Taisei Kaizoji

Waiting times between orders and trades in double-auction markets

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 empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.

Scaling behavior in land markets

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 by the Ministry of Land, Infrastructure, and Transport, Government of Japan (the data on the assessed value of land for this paper is available on the Ministry of Land, Infrastructure and Transport Government of Japans World-Wide Web site). This is the largest database of Japans land prices, and consists of approximately 30,000 points for each year of a 6-year period (1995–2000). By analyzing the data on the assessed value of land, we were able to determine the power law distributions of the land prices and of the relative prices of the land. The data fit to a very good degree the approximation of power law distributions. We also found that the price fluctuations were amplified with the level of the price. These results hold for the data for each of the six annual intervals. Our empirical findings present the conditions that any empirically accurate theories of land market must satisfy.

Power laws and market crashes

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 formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corresponding to the period of the forming of the internet bubble in Japn, and its bursting in the Japanese stock market. We found that the tail of the complementary cumulative distribution function of the ensemble of stock prices in the high value of the price is well described by a power-law distribution,

Power Laws and Market Crashes Empirical Laws on Bursting Bubbles

P(S>x) sim x^{-alpha}

Power law for ensembles of stock prices

, with an exponent that moves in the range of

A mechanism leading from bubbles to crashes: the case of Japan's land market

1.09

An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics

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 formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corresponding to the period of the forming of the internet bubble in Japn, and its bursting in the Japanese stock market. We found that the tail of the complementary cumulative distribution function of the ensemble of stock prices in the high value of the price is well described by a power-law distribution,

Correlation in business networks

P(S>x) sim x^{-alpha}

Re-examination of the size distribution of firms

, with an exponent that moves in the range of

Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts

1.09