171 citations · 993 across the 36 of their papers we have counts for
36 papers
Mechanism of information transmission from a spot rate market to crypto-asset markets
Takeshi Yoshihara, Taisei Kaizoji
We applied the SVAR-LiNGAM to illustrate the causal relationships between the spot exchange rate, and three crypto-asset exchange rates, Bitcoin, Ethereum, and Ripple. It was notab…
Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
Cheoljun Eom, Taisei Kaizoji, Enrico Scalas
This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of…
Zipf's law for share price and company fundamentals
Taisei Kaizoji, Michiko Miyano
We statistically investigate the distribution of share price and the distributions of three common financial indicators using data from approximately 8,000 companies publicly liste…
Toward Economics as a New Complex System
Taisei Kaizoji
The 2015 Nobel Prize in Economic Sciences was awarded to Eugene Fama, Lars Peter Hansen and Robert Shiller for their contributions to the empirical analysis of asset prices. Eugene…
Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals
Taisei Kaizoji, Michiko Miyano
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large d…
Modeling of Stock Returns and Trading Volume
Taisei Kaizoji
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the tradin…