Solvable Stochastic Dealer Models for Financial Markets (2008)
Yamada, Kenta, Takayasu, Hideki, Ito, Takatoshi, Takayasu, Misako
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost...
Higher-order potential forces observed in bubbles and crashes in financial markets (2008)
Watanabe, Kota, Takayasu, Hideki, Takayasu, Misako
By analyzing financial time series of exceptional events such as bubbles and crashes, we confirm the existence of nonlinear potential forces in the markets. The shape of the potential function...
The Grounds For Time Dependent Market Potentials From Dealers' Dynamics (2007)
Yamada, Kenta, Takayasu, Hideki, Takayasu, Misako
We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price...
Analysis of price diffusion in financial markets using PUCK model (2006)
Mizuno, Takayuki, Takayasu, Hideki, Takayasu, Misako
Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b)...
Characterization of foreign exchange market using the threshold-dealer-model (2006)
Yamada, Kenta, Takayasu, Hideki, Takayasu, Misako
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian...
Extracting the exponential behaviors in the market data (2006)
Watanabe, Kota, Takayasu, Hideki, Takayasu, Misako
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we...
Potentials of Unbalanced Complex Kinetics Observed in Market Time Series (2005)
Takayasu, Misako, Mizuno, Takayuki, Takayasu, Hideki
As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace....
Modeling a foreign exchange rate using moving average of Yen-Dollar market data (2005)
Mizuno, Takayuki, Takayasu, Misako, Takayasu, Hideki
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From...
Correlation Networks Among Currencies (2005)
Mizuno, Takayuki, Takayasu, Hideki, Takayasu, Misako
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the...
Characteristic market behaviors caused by intervention in a foreign exchange market (2005)
Mizuno, Takayuki, Saito, Yukiko Umeno, Watanabe, Tsutomu, Takayasu, Hideki
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an...
Herd Behaviors in Financial Markets (2004)
Kim, Kyungsik, Yoon, Seong-Min, Choi, J. S., Takayasu, Hideki
We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the...
Traders' strategy with price feedbacks in financial market (2003)
Mizuno, Takayuki, Nakano, Tohur, Takayasu, Misako, Takayasu, Hideki
We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of...
Statistical Laws in the Income of Japanese Companies (2003)
Mizuno, Takayuki, Katori, Makoto, Takayasu, Hideki, Takayasu, Misako
Following the work of Okuyama, Takayasu and Takayasu [Okuyama, Takayasu and Takayasu 1999] we analyze huge databases of Japanese companies' financial figures and confirm that the Zipf's law, a power...
The mean-field approximation model of company's income growth (2003)
Mizuno, Takayuki, Takayasu, Misako, Takayasu, Hideki
We introduce a mean-field type approximation for description of company's income statistics. Utilizing huge company data we show that a discrete version of Langevin equation with additive and...
Investment strategy based on a company growth model (2003)
Mizuno, Takayuki, Kurihara, Shoko, Takayasu, Misako, Takayasu, Hideki
We first estimate the average growth of a company's annual income and its variance by using both real company data and a numerical model which we already introduced a couple of years ago. Investment...
Time-scale dependence of correlations among foreign currencies (2003)
Mizuno, Takayuki, Kurihara, Shoko, Takayasu, Misako, Takayasu, Hideki
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of...
The International Econophysics Conference (2002)
Ausloos, Marcel, Kertész, János, Mantegna, Rosario N, Scheinkman, José A, Stanley, H Eugene, Takayasu, Hideki
Analysis of high-resolution foreign exchange data of USD-JPY for 13 years (2002)
Mizuno, Takayuki, Kurihara, Shoko, Takayasu, Misako, Takayasu, Hideki
We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate...
Physica A 287 (2000) 289--301 (2002)
Kensuke Fukuda, Hideki Takayasu, Misako Takayasu
We perform a simpli#ed Ethernet tra#c simulation in order to clarify the physical mechanism of the phase transition behavior which has been experimentally observed in the #ow density #uctuation of...
興奮性信号の空間的伝播遅延を用いた任意方向動体検出イメージセンサアーキテクチャ(高機能イメージセンサ) (2002)
Akita, Junichi, Takayasu, Misako, Takayasu, Hideki, Koizumu, Amane
イメージセンサ上に情報処理機能の一部をとりこむVisionChipが広く研究されているが、ロボットビジョンなどで必要な画像の「意味」を抽出しようと...
Triangular arbitrage as an interaction among foreign exchange rates (2002)
Aiba, Yukihiro, Hatano, Naomichi, Takayasu, Hideki, Marumo, Kouhei, Shimizu, Tokiko
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the...
The mechanism of double exponential growth in hyper-inflation (2001)
Mizuno, Takayuki, Takayasu, Misako, Takayasu, Hideki
Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential...
Sato, Aki-Hiro, Takayasu, Hideki
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is...
Predictability of Currency Market Exchange (2001)
Ohira, Toru, Sazuka, Naoya, Marumo, Kouhei, Shimizu, Tokiko, Takayasu, Misako, Takayasu, Hideki
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data....
Sato, Aki-Hiro, Takayasu, Hideki
A model of fluctuations in the market price including many deterministic dealers, who predict their buying and selling prices from the latest price change, is developed. We show that price changes of...
Market price simulator based on analog electrical circuit (2001)
Sato, Aki-Hiro, Takayasu, Hideki
We constructed an analog electrical circuit which generates fluctuations in which probability density function has power law tails. In the circuit fluctuations with an arbitrary exponent of the power...
Fractal Properties in Economics (2001)
Takayasu, Hideki, Takayasu, Misako, Okazaki, Mitsuhiro P., Marumo, Kouhei, Shimizu, Tokiko
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to...
Self-Similar Traffic Originating in the Transport Layer (2000)
Fukuda, Kensuke, Takayasu, Misako, Takayasu, Hideki
We performed a network traffic simulation to clarify the mechanism producing self-similar traffic originating in the transport layer level. Self-similar behavior could be observed without assuming a...
Origin of Critical Behavior in Ethernet Traffic (2000)
Fukuda, Kensuke, Takayasu, Hideki, Takayasu, Misako
We perform a simplified Ethernet traffic simulation in order to clarify the physical mechanism of the phase transition behavior which has been experimentally observed in the flow density fluctuation...
Power law fluctuation generator based on analog electrical circuit (2000)
Sato, Aki-Hiro, Takayasu, Hideki, Sawada, Yasuji
We constructed an analog circuit generating fluctuations of which a probability density function has power law tails. In the circuit fluctuations with an arbitrary exponent of the power law can be...
Pareto's Law for Income of Individuals and Debt of Bankrupt Companies (2000)
Aoyama, Hideaki, Nagahara, Yuichi, Okazaki, Mitsuhiro P., Souma, Wataru, Takayasu, Hideki, Takayasu, Misako
We analyze the distribution of income and income tax of individuals in Japan for the fiscal year 1998. From the rank-size plots we find that the accumulated probability distribution of both data obey...
Distribution functions of relative velocities among particles in a vibrated bed of powder are studied both numerically and theoretically. In the solid phase where granular particles remain near their...
A set of hard spheres with tangential inelastic collision is found to reproduce observations of real and numerical granular matter. After time is scaled so as to cancel energy dissipation due to...
Takayasu, Hideki, Taguchi, Y-h., Katsuyama, Tomoo
We propose a simple stochastic model of cascading transport in wave number space to clarify the origin of intermittent behavior of fully-developed fluid turbulence. In spite of lack of nonlinearity...
Taguchi, Y-h., Takayasu, Hideki
A set of hard spheres with tangential inelastic collision is found to reproduce observations of real and numerical granular matter. After time is scaled so as to cancel energy dissipation due to...
Taguchi, Y-h., Takayasu, Hideki
Distribution functions of relative velocities among particles in a vibrated bed of powder are studied both numerically and theoretically. In the solid phase where granular particles remain near their...
Homogeneous Isotropic Fluid Turbulence Simulated with the Lattice Vortex Tube Model (1992)
Taguchi, Y-h., Takayasu, Hideki
Fully developed turbulence is analised with the lattice model employing vortex tube representation which is introduced recently by the authors. Several characteric features observed in experiments...
Non-Gaussian distribution in Random advection dynamics (1992)
Taguchi, Y-h., Takayasu, Hideki
Simulations of vortex tube dynamics reveal that the non-Gaussian nature of turbulent fluctuation originates in the effect of random advection. A similar non-Gaussian distribution is found numerically...
Dynamics of quote and deal prices in the foreign exchange market
Takaaki Ohnishi, Hideki Takayasu, Takatoshi Ito, Yuko Hashimoto, Tsutomu Watanabe, Misako Takayasu
Econophysics, Foreign exchange market, Power-law distribution, Anomalous diffusion, C10, C16, D40, G10,
Yuko Hashimoto, Takatoshi Ito, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu, Tsutomu Watanabe
Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a "run" -- continuous increases or decreases in deal prices for the past several...