Details about Taisei Kaizoji

Access statistics for papers by Taisei Kaizoji.

Last updated 2019-12-01. Update your information in the RePEc Author Service.

Short-id: pka333

Working Papers

2019

1. Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
   Papers, arXiv.org View citations (13)

2017

2. Zipf's law for share price and company fundamentals
   Papers, arXiv.org View citations (1)

2016

3. Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals
   Papers, arXiv.org View citations (1)
4. Toward Economics as a New Complex System
   Papers, arXiv.org

2015

5. Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (15)
   See also Journal Article Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders, Journal of Economic Behavior & Organization, Elsevier (2015) View citations (15) (2015)

2014

6. Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
   Papers, arXiv.org View citations (1)

2013

7. Modeling of Stock Returns and Trading Volume
   Papers, arXiv.org

2012

8. A Note on Stability of Self-Consistent Equilibrium in an Asynchronous Model of Discrete-Choice with Social Interaction
   MPRA Paper, University Library of Munich, Germany

2011

9. Full characterization of the fractional Poisson process
   Papers, arXiv.org View citations (9)

2010

10. A Behavioral Model of Bubbles and Crashes
    MPRA Paper, University Library of Munich, Germany View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
11. Carry Trade, Forward Premium Puzzle and Currency Crisis
    MPRA Paper, University Library of Munich, Germany View citations (1)
12. Multiple equilibria and chaos in a discrete tâtonnement process
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Multiple equilibria and chaos in a discrete tâtonnement process, Journal of Economic Behavior & Organization, Elsevier (2010) View citations (1) (2010)
13. Stock volatility in the periods of booms and stagnations
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels
    Also in MPRA Paper, University Library of Munich, Germany (2010)

2009

14. Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
    Papers, arXiv.org View citations (6)
    See also Journal Article Effect of changing data size on eigenvalues in the Korean and Japanese stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) View citations (7) (2009)
15. Root Causes of The Housing Bubble
    MPRA Paper, University Library of Munich, Germany
16. The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
    Papers, arXiv.org

2008

17. Market Bubbles and Chrashes
    MPRA Paper, University Library of Munich, Germany
    Also in Papers, arXiv.org (2008) View citations (11)

2007

18. Group dynamics of the Japanese market
    Papers, arXiv.org View citations (3)
    See also Journal Article Group dynamics of the Japanese market, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (13) (2008)
19. The market efficiency in the stock markets
    Papers, arXiv.org
20. Volatility return intervals analysis of the Japanese market
    Papers, arXiv.org
    See also Journal Article Volatility return intervals analysis of the Japanese market, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2008) View citations (9) (2008)

2006

21. A Precursor of Market Crashes
    Papers, arXiv.org View citations (18)
22. A mechanism leading bubbles to crashes: the case of Japan's land markets
    Papers, arXiv.org View citations (1)
23. An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
    Papers, arXiv.org View citations (7)
    See also Journal Article An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (7) (2006)
24. Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (1)
    See also Journal Article Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (61) (2007)
25. Inflation and deflation in stock markets
    Papers, arXiv.org
26. Power law for ensembles of stock prices
    Papers, arXiv.org View citations (1)
    See also Journal Article Power law for ensembles of stock prices, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (6) (2004)
27. Power law for the calm-time interval of price changes
    Papers, arXiv.org View citations (1)
    See also Journal Article Power law for the calm-time interval of price changes, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (14) (2004)
28. Power laws and market crashes
    Papers, arXiv.org View citations (12)
29. Re-examination of the size distribution of firms
    Papers, arXiv.org View citations (13)
30. Response of Firm Agent Network to Exogenous Shock
    Papers, arXiv.org
    See also Journal Article Response of firm agent network to exogenous shock, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) (2007)
31. Scaling Law for the Distribution of Fluctuations of Share Volume
    Papers, arXiv.org View citations (1)
32. Scaling behavior in land markets
    Papers, arXiv.org View citations (2)
    See also Journal Article Scaling behavior in land markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (10) (2003)
33. Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
    Papers, arXiv.org View citations (2)
34. Waiting times between orders and trades in double-auction markets
    Papers, arXiv.org View citations (25)
    See also Journal Article Waiting times between orders and trades in double-auction markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (23) (2006)

2005

35. Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices
    Papers, arXiv.org
36. Grouping in the stock markets of Japan and Korea
    Papers, arXiv.org

2004

37. Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation
    Computing in Economics and Finance 2004, Society for Computational Economics
38. Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (3)
39. Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (3)

2003

40. Intermittent chaos in a model of financial markets with heterogeneous agents
    Papers, arXiv.org View citations (2)
41. Speculative bubbles and fat tail phenomena in a heterogeneous agent model
    Papers, arXiv.org View citations (5)

2002

42. Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
    Papers, arXiv.org View citations (53)
    See also Journal Article Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents, Physica A: Statistical Mechanics and its Applications, Elsevier (2002) View citations (54) (2002)
43. Growth and Fluctuations of Personal Income
    Papers, arXiv.org View citations (10)
    See also Journal Article Growth and fluctuations of personal income, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (39) (2003)

2001

44. An Interacting-Agents Approach to International Financial Contagion
    Computing in Economics and Finance 2001, Society for Computational Economics
45. Heterogeneous Interacting Agent Models and the Stylized Facts
    Computing in Economics and Finance 2001, Society for Computational Economics
46. On Dynamics in An Asset Pricing Model with Heterogeneous Expectations
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

2000

47. INTERNATIONAL FINANCIAL CRISES IN AN INTERACTING AGENT MODEL
    Computing in Economics and Finance 2000, Society for Computational Economics
48. Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity
    Papers, arXiv.org View citations (55)
    See also Journal Article Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (55) (2000)

Undated

49. Adaptive Learning Dynamics and the Stabilization Policy in an Overlapping Generations Model
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2019

1. Bitcoin and investor sentiment: Statistical characteristics and predictability
   Physica A: Statistical Mechanics and its Applications, 2019, 514, (C), 511-521 View citations (46)
2. 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, 2019, 64, (C), 273-281 View citations (14)
3. Stock market crash of 2008: an empirical study of the deviation of share prices from company fundamentals
   Applied Economics Letters, 2019, 26, (5), 362-369 View citations (1)

2018

4. ANALYSIS OF BITCOIN MARKET EFFICIENCY BY USING MACHINE LEARNING
   CBU International Conference Proceedings, 2018, 6, 175-180 View citations (2)

2017

5. REGIME CHANGE AND TREND PREDICTION FOR BITCOIN TIME SERIES DATA
   CBU International Conference Proceedings, 2017, 5, 384-388 View citations (1)

2015

6. Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders
   Journal of Economic Behavior & Organization, 2015, 112, (C), 289-310 View citations (15)
   See also Working Paper Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders, Swiss Finance Institute Research Paper Series (2015) View citations (15) (2015)

2011

7. Temporal evolution into a more efficient stock market
   Physica A: Statistical Mechanics and its Applications, 2011, 390, (11), 2002-2008 View citations (2)

2010

8. Multiple equilibria and chaos in a discrete tâtonnement process
   Journal of Economic Behavior & Organization, 2010, 76, (3), 597-599 View citations (1)
   See also Working Paper Multiple equilibria and chaos in a discrete tâtonnement process, MPRA Paper (2010) View citations (1) (2010)

2009

9. Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
   Physica A: Statistical Mechanics and its Applications, 2009, 388, (22), 4780-4786 View citations (7)
   See also Working Paper Effect of changing data size on eigenvalues in the Korean and Japanese stock markets, Papers (2009) View citations (6) (2009)

2008

10. Editorial
    Journal of Economic Interaction and Coordination, 2008, 3, (1), 1-1
11. Group dynamics of the Japanese market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 537-542 View citations (13)
    See also Working Paper Group dynamics of the Japanese market, Papers (2007) View citations (3) (2007)
12. Increasing market efficiency in the stock markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 61, (3), 389-389 View citations (9)
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 61, (2), 241-246 (2008) View citations (9)
13. Symbolic analysis of indicator time series by quantitative sequence alignment
    Computational Statistics & Data Analysis, 2008, 53, (2), 486-495 View citations (2)
14. Volatility return intervals analysis of the Japanese market
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 62, (1), 113-119 View citations (9)
    See also Working Paper Volatility return intervals analysis of the Japanese market, Papers (2007) (2007)

2007

15. Correlation patterns of NIKKEI index constituents
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 16-21 View citations (1)
16. Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (6), 1808-1843 View citations (61)
    See also Working Paper Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching, Economics Working Papers (2006) View citations (1) (2006)
17. Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis
    Physica A: Statistical Mechanics and its Applications, 2007, 375, (2), 651-667 View citations (2)
18. Regional business cycle synchronization through expectations
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 102-107 View citations (2)
19. Response of firm agent network to exogenous shock
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 138-148
    See also Working Paper Response of Firm Agent Network to Exogenous Shock, Papers (2006) (2006)
20. Stylized facts in internal rates of return on stock index and its derivative transactions
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 219-227

2006

21. A precursor of market crashes: Empirical laws of Japan's internet bubble
    The European Physical Journal B: Condensed Matter and Complex Systems, 2006, 50, (1), 123-127 View citations (22)
22. An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 109-113 View citations (7)
    See also Working Paper An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics, Papers (2006) View citations (7) (2006)
23. Correlation in business networks
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 151-155 View citations (8)
24. Waiting times between orders and trades in double-auction markets
    Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 463-471 View citations (23)
    See also Working Paper Waiting times between orders and trades in double-auction markets, Papers (2006) View citations (25) (2006)

2005

25. Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts
    Physica A: Statistical Mechanics and its Applications, 2005, 347, (C), 575-582

2004

26. A mechanism leading from bubbles to crashes: the case of Japan's land market
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 138-141 View citations (5)
27. Inflation and deflation in financial markets
    Physica A: Statistical Mechanics and its Applications, 2004, 343, (C), 662-668 View citations (3)
28. Power law for ensembles of stock prices
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 240-243 View citations (6)
    See also Working Paper Power law for ensembles of stock prices, Papers (2006) View citations (1) (2006)
29. Power law for the calm-time interval of price changes
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (3), 563-570 View citations (14)
    See also Working Paper Power law for the calm-time interval of price changes, Papers (2006) View citations (1) (2006)

2003

30. EMPIRICAL LAWS OF A STOCK PRICE INDEX AND A STOCHASTIC MODEL
    Advances in Complex Systems (ACS), 2003, 06, (03), 303-312 View citations (8)
31. Growth and fluctuations of personal income
    Physica A: Statistical Mechanics and its Applications, 2003, 321, (3), 598-604 View citations (39)
    See also Working Paper Growth and Fluctuations of Personal Income, Papers (2002) View citations (10) (2002)
32. Scaling behavior in land markets
    Physica A: Statistical Mechanics and its Applications, 2003, 326, (1), 256-264 View citations (10)
    See also Working Paper Scaling behavior in land markets, Papers (2006) View citations (2) (2006)

2002

33. Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
    Physica A: Statistical Mechanics and its Applications, 2002, 316, (1), 441-452 View citations (54)
    See also Working Paper Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents, Papers (2002) View citations (53) (2002)

2001

34. A model of international financial crises
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 279-293 View citations (5)

2000

35. Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (3), 493-506 View citations (55)
    See also Working Paper Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity, Papers (2000) View citations (55) (2000)

1994

36. Multiple equilibria and chaotic tatonnement: Applications of the Yamaguti-Matano theorem
    Journal of Economic Behavior & Organization, 1994, 24, (3), 357-362 View citations (6)

Edited books

2019

1. Network Theory and Agent-Based Modeling in Economics and Finance
   Springer Books, Springer View citations (3)

2006

2. The Complex Networks of Economic Interactions
   Lecture Notes in Economics and Mathematical Systems, Springer View citations (4)