An analysis of minute-tick data from the Japanese stock index market is reported for a three-year period of 2000/7/4–2003/6/30. Correlation patterns and principal component distributions were determined for 180 constituents of the NIKKEI 225 index, excluding the effects of after-hours trading...

Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in normalized log returns, the probability distributions for such single asset encounters...

Research on loss absorption of financial group (bank network) -- The Mathematics of Human Contact -- Does it still matter in the new world where a refugee comes from? - Social network, Shocks, and Ethnicity - A multi-level analysis -- The Transferability of Human Capital, the Brain Drain, and...

Trader behavior in FX market -- The effects of information reliability on financial market -- Property price distributions of Taiwan and the UK -- Phase transition in estimation of parameters of low default portfolio -- A Cryptocurrency Fraud Spill in Japan -- Idiosyncratic volatility of the...

We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which fundamentalist and chartist traders co-exist. Fundamentalists form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility...

The aim of this paper is to show new empirical results on the statistical properties of absolute log returns, defined as the absolute value of the log return, in a stock market. We used the daily data of the Nikkei 225 index of the 28-year period from January of 1975 to December of 2002, and...

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We investigated quantitatively the calm-time intervals of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index in the 27-year period from...

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders to be influenced by the other traders’ investment attitudes [Kaizoji, Physica A 287 (2000) 493], and formulate the...