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...

In this paper, we compare the bitcoin exchange rate of the U.S. dollar against the Euro with the relevant foreign spot exchange rate and find empirical evidence of co-integration and one-way Granger-causality from the spot exchange rate to the bitcoin exchange rate. Furthermore, we find market...

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...

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...

This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First, the performance of individual firms on a real...