Showing 1 - 10 of 21
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...
Persistent link: https://www.econbiz.de/10011060590
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...
Persistent link: https://www.econbiz.de/10011061783
Using the price change and the log return of 10 stock market indices, we examine the temporal evolution of the time scale. The 10 stock markets had similar properties. Their log-return time series had patterns and long-range correlations until the mid-1990s. In the 2000s, however, the long-range...
Persistent link: https://www.econbiz.de/10010588708
In this paper, we present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders....
Persistent link: https://www.econbiz.de/10010588809
The aim of this paper is to investigate the statistical properties of the spatial distribution for each of the towns in Japan, of the number of large income earners living in them and their total income. Using a Japanese database of high-income taxpayers for two consecutive years, 1997 and 1998,...
Persistent link: https://www.econbiz.de/10010589407
Pareto's law states that the distribution of personal income obeys a power-law in the high income range. Its dynamical nature has been little studied hitherto, mostly due to the lack of empirical work. Using an exhaustive list of taxpayers in Japan for two consecutive years, when the economy was...
Persistent link: https://www.econbiz.de/10010589561
This paper proposes a model of international financial crises that is based on the statistical mechanics. In our model the international stock market is composed of two groups of traders mutually influencing each other with respect to their decision behavior, and financial contagion between...
Persistent link: https://www.econbiz.de/10010589750
We investigated the network structures of the Japanese stock market using the minimum spanning tree. We defined a grouping coefficient to test the validity of the conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the...
Persistent link: https://www.econbiz.de/10010590322
This paper considers business networks. Through empirical study, we show that business networks display characteristics of small-world networks and scale-free networks. In this paper, we characterize firms as sales and bankruptcy probabilities. A correlation between sales and a correlation...
Persistent link: https://www.econbiz.de/10010590510
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log-returns of stock prices to magnetization in the model and find that it is closely related to trading volume as...
Persistent link: https://www.econbiz.de/10010590787