2024/07 | | Type | Research Paper | | Peer Review | With peer review | | Title | Investigating the Evolution of Bitcoin Markets: An Analysis From the Perspective of the USD/EUR Foreign Exchange Spot Market | | Contribution Type | Joint Work | | Journal Type | Japan | | Publisher | The Physical Society of Japan | | Volume, Issue, Pages | 43,pp.011009-1-011009-16 | | Author and coauthor | Zheng Nan and Taisei Kaizoji | |
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2. |
Article |
The causal relationship between income inequality and economic growth: evidence from panel data for Vietnam Applied Economics 57(19),pp.2333-2347 (Collaboration) 2024/03 |
| Language | English | | Publication Date | 2024/03 | | Type | Research Paper | | Peer Review | With peer review | | Title | The causal relationship between income inequality and economic growth: evidence from panel data for Vietnam | | Contribution Type | Joint Work | | Journal | Applied Economics | | Journal Type | Another Country | | Publisher | Taylor & Francis | | Volume, Issue, Pages | 57(19),pp.2333-2347 | | Total page number | 15 | | International coauthorship | International coauthorship | | Author and coauthor | Nguyen, L., Kaizoji, T., & Inoue, T. | |
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3. |
Article |
Mechanism of Information Transmission from a Spot Rate Market to Crypto-asset Markets JPS Conference Proceedings 40,pp.011005-1-011005-16 (Collaboration) 2023/09 |
| Language | English | | Publication Date | 2023/09 | | Type | Research Paper | | Peer Review | With peer review | | Title | Mechanism of Information Transmission from a Spot Rate Market to Crypto-asset Markets | | Contribution Type | Joint Work | | Journal | JPS Conference Proceedings | | Journal Type | Japan | | Publisher | The Physical Society of Japan | | Volume, Issue, Pages | 40,pp.011005-1-011005-16 | | Total page number | 16 | | Author and coauthor | Takeshi Yoshihara and Taisei Kaizoji | |
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4. |
Article |
Inherent Limitations of Portfolio Diversification through Fat Tails of the Return Distributions: An Empirical Evidence The North American Journal of Economics and Finance 56(C),pp.101358 (Collaboration) 2021 |
| Language | English | | Publication Date | 2021 | | Type | Research Paper | | Title | Inherent Limitations of Portfolio Diversification through Fat Tails of the Return Distributions: An Empirical Evidence | | Contribution Type | Joint Work | | Journal | The North American Journal of Economics and Finance | | Journal Type | Another Country | | Publisher | Elsevier Inc. | | Volume, Issue, Pages | 56(C),pp.101358 | | Author and coauthor | Cheoljun Eom, Taisei Kaizoji, Giacomo. Livan, and Enrico Scala | | Details | Highlights
•This study investigates the risk property in fat tails of the return distribution.
•Fat-tails are not eliminated through portfolio diversification.
•Fat-tails are highly related to properties of systematic risks.
•Negative tail has raising fatness, and declining fatness for positive tail.
•Portfolio diversification requires more profit sacrifice for loss avoidance. | |
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5. |
Book |
Advanced Studies on Financial Technologies and Cryptocurrency Markets (Collaboration) 2020/07 |
| Language | English | | Publication Date | 2020/07 | | Type | Scholarly Book | | Title | Advanced Studies on Financial Technologies and Cryptocurrency Markets | | Contribution Type | Joint Editor | | Journal Type | Another Country | | Publisher | Springer Nature Singapore Pte Ltd | | Total page number | 256 | | Author and coauthor | Lukáš Pichl, Choljun Eom, Enrico Scalas, and Taisei Kaizoji | | Details | This book shows that research contributions from different fields—finance, economics, computer sciences, and physics—can provide useful insights into key issues in financial and cryptocurrency markets. Presenting the latest empirical and theoretical advances, it helps readers gain a better understanding of financial markets and cryptocurrencies. | |
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6. |
Article |
Financial Innovations and Blockchain Applications: New Digital Paradigms in Global Cybersociety Advanced Studies on Financial Technologies and Cryptocurrency Markets pp.1-9 (Collaboration) 2020/07 |
| Language | English | | Publication Date | 2020/07 | | Type | Research Paper | | Title | Financial Innovations and Blockchain Applications: New Digital Paradigms in Global Cybersociety | | Contribution Type | Joint Work | | Journal | Advanced Studies on Financial Technologies and Cryptocurrency Markets | | Journal Type | Another Country | | Publisher | Springer Nature Singapore Pte Ltd | | Volume, Issue, Pages | pp.1-9 | | Author and coauthor | Lukáš Pichl, Cheoljun Eom, Enrico Scalas and Taisei Kaizoji | |
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7. |
Article |
Time Series Analysis of Relationships among Crypto-asset Exchange Rates Advanced Studies on Financial Technologies and Cryptocurrency Markets pp.139-162 (Collaboration) 2020/07 |
| Language | English | | Publication Date | 2020/07 | | Type | Research Paper | | Title | Time Series Analysis of Relationships among Crypto-asset Exchange Rates | | Contribution Type | Joint Work | | Journal | Advanced Studies on Financial Technologies and Cryptocurrency Markets | | Journal Type | Another Country | | Publisher | Springer Nature Singapore Pte Ltd. | | Volume, Issue, Pages | pp.139-162 | | Author and coauthor | Takeshi Yoshihara, Tomoo Inoue, Taisei Kaizoji | |
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8. |
Article |
The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. dollar and the Euro Advanced Studies on Financial Technologies and Cryptocurrency Markets pp.163-182 (Collaboration) 2020/07 |
| Language | English | | Publication Date | 2020/07 | | Type | Research Paper | | Title | The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. dollar and the Euro | | Contribution Type | Joint Work | | Journal | Advanced Studies on Financial Technologies and Cryptocurrency Markets | | Journal Type | Another Country | | Publisher | Springer Nature Singapore Pte Ltd. | | Volume, Issue, Pages | pp.163-182 | | Author and coauthor | Zheng Nana and Taisei Kaizoji | |
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9. |
Article |
Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates Advanced Studies on Financial Technologies and Cryptocurrency Markets pp.183-196 (Collaboration) 2020/07 |
| Language | English | | Publication Date | 2020/07 | | Type | Research Paper | | Title | Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates | | Contribution Type | Joint Work | | Journal | Advanced Studies on Financial Technologies and Cryptocurrency Markets | | Journal Type | Another Country | | Publisher | Springer Nature Singapore Pte Ltd. | | Volume, Issue, Pages | pp.183-196 | | Author and coauthor | Lukáš Pichl, Zheng Nan and Taisei Kaizoji | |
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10. |
Book |
Network Theory and Agent-Based Modeling in Economics and Finance (Collaboration) 2019/12 |
| Language | English | | Publication Date | 2019/12 | | Type | Scholarly Book | | Title | Network Theory and Agent-Based Modeling in Economics and Finance | | Contribution Type | Joint Editor | | Journal Type | Another Country | | Publisher | Springer Nature Singapore | | Total page number | 435 | | Author and coauthor | Anindya Chakrabarti, Lukas Pichl, and Taisei Kaizoji | | Details | This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. | | URL for researchmap | https://www.springer.com/gp/book/9789811383182 | |
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11. |
Article |
Artificial Neural Networks for Realized Volatility Prediction in Cryptocurrency Time Series Lecture Notes in Computer Science 11554,pp.165-172 (Collaboration) 2019/07 |
| Language | English | | Publication Date | 2019/07 | | Type | Research Paper | | Peer Review | With peer review | | Title | Artificial Neural Networks for Realized Volatility Prediction in Cryptocurrency Time Series | | Contribution Type | Joint Work | | Journal | Lecture Notes in Computer Science | | Journal Type | Another Country | | Publisher | Springer | | Volume, Issue, Pages | 11554,pp.165-172 | | Author and coauthor | R. Miura, L. Pichl, and T.Kaizoji | | URL for researchmap | https://link.springer.com/chapter/10.1007/978-3-030-22796-8_18 | |
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12. |
Article |
Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates International Review of Financial Analysis 64,pp.273-281 (Collaboration) 2019/07 |
| Language | English | | Publication Date | 2019/07 | | Type | Research Paper | | Peer Review | With peer review | | Title | Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates | | Contribution Type | Joint Work | | Journal | International Review of Financial Analysis | | Journal Type | Another Country | | Publisher | Elsevier | | Volume, Issue, Pages | 64,pp.273-281 | | Author and coauthor | Zheng Nan, and Taisei Kaizoji | | Details | We propose a bitcoin-based exchange rate of USD/EUR and investigate market efficiency in the spot, futures, and forward FX markets. Structural-change, unit-root and Johansen tests indicate that the bitcoin exchange rate is a random walk and is co-integrated with the FX series. Inferences regarding the co-integrating coefficients suggest the long-run “unbiasedness” and short-run “fair game” nature of the bitcoin exchange rate. Our results are indicative of weak or semi-strong market efficiency. | |
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13. |
Article |
Risk Characteristic of Fat-Tails in Return Distributions revisited: Evidence from the Korean stock market Physica A 526,pp.121055-121072 (Collaboration) 2019/07 |
| Language | English | | Publication Date | 2019/07 | | Type | Research Paper | | Peer Review | With peer review | | Title | Risk Characteristic of Fat-Tails in Return Distributions revisited: Evidence from the Korean stock market | | Contribution Type | Joint Work | | Journal | Physica A | | Journal Type | Another Country | | Publisher | Elsevier | | Volume, Issue, Pages | 526,pp.121055-121072 | | Author and coauthor | Cheoljun Eom, Taisei Kaizoji, and Enrico Scalas | | Details | This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods than in past periods and much fatter for small-capitalization stocks than for large-capitalization stocks. After controlling for the 1997 Korean foreign currency crisis and using the GARCH filter models to control for volatility clustering in the returns, the fat tails in the distribution of residuals are found to persist. We show that market crashes and volatility clustering may not sufficiently account for the existence of fat tails in return distributions. These findings are robust regardless of period or type of stock group. | | URL for researchmap | https://doi.org/10.1016/j.physa.2019.121055 | |
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14. |
Article |
Bitcoin-based triangular arbitrage and its foreign futures hedge: forecasting on a bivariate GARCH model with U.S. dollar and Euro Quantitative Finance and Economics 3(2),pp.347-365 (Collaboration) 2019/06 |
| Language | English | | Publication Date | 2019/06 | | Type | Research Paper | | Peer Review | With peer review | | Title | Bitcoin-based triangular arbitrage and its foreign futures hedge: forecasting on a bivariate GARCH model with U.S. dollar and Euro | | Contribution Type | Joint Work | | Journal | Quantitative Finance and Economics | | Journal Type | Another Country | | Volume, Issue, Pages | 3(2),pp.347-365 | | Author and coauthor | Zheng Nan and Taisei Kaizoji | | Details | This paper proposes a bitcoin-based triangular arbitrage, combining foreign exchanges in the bitcoin market and reverse foreign exchange spot transactions. An FX futures contract is used to reduce exposure to risk as a hedging instrument. The returns of the portfolio are jointly modeled using a bivariate DCC-GARCH model with multivariate standardized student’s t disturbances due to the presence of leptokurtosis and fat tails observed. Based on the time-dependent covariance matrix, a dynamic optimal hedge ratio is formed, with a conditional correlation series as a by-product. Empirical results are obtained using Euros and U.S. dollars over the period from 21 April 2014 to 21 September 2018. Multiple rolling one-step-ahead forecasts are generated. The empirical results present bitcoin-based currency strategies dominate bitcoin trading in terms of risk management. | | URL for researchmap | http://www.aimspress.com/article/10.3934/QFE.2019.2.347 | |
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15. |
Article |
Bitcoin and Investor Sentiment: Statistical Characteristics and Predictability Physica A 514,pp.511-521 (Collaboration) 2019/01 |
| Language | English | | Publication Date | 2019/01 | | Type | Research Paper | | Peer Review | With peer review | | Title | Bitcoin and Investor Sentiment: Statistical Characteristics and Predictability | | Contribution Type | Joint Work | | Journal | Physica A | | Journal Type | Another Country | | Publisher | Elsevier | | Volume, Issue, Pages | 514,pp.511-521 | | Author and coauthor | Cheoljun Eom, Taisei Kaizoji; Sang Hoon Kang; Lukas Pichl | | Details | This study empirically investigates the statistical characteristics and predictability of Bitcoin return and volatility. The distribution of Bitcoin returns and volatility display a fat right tail and high central parts. Bitcoin does not show the dynamic property of volatility persistence, contrary to stylized facts in financial time series. Also, the autoregressive model using past volatility does not well work in predicting changes in Bitcoin volatility for future periods. Investor sentiment regarding Bitcoin has a significant information value for explaining changes in Bitcoin volatility for future periods. These results suggest that Bitcoin appears to be an investment asset with high volatility and dependence on investor sentiment rather than a monetary asset. | | URL for researchmap | https://doi.org/10.1016/j.physa.2018.09.063 | |
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16. |
Article |
Computational intelligence methods for data mining of causality extent in time series International Journal of Computational Science and Engineering 16(4),pp.411-418 (Collaboration) 2018/07 |
| Language | English | | Publication Date | 2018/07 | | Type | Research Paper | | Peer Review | With peer review | | Title | Computational intelligence methods for data mining of causality extent in time series | | Contribution Type | Joint Work | | Journal | International Journal of Computational Science and Engineering | | Journal Type | Another Country | | Publisher | INDERSCIENCE | | Volume, Issue, Pages | 16(4),pp.411-418 | | Author and coauthor | L. Pichl and T. Kaizoji | | Details | We adopt the support vector machine (SVM) and artificial neural network (ANN) for causality rate extraction. The dataset records all details of the futures contracts on the commodity of gasoline traded in Japan. By sampling the tick data at 1 min, 5 min, 10 min, 30 min, 1 hour and 1-day scales, we derive time series of varying causal degrees. Trend predictions are computed by using the SVM binary classifier trained on 66.6% of the data using a five-step-back moving window which samples the log-returns as the predictor data. From the testing data, we extract varying rates of causality degree, starting from the borderline of 50% up to the order of 60% in rare cases. The trend prediction analysis is complemented by the ANN method with four hidden layers. Overall, the market of the gasoline futures in Japan is found to be rather close to the efficient market hypothesis in comparison with other commodities markets. | | URL for researchmap | https://www.inderscience.com/info/inarticle.php?artid=93782 | |
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17. |
Article |
Stock Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals Applied Economics Letters 26(5),pp.362-369 (Collaboration) 2018/07 |
| Language | English | | Publication Date | 2018/07 | | Type | Research Paper | | Peer Review | With peer review | | Title | Stock Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals | | Contribution Type | Joint Work | | Journal | Applied Economics Letters | | Journal Type | Another Country | | Publisher | Taylor and Francis | | Volume, Issue, Pages | 26(5),pp.362-369 | | Author and coauthor | Taisei Kaizoji and Michiko Miyano | | URL for researchmap | https://doi.org/10.1080/13504851.2018.1486004 | |
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18. |
Article |
Realized FX Volatility: Statistical Characterization and Applications Korean Journal of Futures and Options 26(1),pp.1-25 (Collaboration) 2018 |
| Language | English | | Publication Date | 2018 | | Type | Research Paper | | Title | Realized FX Volatility: Statistical Characterization and Applications | | Contribution Type | Joint Work | | Journal | Korean Journal of Futures and Options | | Journal Type | Another Country | | Volume, Issue, Pages | 26(1),pp.1-25 | | Author and coauthor | Cheoljun Eom, Taisei Kaizoji, Jong Won Park, and Enrico Scalas | |
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19. |
Article |
Volatility Analysis of Bitcoin Price Time Series Quantitative Finance and Economics 1(4),pp.474-485 (Collaboration) 2017/12 |
| Language | English | | Publication Date | 2017/12 | | Type | Research Paper | | Peer Review | With peer review | | Title | Volatility Analysis of Bitcoin Price Time Series | | Contribution Type | Joint Work | | Journal | Quantitative Finance and Economics | | Journal Type | Another Country | | Publisher | AIMS Press | | Volume, Issue, Pages | 1(4),pp.474-485 | | Author and coauthor | Lukáš Pichl and Taisei Kaizoji | | URL for researchmap | https://www.aimspress.com/article/10.3934/QFE.2017.4.474 | |
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20. |
Article |
Investment Climate and Firm Productivity: An application to Vietnamese manufacturing firms Applied Economics 49(44),pp.4394-4409 (Collaboration) 2017/01 |
| Language | English | | Publication Date | 2017/01 | | Type | Research Paper | | Peer Review | With peer review | | Title | Investment Climate and Firm Productivity: An application to Vietnamese manufacturing firms | | Contribution Type | Joint Work | | Journal | Applied Economics | | Journal Type | Another Country | | Volume, Issue, Pages | 49(44),pp.4394-4409 | | Author and coauthor | Nguyen Ba Trung, and Taisei Kaizoji | | URL for researchmap | https://doi.org/10.1080/00036846.2017.1282148 | |
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21. |
Article |
Analysis of Market Trend Regimes for March 2011, USDJPY Exchange Rate Tick Data Lecture Notes in Computer Science (Autonomous Agents and Multiagent Systems) 10003,pp.184-196 (Collaboration) 2016/09 |
| Language | English | | Publication Date | 2016/09 | | Type | Research Paper | | Peer Review | With peer review | | Title | Analysis of Market Trend Regimes for March 2011, USDJPY Exchange Rate Tick Data | | Contribution Type | Joint Work | | Journal | Lecture Notes in Computer Science (Autonomous Agents and Multiagent Systems) | | Journal Type | Another Country | | Publisher | Springer | | Volume, Issue, Pages | 10003,pp.184-196 | | Author and coauthor | Lukas Pichl and Taisei Kaizoji | | URL for researchmap | https://doi.org/10.1007/978-3-319-46840-2_12 | |
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22. |
Article |
Power Law Distributions for Share Price and Financial Indicators: Analysis at the Regional Level Frédéric Abergel et al: Econophysics and Sociophysics: Recent Progress and Future Directions Chapter 6,pp.1-17 (Collaboration) 2016 |
| Language | English | | Publication Date | 2016 | | Type | Research Paper | | Peer Review | With peer review | | Invitation | With invitation | | Title | Power Law Distributions for Share Price and Financial Indicators: Analysis at the Regional Level | | Contribution Type | Joint Work | | Journal | Frédéric Abergel et al: Econophysics and Sociophysics: Recent Progress and Future Directions | | Journal Type | Another Country | | Publisher | Springer International Publishing AG | | Volume, Issue, Pages | Chapter 6,pp.1-17 | | Author and coauthor | Michiko Miyano and Taisei Kaizoji | |
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23. |
Article |
Why does the power law for stock price hold? Chaos, Solitons and Fractals 88,pp.19-23 (Collaboration) 2016 |
| Language | English | | Publication Date | 2016 | | Type | Research Paper | | Peer Review | With peer review | | Title | Why does the power law for stock price hold? | | Contribution Type | Joint Work | | Journal | Chaos, Solitons and Fractals | | Journal Type | Another Country | | Volume, Issue, Pages | 88,pp.19-23 | | Author and coauthor | Taisei Kaizoji and Michiko Miyano | |
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24. |
Article |
Effects of the market factor on portfolio diversification: the case of market crashes Investment Analysts Journal 44(1),pp.71-83 2015 |
| Language | English | | Publication Date | 2015 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Effects of the market factor on portfolio diversification: the case of market crashes | | Contribution Type | - | | Journal | Investment Analysts Journal | | Publisher | Taylor & Francis Group | | Volume, Issue, Pages | 44(1),pp.71-83 | | Author and coauthor | Cheoljun Eom, Jong Won Park, Yong H. Kim & Taisei Kaizoji | |
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25. |
Article |
Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders Journal of Economic Behavior & Organization 112,pp.289-310 (Collaboration) 2015 |
| Language | English | | Publication Date | 2015 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders | | Contribution Type | Joint Work | | Journal | Journal of Economic Behavior & Organization | | Journal Type | Another Country | | Publisher | Elsevier | | Volume, Issue, Pages | 112,pp.289-310 | | Author and coauthor | Taisei Kaizoji, Matthias Leiss, Alexander Saichev, and Didier Sornette | |
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26. |
Article |
Using Neural Networks for Forecasting of Commodity Time Series Trends Databases in Networked Information Systems, (Lecture Notes in Computer Science) 7813,pp.95-102 (Collaboration) 2013 |
| Language | English | | Publication Date | 2013 | | Type | Research Paper (International Conference Proceedings) | | Peer Review | With peer review | | Title | Using Neural Networks for Forecasting of Commodity Time Series Trends | | Contribution Type | Joint Work | | Journal | Databases in Networked Information Systems, (Lecture Notes in Computer Science) | | Publisher | Springer International Publishing AG | | Volume, Issue, Pages | 7813,pp.95-102 | | Author and coauthor | Akira Sato, and Lukas Pichl, Taisei Kaizoji | | ISSN | 1611-3349 | |
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27. |
Article |
Full characterization of the fractional Poisson process Europhysics Letters 96(2),pp.20004 (Collaboration) 2011 |
| Language | English | | Publication Date | 2011 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Full characterization of the fractional Poisson process | | Contribution Type | Joint Work | | Journal | Europhysics Letters | | Volume, Issue, Pages | 96(2),pp.20004 | | Author and coauthor | Mauro Politi, Taisei Kaizoji, and Enrico Scalas | |
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28. |
Article |
Temporal evolution into a more efficient stock market Physica A 390(11),pp.2002-2008 2011 |
| Language | English | | Publication Date | 2011 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Temporal evolution into a more efficient stock market | | Contribution Type | - | | Journal | Physica A | | Volume, Issue, Pages | 390(11),pp.2002-2008 | | Author and coauthor | Yang, J-S., T. Kaizoji, W. Kwak | |
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29. |
Article |
Market Bubble and Crash, in Rama Cont (ed.) Encyclopedia of Quantitative Finance (Collaboration) 2010/04 |
| Language | English | | Publication Date | 2010/04 | | Type | Review Article or Commentary (Scientific Journal) | | Title | Market Bubble and Crash, in Rama Cont (ed.) Encyclopedia of Quantitative Finance | | Contribution Type | Joint Work | | Publisher | Wiley | | Author and coauthor | Taisei Kaizoji and Didier Sornette | | ISBN | 978-0470057568 | |
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30. |
Article |
Multiple equilibria and chaos in a discrete tâtonnement process Journal of economic Behavior and Organiztion 76(3),pp.597-599 (Single) 2010 |
| Language | English | | Publication Date | 2010 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Multiple equilibria and chaos in a discrete tâtonnement process | | Contribution Type | Single Work | | Journal | Journal of economic Behavior and Organiztion | | Publisher | Elsvier | | Volume, Issue, Pages | 76(3),pp.597-599 | | Author and coauthor | Taiei Kaizoji | |
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31. |
Article |
Effect of changing data size on eigenvalues in the Korean and Japanese stock markets Physica A 388(22),pp.4780-4786 (Collaboration) 2009 |
| Language | English | | Publication Date | 2009 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Effect of changing data size on eigenvalues in the Korean and Japanese stock markets | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 388(22),pp.4780-4786 | | Author and coauthor | Cheoljun Eom, Woo-Sung Jung, Taisei Kaizoji, Seunghwan Kim | |
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32. |
Article |
Group dynamics of the Japanese market Physica A 387(2-3),pp.pp. 537-542 (Collaboration) 2008 |
| Language | English | | Publication Date | 2008 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Group dynamics of the Japanese market | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 387(2-3),pp.pp. 537-542 | | Author and coauthor | Woo-Sung Jung, Okyu Kwon, Fengzhong Wang, Taisei Kaizoji, Hie-Tae Moon, and H. Eugene Stanley | |
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33. |
Article |
Increasing market efficiency in the stock markets European Physical Journal B 61,pp.pp. 241-246 (Collaboration) 2008 |
| Language | English | | Publication Date | 2008 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Increasing market efficiency in the stock markets | | Contribution Type | Joint Work | | Journal | European Physical Journal B | | Volume, Issue, Pages | 61,pp.pp. 241-246 | | Author and coauthor | Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji, and In-mook Kim | |
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34. |
Article |
Symbolic analysis of indicator time series by quantitative sequence alignment Computational Statistics & Data Analysis 53(2),pp.pp. 486-495 (Collaboration) 2008 |
| Language | English | | Publication Date | 2008 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Symbolic analysis of indicator time series by quantitative sequence alignment | | Contribution Type | Joint Work | | Journal | Computational Statistics & Data Analysis | | Volume, Issue, Pages | 53(2),pp.pp. 486-495 | | Author and coauthor | Yamano, Takuya, Sato, Kodai, Kaizoji, Taisei, Rost, Jan-Michael, and Pichl, Lukas | |
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35. |
Article |
Volatility return intervals analysis of the Japanese market European Physical Journal B 62,pp.pp. 113-119 (Collaboration) 2008 |
| Language | English | | Publication Date | 2008 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Volatility return intervals analysis of the Japanese market | | Contribution Type | Joint Work | | Journal | European Physical Journal B | | Volume, Issue, Pages | 62,pp.pp. 113-119 | | Author and coauthor | Jung, Woo-Sung, Wang, Fengzhong, Havlin, Shlomo, Kaizoji, Taisei, Moon, Hie-Tae, Stanley, H. Eugene | |
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36. |
Article |
Econophysics Colloquium 2006 and Third Bonzenfreies Colloquium Physica A 383,pp.xi-xii (Collaboration) 2007/09 |
| Language | English | | Publication Date | 2007/09 | | Type | Research Paper (International Conference Proceedings) | | Peer Review | With peer review | | Title | Econophysics Colloquium 2006 and Third Bonzenfreies Colloquium | | Contribution Type | Joint Work | | Journal | Physica A | | Publisher | Springer, Berlin | | Volume, Issue, Pages | 383,pp.xi-xii | | Author and coauthor | Taisei Kaizoji, Enrico Scalas and Akira Namatame (Editors) | | Details | Selection of papers presented at Econophysics Colloquium 2006 and Third Bonzenfreies Colloquium, held at International Christian University, Tokyo, Japan, 23 November -- 25 November 2006, Econophysics Colloquium 2006 and Third Bonzenfreies Colloquium | |
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37. |
Article |
Correlation patterns of NIKKEI index constituents: Towards a mean field model Physica A 383(1),pp.16-21 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Correlation patterns of NIKKEI index constituents: Towards a mean field model | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 383(1),pp.16-21 | | Author and coauthor | Katsuhiko Hayashi, Taisei Kaizoji and Luka? Pichl | |
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38. |
Article |
Forecasting and volatility in the Tokyo Stock Market: The advantage of long memory models Journal of Economic Dynamics and Control 31(6),pp.1808-1843 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Forecasting and volatility in the Tokyo Stock Market: The advantage of long memory models | | Contribution Type | Joint Work | | Journal | Journal of Economic Dynamics and Control | | Publisher | Elsvier | | Volume, Issue, Pages | 31(6),pp.1808-1843 | | Author and coauthor | Thomas Lux and Taisei Kaizoji | |
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39. |
Article |
Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis Physica A 375,pp.651-667 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis | | Contribution Type | Joint Work | | Journal | Physica A | | Journal Type | Another Country | | Volume, Issue, Pages | 375,pp.651-667 | | Author and coauthor | Yuichi Ikeda, Wataru Souma, Hideaki Aoyama, Hiroshi Iyetomi, Yoshi Fujiwara, Taisei Kaizoji | |
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40. |
Article |
Quantitative agent-based firm dynamics simulation with parameters estimated on financial and transaction data analysis Physica A 375,pp.pp. 651-667 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Quantitative agent-based firm dynamics simulation with parameters estimated on financial and transaction data analysis | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 375,pp.pp. 651-667 | | Author and coauthor | Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi, Yoshi Fujiwara, Wataru Souma, and Taisei Kaizoji | |
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41. |
Article |
Regional Business Cycle Synchronization without Interregional Trade Linkages Physica A 383,pp.pp. 102-107 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Regional Business Cycle Synchronization without Interregional Trade Linkages | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 383,pp.pp. 102-107 | | Author and coauthor | Tamotsu Onozaki, Tatsuo Yanagita, Taisei Kaizoji, Kazutaka Toyabe | |
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42. |
Article |
Response of firm agent network to exogenous shock Physica A 382,pp.138-148 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Response of firm agent network to exogenous shock | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 382,pp.138-148 | | Author and coauthor | Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi, Yoshi Fujiwara, Wataru Souma and Taisei Kaizoji | |
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43. |
Article |
Stylized facts in internal rates of return on stock index and its derivative transactions Physica A 382,pp.pp. 219-227 (Collaboration) 2007 |
| Language | English | | Publication Date | 2007 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Stylized facts in internal rates of return on stock index and its derivative transactions | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 382,pp.pp. 219-227 | | Author and coauthor | Lukas Pichl, Taisei Kaizoji and Takuya Yamano | |
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44. |
Article |
An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics Physica A 370,pp.pp. 109-113 (Single) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics | | Contribution Type | Single Work | | Journal | Physica A | | Volume, Issue, Pages | 370,pp.pp. 109-113 | | Author and coauthor | KAIZOJI, Taisei | |
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45. |
Article |
Correlation in business networks Physica A 370,pp.151-155 (Collaboration) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Correlation in business networks | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 370,pp.151-155 | | Author and coauthor | Wataru Souma, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda, Hiroshi Iyetomi and Taisei Kaizoji | |
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46. |
Article |
On the Symbolic Analysis of Market Indicators with the Dynamic Programming Approach Lecture Notes in Computer Science 3973,pp.pp. 432-441 (Collaboration) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (International Conference Proceedings) | | Peer Review | With peer review | | Title | On the Symbolic Analysis of Market Indicators with the Dynamic Programming Approach | | Contribution Type | Joint Work | | Journal | Lecture Notes in Computer Science | | Volume, Issue, Pages | 3973,pp.pp. 432-441 | | Author and coauthor | Lukas Pichl, T. Yamano, and T. Kaizoji | |
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47. |
Article |
Power laws and market crashes: Empirical laws on bursting bubbles Progress of Theoretical Physics Supplement 162,pp.pp. 165-172 (Single) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Power laws and market crashes: Empirical laws on bursting bubbles | | Contribution Type | Single Work | | Journal | Progress of Theoretical Physics Supplement | | Volume, Issue, Pages | 162,pp.pp. 165-172 | | Author and coauthor | KAIZOJI, Taisei | |
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48. |
Article |
Precursors of Market Crashes: Empirical laws of the Japan’s internet bubbles European Physical Journal B 50,pp.123-127 (Single) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Precursors of Market Crashes: Empirical laws of the Japan’s internet bubbles | | Contribution Type | Single Work | | Journal | European Physical Journal B | | Volume, Issue, Pages | 50,pp.123-127 | | Author and coauthor | KAIZOJI, Taisei | |
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49. |
Article |
Re-examination of the size distribution of firms Evolutionary and Institutional Economics Review 2(2),pp.183-198 (Collaboration) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Re-examination of the size distribution of firms | | Contribution Type | Joint Work | | Journal | Evolutionary and Institutional Economics Review | | Volume, Issue, Pages | 2(2),pp.183-198 | | Author and coauthor | T. Kaizoji. H. Iyetomi, and Y. Ikeda | |
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50. |
Article |
Relationship between trader types and their long-run wealth in an artificial financial market The ICFAI Journal of Behavioral Finance 3(1),pp.43-60 (Collaboration) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Relationship between trader types and their long-run wealth in an artificial financial market | | Contribution Type | Joint Work | | Journal | The ICFAI Journal of Behavioral Finance | | Volume, Issue, Pages | 3(1),pp.43-60 | | Author and coauthor | Akira Namatame, Taisei Kaizoji, and Kazuya Konno | |
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51. |
Article |
Waiting times between orders and trades in double-auction markets Physica A 366,pp.pp. 463-471 (Collaboration) 2006 |
| Language | English | | Publication Date | 2006 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Waiting times between orders and trades in double-auction markets | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 366,pp.pp. 463-471 | | Author and coauthor | Enrico Scalas, Taisei Kaizoji, Michael Kirchler, Jurgen Huber, and Alessandra Tedeschi | |
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52. |
Book |
The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics (Lecture Notes in Economics and Mathematical Systems) (Collaboration) 2005/12 |
| Language | English | | Publication Date | 2005/12 | | Type | Scholarly Book | | Title | The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics (Lecture Notes in Economics and Mathematical Systems) | | Contribution Type | Editor | | Publisher | Springer-Verlag Berlin Heidelberg | | Responsible for | An editor | | Author and coauthor | Akira Namatame, Taisei Kaizoji, and Aruka Yuji (Editors) | | ISBN | 978-3540-28726-1 | |
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53. |
Article |
Collective Efficiency in Two-Side Matching Artificial Economics: Lecture Notes in Economics and Mathematical Systems 564,pp.pp. 115-126 (Collaboration) 2005 |
| Language | English | | Publication Date | 2005 | | Type | Research Paper (International Conference Proceedings) | | Peer Review | With peer review | | Title | Collective Efficiency in Two-Side Matching | | Contribution Type | Joint Work | | Journal | Artificial Economics: Lecture Notes in Economics and Mathematical Systems | | Volume, Issue, Pages | 564,pp.pp. 115-126 | | Author and coauthor | Tomoko Fuku, Akira Namatame, and Taisei Kaizoji | |
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54. |
Article |
Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts Physica A 347,pp.pp.575-582 (Single) 2005 |
| Language | English | | Publication Date | 2005 | | Type | Research Paper (Scientific Journal) | | Title | Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts | | Contribution Type | Single Work | | Journal | Physica A | | Volume, Issue, Pages | 347,pp.pp.575-582 | | Author and coauthor | KAIZOJI, Taisei | |
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55. |
Article |
Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts Physica A 347,pp.575-582 (Single) 2005 |
| Language | English | | Publication Date | 2005 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts | | Contribution Type | Single Work | | Journal | Physica A | | Volume, Issue, Pages | 347,pp.575-582 | | Author and coauthor | Taisei Kaizoji | |
|
56. |
Article |
Statistical properties of the volatility and a stochastic model of markets with heterogeneous agents Heterogeneous Agents and Nonlinear Dynamics: Lecture Notes in Economics and Mathematical Systems (Single) 2005 |
| Language | English | | Publication Date | 2005 | | Type | Research Paper (International Conference Proceedings) | | Peer Review | With peer review | | Title | Statistical properties of the volatility and a stochastic model of markets with heterogeneous agents | | Contribution Type | Single Work | | Journal | Heterogeneous Agents and Nonlinear Dynamics: Lecture Notes in Economics and Mathematical Systems | | Author and coauthor | KAIZOJI, Taisei | |
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57. |
Article |
A mechanism leasing bubbles to crashes: the case of the Japanese land markets Physica A 344,pp.138-141 (Collaboration) 2004 |
| Language | English | | Publication Date | 2004 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | A mechanism leasing bubbles to crashes: the case of the Japanese land markets | | Contribution Type | Joint Work | | Journal | Physica A | | Journal Type | Another Country | | Publisher | Elsevier | | Volume, Issue, Pages | 344,pp.138-141 | | Author and coauthor | T. Kaizoji and M. Kaizoji | |
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58. |
Article |
Inflations and deflations in financial markets Physica A 343,pp.662-668 (Single) 2004 |
| Language | English | | Publication Date | 2004 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Inflations and deflations in financial markets | | Contribution Type | Single Work | | Journal | Physica A | | Volume, Issue, Pages | 343,pp.662-668 | | Author and coauthor | KAIZOJI, Taisei | |
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59. |
Article |
Intermittent chaos in a model of financial markets with heterogeneous agents Chaos, Solitons, & Fractals 20(2),pp.323-327 (Single) 2004 |
| Language | English | | Publication Date | 2004 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Intermittent chaos in a model of financial markets with heterogeneous agents | | Contribution Type | Single Work | | Journal | Chaos, Solitons, & Fractals | | Volume, Issue, Pages | 20(2),pp.323-327 | | Author and coauthor | KAIZOJI, Taisei | |
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60. |
Article |
Power law for ensembles of stock prices Physica A 345,pp.240-243 (Collaboration) 2004 |
| Language | English | | Publication Date | 2004 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Power law for ensembles of stock prices | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 345,pp.240-243 | | Author and coauthor | T. Kaizoji and M. Kaizoji | |
|
61. |
Article |
Power-laws for the calm-time interval distribution of changes in share prices Physica A 336,pp.563-570 (Collaboration) 2004 |
| Language | English | | Publication Date | 2004 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Power-laws for the calm-time interval distribution of changes in share prices | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 336,pp.563-570 | | Author and coauthor | T. Kaizoji and M. Kaizoji | |
|
62. |
Article |
Growth and fluctuations of personal income Physica A 321(3-4),pp.598-604 (Collaboration) 2003 |
| Language | English | | Publication Date | 2003 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Growth and fluctuations of personal income | | Contribution Type | Joint Work | | Journal | Physica A | | Volume, Issue, Pages | 321(3-4),pp.598-604 | | Author and coauthor | Yoshi Fujiwara, Wataru Souma, Hideaki Aoyama, Taisei Kaizoji, Masanao Aoki | |
|
63. |
Article |
Scaling behavior in land markets Physica A 326(1-2),pp.256-264 (Single) 2003 |
| Language | English | | Publication Date | 2003 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Scaling behavior in land markets | | Contribution Type | Single Work | | Journal | Physica A | | Volume, Issue, Pages | 326(1-2),pp.256-264 | | Author and coauthor | Taisei Kaizoji | |
|
64. |
Article |
Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents Physica A 316(1-4),pp.441-452 2002 |
| Language | English | | Publication Date | 2002 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents | | Contribution Type | - | | Journal | Physica A | | Volume, Issue, Pages | 316(1-4),pp.441-452 | | Author and coauthor | Taisei Kaizoji, Stefan Bornholdt, Yoshi Fujiwara | |
|
65. |
Article |
A model of international financial crises Physica A 299(1-2),pp.279-293 (Single) 2001 |
| Language | English | | Publication Date | 2001 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | A model of international financial crises | | Contribution Type | Single Work | | Journal | Physica A | | Volume, Issue, Pages | 299(1-2),pp.279-293 | | Author and coauthor | Taisei Kaizoji | |
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66. |
Article |
Speculative bubbles and crashes in stock markets:
an interacting-agent model of speculative activity Physica A 287,pp.493-506 (Single) 2000 |
| Language | English | | Publication Date | 2000 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Speculative bubbles and crashes in stock markets:
an interacting-agent model of speculative activity | | Contribution Type | Single Work | | Journal | Physica A | | Publisher | Elsevier | | Volume, Issue, Pages | 287,pp.493-506 | | Author and coauthor | Taisei Kaizoji | |
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67. |
Article |
Multiple equilibria and chaotic tatonnement: applications of the Yamaguti, Matano theorem Journal of Economic Behavior and Organization 24,pp.357-362 (Single) 1994 |
| Language | English | | Publication Date | 1994 | | Type | Research Paper (Scientific Journal) | | Peer Review | With peer review | | Title | Multiple equilibria and chaotic tatonnement: applications of the Yamaguti, Matano theorem | | Contribution Type | Single Work | | Journal | Journal of Economic Behavior and Organization | | Publisher | Elsvier | | Volume, Issue, Pages | 24,pp.357-362 | | Author and coauthor | Taisei Kaizoji | |
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