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Details about Taisei Kaizoji

E-mail:
Homepage:http://subsite.icu.ac.jp/people/kaizoji/index.html
Workplace:国際基督教大学大学院アーツ・サイエンス研究科
Social Science Research Institute, International Christian University, (more information at EDIRC)

Access statistics for papers by Taisei Kaizoji.

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

Short-id: pka333


Jump to Journal Articles Edited books

Working Papers

2019

  1. Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
    Papers, arXiv.org Downloads

2017

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

2016

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

2015

  1. Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (5)
    See also Journal Article in Journal of Economic Behavior & Organization (2015)

2014

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

2013

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

2012

  1. 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 Downloads

2011

  1. Full characterization of the fractional Poisson process
    Papers, arXiv.org Downloads View citations (7)

2010

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

2009

  1. Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
  2. Root Causes of The Housing Bubble
    MPRA Paper, University Library of Munich, Germany Downloads
  3. The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
    Papers, arXiv.org Downloads

2008

  1. Market Bubbles and Chrashes
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Papers, arXiv.org (2008) Downloads View citations (9)

2007

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

2006

  1. A Precursor of Market Crashes
    Papers, arXiv.org Downloads View citations (2)
  2. A mechanism leading bubbles to crashes: the case of Japan's land markets
    Papers, arXiv.org Downloads View citations (1)
  3. An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  4. Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2006) Downloads
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2006) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2007)
  5. Inflation and deflation in stock markets
    Papers, arXiv.org Downloads
  6. Power law for ensembles of stock prices
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  7. Power law for the calm-time interval of price changes
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  8. Power laws and market crashes
    Papers, arXiv.org Downloads View citations (7)
  9. Re-examination of the size distribution of firms
    Papers, arXiv.org Downloads View citations (10)
  10. Response of Firm Agent Network to Exogenous Shock
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  11. Scaling Law for the Distribution of Fluctuations of Share Volume
    Papers, arXiv.org Downloads View citations (1)
  12. Scaling behavior in land markets
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
  13. Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
    Papers, arXiv.org Downloads View citations (2)
  14. Waiting times between orders and trades in double-auction markets
    Papers, arXiv.org Downloads View citations (20)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)

2005

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

2004

  1. 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
  2. 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 (2)
  3. 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 Downloads

2003

  1. Intermittent chaos in a model of financial markets with heterogeneous agents
    Papers, arXiv.org Downloads View citations (1)
  2. Speculative bubbles and fat tail phenomena in a heterogeneous agent model
    Papers, arXiv.org Downloads View citations (4)

2002

  1. Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
    Papers, arXiv.org Downloads View citations (26)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2002)
  2. Growth and Fluctuations of Personal Income
    Papers, arXiv.org Downloads View citations (7)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)

2001

  1. An Interacting-Agents Approach to International Financial Contagion
    Computing in Economics and Finance 2001, Society for Computational Economics
  2. Heterogeneous Interacting Agent Models and the Stylized Facts
    Computing in Economics and Finance 2001, Society for Computational Economics
  3. 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

  1. INTERNATIONAL FINANCIAL CRISES IN AN INTERACTING AGENT MODEL
    Computing in Economics and Finance 2000, Society for Computational Economics
  2. Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity
    Papers, arXiv.org Downloads View citations (33)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)

Undated

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

Journal Articles

2019

  1. Bitcoin and investor sentiment: Statistical characteristics and predictability
    Physica A: Statistical Mechanics and its Applications, 2019, 514, (C), 511-521 Downloads
  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 Downloads
  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 Downloads

2018

  1. ANALYSIS OF BITCOIN MARKET EFFICIENCY BY USING MACHINE LEARNING
    CBU International Conference Proceedings, 2018, 6, 175-180 Downloads

2017

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

2015

  1. Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders
    Journal of Economic Behavior & Organization, 2015, 112, (C), 289-310 Downloads View citations (5)
    See also Working Paper (2015)

2011

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

2010

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

2009

  1. 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 Downloads View citations (4)
    See also Working Paper (2009)

2008

  1. Editorial
    Journal of Economic Interaction and Coordination, 2008, 3, (1), 1-1 Downloads
  2. Group dynamics of the Japanese market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 537-542 Downloads View citations (8)
    See also Working Paper (2007)
  3. Increasing market efficiency in the stock markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 61, (2), 241-246 Downloads View citations (5)
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 61, (3), 389-389 (2008) Downloads View citations (6)
  4. Symbolic analysis of indicator time series by quantitative sequence alignment
    Computational Statistics & Data Analysis, 2008, 53, (2), 486-495 Downloads View citations (2)
  5. Volatility return intervals analysis of the Japanese market
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 62, (1), 113-119 Downloads View citations (6)
    See also Working Paper (2007)

2007

  1. Correlation patterns of NIKKEI index constituents
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 16-21 Downloads
  2. 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 Downloads View citations (48)
    See also Working Paper (2006)
  3. 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 Downloads View citations (2)
  4. Regional business cycle synchronization through expectations
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 102-107 Downloads View citations (1)
  5. Response of firm agent network to exogenous shock
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 138-148 Downloads
    See also Working Paper (2006)
  6. 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 Downloads

2006

  1. 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 Downloads View citations (16)
  2. 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 Downloads View citations (2)
    See also Working Paper (2006)
  3. Correlation in business networks
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 151-155 Downloads View citations (7)
  4. Waiting times between orders and trades in double-auction markets
    Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 463-471 Downloads View citations (19)
    See also Working Paper (2006)

2005

  1. 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 Downloads

2004

  1. 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 Downloads View citations (2)
  2. Inflation and deflation in financial markets
    Physica A: Statistical Mechanics and its Applications, 2004, 343, (C), 662-668 Downloads View citations (1)
  3. Power law for ensembles of stock prices
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 240-243 Downloads View citations (5)
    See also Working Paper (2006)
  4. Power law for the calm-time interval of price changes
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (3), 563-570 Downloads View citations (14)
    See also Working Paper (2006)

2003

  1. EMPIRICAL LAWS OF A STOCK PRICE INDEX AND A STOCHASTIC MODEL
    Advances in Complex Systems (ACS), 2003, 06, (03), 303-312 Downloads View citations (5)
  2. Growth and fluctuations of personal income
    Physica A: Statistical Mechanics and its Applications, 2003, 321, (3), 598-604 Downloads View citations (28)
    See also Working Paper (2002)
  3. Scaling behavior in land markets
    Physica A: Statistical Mechanics and its Applications, 2003, 326, (1), 256-264 Downloads View citations (6)
    See also Working Paper (2006)

2002

  1. 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 Downloads View citations (30)
    See also Working Paper (2002)

2001

  1. A model of international financial crises
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 279-293 Downloads View citations (3)

2000

  1. 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 Downloads View citations (36)
    See also Working Paper (2000)

1994

  1. Multiple equilibria and chaotic tatonnement: Applications of the Yamaguti-Matano theorem
    Journal of Economic Behavior & Organization, 1994, 24, (3), 357-362 Downloads View citations (5)

Edited books

2019

  1. Network Theory and Agent-Based Modeling in Economics and Finance
    Springer Books, Springer

2006

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