ICU Researchers Information System

（Last updated : 2021-03-19 17:14:37）

KAIZOJI, Taisei

Professor

Division of Arts and Sciences, College of Liberal Arts, International Christian University

■ Academic Background

1.	1999/12 Degree Acquisition	Tokyo Institute of Technology, Doctor of Arts and Sciences
2.	1982/04～1986/03	Waseda University, Graduated,

■ #Professional Background

1.	2017/04～	Dean of Graduate School, Graduate School of Arts and Sciences, International Christian University
2.	2013/12～2014/02	Visiting Professor, Economics Department, The Universitat Jaume I of Castellón
3.	2011/04～2013/03	JDS Program Coordinator, Graduate School of Arts and Sciences, , International Christian University
4.	2010/04～2012/03	Chair, Dept. of Economics and Business, International Christian University
5.	2009/04～	Professor, International Christian University College of Liberal Arts Division of Arts and Sciences
6.	2007/08～2008/08	Visting Professor, Department of Management, Technology and Economics, ETH Zurich
7.	2005/04～2009/03	Professor, International Christian University College of Liberal Arts
8.	2000/10～2001/08	Visiting Professor, University of Kiel, Department of Economics, Germany
9.	2000/04～2005/03	Associate Professor, International Christian University College of Liberal Arts
10.	1994/09～2000/03	Assistant Professor, International Christian University College of Liberal Arts
11.	1993/09～1994/08	Visiting Research fellow, Department of Economics, University of Southern California, Department of Economics
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■ #Present Specialized Fields

Economic theory, Money/ Finance, Social systems engineering/ Safety system

■ #Main Course Titles

Economics, Econophysics, and Financial data analysis

■ #Books and Articles

1.	Book	Advanced Studies on Financial Technologies and Cryptocurrency Markets (Collaboration) 2020/07
2.	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,pp.101358 (Collaboration) 2020/04
3.	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
4.	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
5.	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
6.	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
7.	Book	Network Theory and Agent-Based Modeling in Economics and Finance (Collaboration) 2019/12
8.	Article	Artificial Neural Networks for Realized Volatility Prediction in Cryptocurrency Time Series Lecture Notes in Computer Science 11554,pp.165-172 (Collaboration) 2019/07
9.	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
10.	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
11.	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
12.	Article	Bitcoin and Investor Sentiment: Statistical Characteristics and Predictability Physica A 514,pp.511-521 (Collaboration) 2019/01
13.	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
14.	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
15.	Article	Realized FX Volatility: Statistical Characterization and Applications Korean Journal of Futures and Options 26(1),pp.1-25 (Collaboration) 2018
16.	Article	Volatility Analysis of Bitcoin Price Time Series Quantitative Finance and Economics 1(4),pp.474-485 (Collaboration) 2017/12
17.	Article	Investment Climate and Firm Productivity: An application to Vietnamese manufacturing firms Applied Economics 49(44),pp.4394-4409 (Collaboration) 2017/01
18.	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
19.	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
20.	Article	Why does the power law for stock price hold? Chaos, Solitons and Fractals 88,pp.19-23 (Collaboration) 2016
21.	Article	Effects of the market factor on portfolio diversification: the case of market crashes Investment Analysts Journal 44(1),pp.71-83 2015
22.	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
23.	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
24.	Article	Full characterization of the fractional Poisson process Europhysics Letters 96(2),pp.20004 (Collaboration) 2011
25.	Article	Temporal evolution into a more efficient stock market Physica A 390(11),pp.2002-2008 2011
26.	Article	Market Bubble and Crash, in Rama Cont (ed.) Encyclopedia of Quantitative Finance (Collaboration) 2010/04
27.	Article	Multiple equilibria and chaos in a discrete tâtonnement process Journal of economic Behavior and Organiztion 76(3),pp.597-599 (Single) 2010
28.	Article	Effect of changing data size on eigenvalues in the Korean and Japanese stock markets Physica A 388(22),pp.4780-4786 (Collaboration) 2009
29.	Article	Group dynamics of the Japanese market Physica A 387(2-3),pp.pp. 537-542 (Collaboration) 2008
30.	Article	Increasing market efficiency in the stock markets European Physical Journal B 61,pp.pp. 241-246 (Collaboration) 2008
31.	Article	Symbolic analysis of indicator time series by quantitative sequence alignment Computational Statistics & Data Analysis 53(2),pp.pp. 486-495 (Collaboration) 2008
32.	Article	Volatility return intervals analysis of the Japanese market European Physical Journal B 62,pp.pp. 113-119 (Collaboration) 2008
33.	Article	Econophysics Colloquium 2006 and Third Bonzenfreies Colloquium Physica A 383,pp.xi-xii (Collaboration) 2007/09
34.	Article	Correlation patterns of NIKKEI index constituents: Towards a mean field model Physica A 383(1),pp.16-21 (Collaboration) 2007
35.	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
36.	Article	Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis Physica A 375,pp.651-667 (Collaboration) 2007
37.	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
38.	Article	Regional Business Cycle Synchronization without Interregional Trade Linkages Physica A 383,pp.pp. 102-107 (Collaboration) 2007
39.	Article	Response of firm agent network to exogenous shock Physica A 382,pp.138-148 (Collaboration) 2007
40.	Article	Stylized facts in internal rates of return on stock index and its derivative transactions Physica A 382,pp.pp. 219-227 (Collaboration) 2007
41.	Article	An interacting-agent model of financial markets from the viewpoint　of nonextensive statistical mechanics Physica A 370,pp.pp. 109-113 (Single) 2006
42.	Article	Correlation in business networks Physica A 370,pp.151-155 (Collaboration) 2006
43.	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
44.	Article	Power laws and market crashes: Empirical laws on bursting bubbles Progress of Theoretical Physics Supplement 162,pp.pp. 165-172 (Single) 2006
45.	Article	Precursors of Market Crashes: Empirical laws of the Japan’s internet bubbles European Physical Journal B 50,pp.123-127 (Single) 2006
46.	Article	Re-examination of the size distribution of firms Evolutionary and Institutional Economics Review 2(2),pp.183-198 (Collaboration) 2006
47.	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
48.	Article	Waiting times between orders and trades in double-auction markets Physica A 366,pp.pp. 463-471 (Collaboration) 2006
49.	Book	The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics (Lecture Notes in Economics and Mathematical Systems) (Collaboration) 2005/12
50.	Article	Collective Efficiency in Two-Side Matching Artificial Economics: Lecture Notes in Economics and Mathematical Systems 564,pp.pp. 115-126 (Collaboration) 2005
51.	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
52.	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
53.	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
54.	Article	A mechanism leasing bubbles to crashes: the case of the Japanese land markets Physica A 344,pp.138-141 (Collaboration) 2004
55.	Article	Inflations and deflations in financial markets Physica A 343,pp.662-668 (Single) 2004
56.	Article	Intermittent chaos in a model of financial markets with heterogeneous agents Chaos, Solitons, & Fractals 20(2),pp.323-327 (Single) 2004
57.	Article	Power law for ensembles of stock prices Physica A 345,pp.240-243 (Collaboration) 2004
58.	Article	Power-laws for the calm-time interval　distribution of changes in share prices Physica A 336,pp.563-570 (Collaboration) 2004
59.	Article	Growth and fluctuations of personal income Physica A 321(3-4),pp.598-604 (Collaboration) 2003
60.	Article	Scaling behavior in land markets Physica A 326(1-2),pp.256-264 (Single) 2003
61.	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
62.	Article	A model of international financial crises Physica A 299(1-2),pp.279-293 (Single) 2001
63.	Article	Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity Physica A 287,pp.493-506 (Single) 2000
64.	Article	Multiple equilibria and chaotic tatonnement: applications of the Yamaguti, Matano theorem Journal of Economic Behavior and Organization 24,pp.357-362 (Single) 1994
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■ #Academic Conference Presentation

1.	2015/11/27	Why does power law for share price hold? (Econophyiscs 2015)
2.	2013/06/30	Bubbles and Crashes: Modeling from the point of view of statistical physics (The Econophysics Colloquium 2013 and the Asia Pacific Econophysics Conference)
3.	2012/07/24	Lessons from Global Financial Crises in 2000s (Seminar in Ministry of Finance in Vietnam)
4.	2010/11/05	Power Laws and Financial Crises (Econophysics Colloquium 2010)
5.	2009/03/01	Concentration and Collapse in Markets:　A Mechanism Leading From Bubbles To Crashes (APFA 7- Application of Physics in Financial Analysis)
6.	2007/09/21	A Mechanism of Market Crashes (The 4-th Annual Meeting COST Action P10 Physics of Risk)
7.	2007/07/04	A precursor of market crashes (APFA 6 - Applications of Physics in Financial Analysis)
8.	2006/06/29	Precursors of Market Crashes (Applications of Physics in Financial Analysis)
9.	2006/05/08	Precursors of Market Crashes (Workshop on Emergent Intelligent on Networked Agents)
10.	2006/02/14	Precursors of Market Crashes (International Workshop on Econophysics of Stock Markets and Minority Games)
11.	2005/11/14	A mechanism leading from speculative bubbles to crashes (Econophysics Colloquium 05)
12.	2005/08/13	A mechanism leading from speculative bubbles to crashes (The third international conference on news, expectations and trends)
13.	2005/05/23	A mechanism leading from speculative bubbles to crashes (Noise and Fluctuations in Econophysics and Finance)
14.	2005/03/14	A mechanism leading from speculative bubbles to crashes (International Workshop on Complexity and Nonextensivity-New Trends in Statistical Mechanics-)
15.	2004/11/09	A mechanism leading from speculative bubbles to crashes and forecasting market crashes (The Third Nikkei Econophysics Symposium “Practical Fruits of Econophysics)
16.	2004/07/08	Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation (The 10th International Conference on Computing in Economics and Finance)
17.	2004/05/27	Econophysics of asset bubbles and bursts (The 9th Workshop on Economics and Heterogeneous Interacting Agents (WEHIA2004))
18.	2001/08/21	Speculative Dynamics in a heterogeneous-agent model (International Conference on Artificial Neural Networks-ICANN 2001)
19.	1999/12/13	Associative memory in a financial network (Workshop on Expectational and Learning Dynamics in Financial Markets)
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■ #Academic Society Memberships

2006～

The Society for Economic Sciences with Heterogeneous Interacting Agents

■ #Research Topics, Funded Research, and Grants-in-Aid for Scientific Research

2008/04～2011/03

Study on mechanisms of bubbles and crashes in asset markets (Key Word : )