We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500), Nikkei stock average index, and Korean...

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...

In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a curious route to chaos is observed when the total number of...

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 getting to be influenced by the other traders' investment attitudes [1], and formulate the traders' decision-making regarding...

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only...

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a...

In this paper we present an analysis of power law statistics on land markets. There have been no other studies that have analyzed power law statistics on land markets up to now. We analyzed a database of the assessed value of land, which is officially monitored and made available to the public...

We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the...

The aim of this paper is to compare statistical properties of a bubble period with those of the anti-bubble period in stock markets. We investigate the statistical properties of daily data for the Nikkei 225 index in the 28-year period from January 1975 to April 2003, corresponded to the periods...

In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation matrix changes. Specifically, we tested for changes in the eigenvalue properties as a function of the number and type...