Kazuko Yamasaki

The growth of business firms: Theoretical framework and empirical evidence

We introduce a model of proportional growth to explain the distribution P(g)(g) of business-firm growth rates. The model predicts that P(g)(g) is exponential in the central part and depicts an asymptotic power-law behavior in the tails with an exponent zeta = 3. Because of data limitations, previous studies in this field have been focusing exclusively on the Laplace shape of the body of the distribution. In this article, we test the model at different levels of aggregation in the economy, from products to firms to countries, and we find that the predictions of the model agree with empirical growth distributions and size-variance relationships.

Scaling and memory of intraday volatility return intervals in stock markets.

We study the return interval tau between price volatilities that are above a certain threshold q for 31 intraday data sets, including the Standard and Poors 500 index and the 30 stocks that form the Dow Jones Industrial index. For different threshold q, the probability density function Pq(tau)scales with the mean interval tau as [Formula: see text], similar to that found in daily volatilities. Since the intraday records have significantly more data points compared to the daily records, we could probe for much higher thresholds and still obtain good statistics. We find that the scaling function f(x)is consistent for all 31 intraday data sets in various time resolutions, and the function is well-approximated by the stretched exponential, f(x) similar to e(-ax)(gamma), with gamma=0.38+/-0.05 and a=3.9+/-0.5, which indicates the existence of correlations. We analyze the conditional probability distribution Pq(tau/tau0) for tau following a certain interval tau0, and find Pq(tau/tau0) depends on tau0, which demonstrates memory in intraday return intervals. Also, we find that the mean conditional interval (tau/tau0) increases with tau0, consistent with the memory found for Pq(tau/tau0). Moreover, we find that return interval records, in addition to having short-term correlations as demonstrated by Pq(tau/tau0), have long-term correlations with correlation exponents similar to that of volatility records.

Pattern of climate network blinking links follows El Niño events

Using measurements of atmospheric temperatures, we create a weighted network in different regions on the globe. The weight of each link is composed of two numbers —the correlations strength between the two places and the time delay between them. A characterization of the different typical links that exist is presented. A surprising outcome of the analysis is a new dynamical quantity of link blinking that seems to be sensitive especially to El Nino even in geographical regimes outside the Pacific Ocean. Copyright c EPLA, 2008

Emergence of El Nino as an Autonomous Component in the Climate Network

We construct and analyze a climate network which represents the interdependent structure of the climate in different geographical zones and find that the network responds in a unique way to El Niño events. Analyzing the dynamics of the climate network shows that when El Niño events begin, the El Niño basin partially loses its influence on its surroundings. After typically three months, this influence is restored while the basin loses almost all dependence on its surroundings and becomes autonomous. The formation of an autonomous basin is the missing link to understand the seemingly contradicting phenomena of the afore-noticed weakening of the interdependencies in the climate network during El Niño and the known impact of the anomalies inside the El Niño basin on the global climate system.

Indication of multiscaling in the volatility return intervals of stock markets

The distribution of the return intervals tau between price volatilities above a threshold height q for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined nonlinear mechanism, we investigate intraday data sets of 500 stocks which consist of Standard & Poors 500 index. We show that the cumulative distribution of return intervals has systematic deviations from scaling. We support this finding by studying the m -th moment micro_{m} identical with(tau/tau);{m};{1/m} , which show a certain trend with the mean interval tau . We generate surrogate records using the Schreiber method, and find that their cumulative distributions almost collapse to a single curve and moments are almost constant for most ranges of tau . Those substantial differences suggest that nonlinear correlations in the original volatility sequence account for the deviations from a single scaling law. We also find that the original and surrogate records exhibit slight tendencies for short and long tau , due to the discreteness and finite size effects of the records, respectively. To avoid as possible those effects for testing the multiscaling behavior, we investigate the moments in the range 10<tau< or =100 , and find that the exponent alpha from the power law fitting micro_{m} approximately tau;{alpha} has a narrow distribution around alpha not equal0 which depends on m for the 500 stocks. The distribution of alpha for the surrogate records are very narrow and centered around alpha=0 . This suggests that the return interval distribution exhibits multiscaling behavior due to the nonlinear correlations in the original volatility.

Multifactor analysis of multiscaling in volatility return intervals

We study the volatility time series of 1137 most traded stocks in the U.S. stock markets for the two-year period 2001-2002 and analyze their return intervals tau , which are time intervals between volatilities above a given threshold q . We explore the probability density function of tau , P_(q)(tau) , assuming a stretched exponential function, P_(q)(tau) approximately e;(-tau;(gamma)) . We find that the exponent gamma depends on the threshold in the range between q=1 and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how gamma depends on four essential factors, capitalization, risk, number of trades, and return. We show that gamma depends on the capitalization, risk, and return but almost does not depend on the number of trades. This suggests that gamma relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of tau , mu_(m) identical with(tautau);(m);(1m) , in the range of 10<tau< or =100 by a power law, micro_(m) approximately tau;(delta). The exponent delta is found also to depend on the capitalization, risk, and return but not on the number of trades, and its tendency is opposite to that of gamma . Moreover, we show that delta decreases with increasing gamma approximately by a linear relation. The return intervals demonstrate the temporal structure of volatilities and our findings suggest that their multiscaling features may be helpful for portfolio optimization.

Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets

In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in extracting interactions between financial entities. Here, we propose a modified MST network whose metric distance is defined in terms of cross-correlation coefficient absolute values, enabling the connections between anticorrelated entities to manifest properly. We investigate 69 daily time series, comprising three types of financial assets: 28 stock market indicators, 21 currency futures, and 20 commodity futures. We show that though the resulting MST network evolves over time, the financial assets of similar type tend to have connections which are stable over time. In addition, we find a characteristic time lag between the volatility time series of the stock market indicators and those of the EU CO(2) emission allowance (EUA) and crude oil futures (WTI). This time lag is given by the peak of the cross-correlation function of the volatility time series EUA (or WTI) with that of the stock market indicators, and is markedly different (>20 days) from 0, showing that the volatility of stock market indicators today can predict the volatility of EU emissions allowances and of crude oil in the near future.

Climate Networks Based on Phase Synchronization Analysis Track El-Niño

Eight networks, based on temperature records from four different geographical regions in two pressure levels, are created in resolute snapshots of time for the last 28 years. The links represent the level of robust phase synchronization between places in the interior of each regime. The number of links appears to be a sensitive measure of the El-Nino influence even on regimes far away from the El-Nino basin. A comparison between the statistical information of the phase synchronization network and the similar information obtained previously using cross correlation technique is provided.

A generalized preferential attachment model for business firms growth rates - I. Empirical evidence

Abstract.We introduce a model of proportional growth to explain the distribution P(g) of business firm growth rates. The model predicts that P(g) is Laplace in the central part and depicts an asymptotic power-law behavior in the tails with an exponent ζ = 3. Because of data limitations, previous studies in this field have been focusing exclusively on the Laplace shape of the body of the distribution. We test the model at different levels of aggregation in the economy, from products, to firms, to countries, and we find that the predictions are in good agreement with empirical evidence on both growth distributions and size-variance relationships.

Artificial neural network ensemble-based land-cover classifiers using MODIS data

Terra and Aqua, two satellites launched by the NASA-centered International Earth Observing System project, house MODIS (moderate resolution imaging spectroradiometer) sensors. Moderate-resolution remote sensing allows the quantifying of land-surface type and extent, which can be used to monitor changes in land cover and land use for extended periods of time. In this article, we propose land-surface classification by applying an ensemble technique based on fault masking among individual classifiers in N-version programming. An N-version programming ensemble of artificial neural networks is created, in which the majority vote result is used to predict land-surface cover from MODIS data. It is shown by experiment that an N-version programming ensemble of neural networks greatly improves the classification error rate of land-cover type.