171 citations · 993 across the 36 of their papers we have counts for
10 papers · 1 filter
The market efficiency in the stock markets
Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji +1
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability d…
Waiting times between orders and trades in double-auction markets
Enrico Scalas, Taisei Kaizoji, Michael Kirchler +2
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirica…
Response of Firm Agent Network to Exogenous Shock
Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi +3
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…
Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
Taisei Kaizoji
This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikke…
Power laws and market crashes
Taisei Kaizoji
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and f…
An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
Taisei Kaizoji
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 t…
Re-examination of the size distribution of firms
Taisei Kaizoji, Hiroshi Iyetomi, Yuichi Ikeda
In this paper we address the question of the size distribution of firms. To this aim, we use the Bloomberg database comprising multinational firms within the years 1995-2003, and a…
Grouping in the stock markets of Japan and Korea
Woo-Sung Jung, Okyu Kwon, Taisei Kaizoji +2
We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the vali…
A Precursor of Market Crashes
Taisei Kaizoji
In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as , whe…
Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices
Taisei Kaizoji
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock…