IDEAS home Printed from https://ideas.repec.org/f/pka333.html
   My authors  Follow this author

Taisei Kaizoji

Personal Details

First Name:Taisei
Middle Name:
Last Name:Kaizoji
Suffix:
RePEc Short-ID:pka333
http://subsite.icu.ac.jp/people/kaizoji/index.html

Affiliation

(50%) 国際基督教大学大学院アーツ・サイエンス研究科 (International Christian University, Graduate school of Arts and Sciences)

http://www.icu.ac.jp/gs/
Japan, Tokyo

(50%) Social Science Research Institute
International Christian University

Tokyo, Japan
http://icussri.org/
RePEc:edi:ssicujp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Cheoljun Eom & Taisei Kaizoji & Enrico Scalas, 2019. "Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market," Papers 1904.02567, arXiv.org.
  2. Taisei Kaizoji & Michiko Miyano, 2017. "Zipf's law for share price and company fundamentals," Papers 1702.00144, arXiv.org.
  3. Taisei Kaizoji & Michiko Miyano, 2016. "Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals," Papers 1607.03205, arXiv.org.
  4. Taisei Kaizoji, 2016. "Toward Economics as a New Complex System," Papers 1611.05280, arXiv.org.
  5. Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
  6. Taisei Kaizoji, 2013. "Modeling of Stock Returns and Trading Volume," Papers 1309.2416, arXiv.org.
  7. Kaizoji, Taisei, 2012. "A Note on Stability of Self-Consistent Equilibrium in an Asynchronous Model of Discrete-Choice with Social Interaction," MPRA Paper 38730, University Library of Munich, Germany.
  8. T. Kaizoji & M. Leiss & A. Saichev & D. Sornette, 2011. "Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders," Papers 1109.4726, arXiv.org, revised Mar 2014.
  9. Mauro Politi & Taisei Kaizoji & Enrico Scalas, 2011. "Full characterization of the fractional Poisson process," Papers 1104.4234, arXiv.org.
  10. Kaizoji, Taisei, 2010. "Stock volatility in the periods of booms and stagnations," MPRA Paper 23727, University Library of Munich, Germany.
  11. Kaizoji, Taisei, 2010. "Multiple equilibria and chaos in a discrete tâtonnement process," MPRA Paper 24002, University Library of Munich, Germany.
  12. Kaizoji, Taisei (kaizoji@icu.ac.jp), 2010. "A Behavioral Model of Bubbles and Crashes," MPRA Paper 20352, University Library of Munich, Germany.
  13. Kaizoji, Taisei, 2010. "Carry Trade, Forward Premium Puzzle and Currency Crisis," MPRA Paper 21432, University Library of Munich, Germany.
  14. Kaizoji, Taisei, 2009. "Root Causes of The Housing Bubble," MPRA Paper 16808, University Library of Munich, Germany.
  15. Cheoljun Eom & Jongwon Park & Woo-Sung Jung & Taisei Kaizoji & Yong H. Kim, 2009. "The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets," Papers 0902.3836, arXiv.org.
  16. T. Kaizoji & D. Sornette, 2008. "Market bubbles and crashes," Papers 0812.2449, arXiv.org.
  17. Cheoljun Eom & Woo-Sung Jung & Taisei Kaizoji & Seunghwan Kim, 2008. "Effect of changing data size on eigenvalues in the Korean and Japanese stock markets," Papers 0811.4021, arXiv.org, revised Jun 2009.
  18. Jae-Suk Yang & Wooseop Kwak & Taisei Kaizoji & In-mook Kim, 2007. "The market efficiency in the stock markets," Papers physics/0701179, arXiv.org, revised Jan 2007.
  19. Woo-Sung Jung & Okyu Kwon & Fengzhong Wang & Taisei Kaizoji & Hie-Tae Moon & H. Eugene Stanley, 2007. "Group dynamics of the Japanese market," Papers 0708.0562, arXiv.org.
  20. Woo-Sung Jung & Fengzhong Wang & Shlomo Havlin & Taisei Kaizoji & Hie-Tae Moon & H. Eugene Stanley, 2007. "Volatility return intervals analysis of the Japanese market," Papers 0709.1725, arXiv.org.
  21. Yuichi Ikeda & Hideaki Aoyama & Hiroshi Iyetomi & Yoshi Fujiwara & Wataru Souma & Taisei Kaizoji, 2006. "Response of Firm Agent Network to Exogenous Shock," Papers physics/0607287, arXiv.org.
  22. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers 2006-13, Christian-Albrechts-University of Kiel, Department of Economics.
  23. Taisei Kaizoji, 2006. "An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics," Papers physics/0601106, arXiv.org, revised Apr 2006.
  24. Taisei Kaizoji, 2006. "Power laws and market crashes," Papers physics/0603138, arXiv.org.
  25. Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
  26. Taisei Kaizoji, 2006. "Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents," Papers physics/0603139, arXiv.org.
  27. Taisei Kaizoji, 2005. "Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices," Papers physics/0506114, arXiv.org.
  28. Woo-Sung Jung & Okyu Kwon & Taisei Kaizoji & Seungbyung Chae & Hie-Tae Moon, 2005. "Grouping in the stock markets of Japan and Korea," Papers physics/0511224, arXiv.org.
  29. Taisei Kaizoji & Hiroshi Iyetomi & Yuichi Ikeda, 2005. "Re-examination of the size distribution of firms," Papers physics/0512124, arXiv.org, revised Mar 2006.
  30. Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
  31. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers 2004-05, Christian-Albrechts-University of Kiel, Department of Economics.
  32. Taisei KAIZOJI, 2004. "Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation," Computing in Economics and Finance 2004 305, Society for Computational Economics.
  33. Taisei Kaizoji, 2004. "Inflation and deflation in stock markets," Papers cond-mat/0401140, arXiv.org, revised Mar 2006.
  34. Taisei Kaizoji & Thomas Lux, 2004. "Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models," Computing in Economics and Finance 2004 158, Society for Computational Economics.
  35. Taisei Kaizoji & Michiyo Kaizoji, 2003. "A mechanism leading bubbles to crashes: the case of Japan's land markets," Papers cond-mat/0312404, arXiv.org, revised Mar 2006.
  36. Taisei Kaizoji, 2003. "Intermittent chaos in a model of financial markets with heterogeneous agents," Papers nlin/0312065, arXiv.org.
  37. Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for ensembles of stock prices," Papers cond-mat/0312406, arXiv.org, revised Mar 2006.
  38. Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for the calm-time interval of price changes," Papers cond-mat/0312560, arXiv.org, revised Mar 2006.
  39. Taisei Kaizoji, 2003. "Scaling behavior in land markets," Papers cond-mat/0302470, arXiv.org, revised Mar 2006.
  40. Taisei Kaizoji & Masahide Nuki, 2003. "Scaling Law for the Distribution of Fluctuations of Share Volume," Papers cond-mat/0302468, arXiv.org, revised Mar 2006.
  41. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
  42. Yoshi Fujiwara & Wataru Souma & Hideaki Aoyama & Taisei Kaizoji & Masanao Aoki, 2002. "Growth and Fluctuations of Personal Income," Papers cond-mat/0208398, arXiv.org.
  43. Taisei Kaizoji & Stefan Bornholdt & Yoshi Fujiwara, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Papers cond-mat/0207253, arXiv.org.
  44. Taisei Kaizoji & Thomas Lux, 2001. "On Dynamics in An Asset Pricing Model with Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 2A.3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  45. Taisei Kaizoji, 2001. "Heterogeneous Interacting Agent Models and the Stylized Facts," Computing in Economics and Finance 2001 175, Society for Computational Economics.
  46. Taisei Kaizoji, 2001. "An Interacting-Agents Approach to International Financial Contagion," Computing in Economics and Finance 2001 190, Society for Computational Economics.
  47. Taisei Kaizoji, 2000. "International Financial Crises In An Interacting Agent Model," Computing in Economics and Finance 2000 324, Society for Computational Economics.
  48. Taisei Kaizoji, 2000. "Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity," Papers cond-mat/0010263, arXiv.org.
  49. Taisei Kaizoji, "undated". "Adaptive Learning Dynamics and the Stabilization Policy in an Overlapping Generations Model," Computing in Economics and Finance 1997 118, Society for Computational Economics.

Articles

  1. Eom, Cheoljun & Kaizoji, Taisei & Kang, Sang Hoon & Pichl, Lukas, 2019. "Bitcoin and investor sentiment: Statistical characteristics and predictability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 511-521.
  2. Taisei Kaizoji & Michiko Miyano, 2019. "Stock market crash of 2008: an empirical study of the deviation of share prices from company fundamentals," Applied Economics Letters, Taylor & Francis Journals, vol. 26(5), pages 362-369, March.
  3. Nan, Zheng & Kaizoji, Taisei, 2019. "Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 273-281.
  4. Yuki Hirano & Lukáš Pichl & Cheoljun Eom & Taisei Kaizoji, 2018. "Analysis Of Bitcoin Market Efficiency By Using Machine Learning," CBU International Conference Proceedings, ISE Research Institute, vol. 6(0), pages 175-180, September.
  5. Osamu Kodama & Lukáš Pichl & Taisei Kaizoji, 2017. "Regime Change And Trend Prediction For Bitcoin Time Series Data," CBU International Conference Proceedings, ISE Research Institute, vol. 5(0), pages 384-388, September.
  6. Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
  7. Yang, Jae-Suk & Kaizoji, Taisei & Kwak, Wooseop, 2011. "Temporal evolution into a more efficient stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2002-2008.
  8. Kaizoji, Taisei, 2010. "Multiple equilibria and chaos in a discrete tâtonnement process," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 597-599, December.
  9. Eom, Cheoljun & Jung, Woo-Sung & Kaizoji, Taisei & Kim, Seunghwan, 2009. "Effect of changing data size on eigenvalues in the Korean and Japanese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4780-4786.
  10. Jung, Woo-Sung & Kwon, Okyu & Wang, Fengzhong & Kaizoji, Taisei & Moon, Hie-Tae & Stanley, H. Eugene, 2008. "Group dynamics of the Japanese market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 537-542.
  11. W.-S. Jung & F. Z. Wang & S. Havlin & T. Kaizoji & H.-T. Moon & H. E. Stanley, 2008. "Volatility return intervals analysis of the Japanese market," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 62(1), pages 113-119, March.
  12. Akira Namatame & Taisei Kaizoji & Enrico Scalas, 2008. "Editorial," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 1-1, June.
  13. Yamano, Takuya & Sato, Kodai & Kaizoji, Taisei & Rost, Jan-Michael & Pichl, Lukás, 2008. "Symbolic analysis of indicator time series by quantitative sequence alignment," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 486-495, December.
  14. Jae-Suk Yang & Wooseop Kwak & Taisei Kaizoji & In-mook Kim, 2008. "Increasing market efficiency in the stock markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 61(3), pages 389-389, February.
  15. Hayashi, Katsuhiko & Kaizoji, Taisei & Pichl, Lukáš, 2007. "Correlation patterns of NIKKEI index constituents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 16-21.
  16. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
  17. Onozaki, Tamotsu & Yanagita, Tatsuo & Kaizoji, Taisei & Toyabe, Kazutaka, 2007. "Regional business cycle synchronization through expectations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 102-107.
  18. Ikeda, Yuichi & Souma, Wataru & Aoyama, Hideaki & Iyetomi, Hiroshi & Fujiwara, Yoshi & Kaizoji, Taisei, 2007. "Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 651-667.
  19. Ikeda, Yuichi & Aoyama, Hideaki & Iyetomi, Hiroshi & Fujiwara, Yoshi & Souma, Wataru & Kaizoji, Taisei, 2007. "Response of firm agent network to exogenous shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 138-148.
  20. Pichl, Lukáš & Kaizoji, Taisei & Yamano, Takuya, 2007. "Stylized facts in internal rates of return on stock index and its derivative transactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 219-227.
  21. Souma, Wataru & Aoyama, Hideaki & Fujiwara, Yoshi & Ikeda, Yuichi & Iyetomi, Hiroshi & Kaizoji, Taisei, 2006. "Correlation in business networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 151-155.
  22. Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
  23. T. Kaizoji, 2006. "A precursor of market crashes: Empirical laws of Japan's internet bubble," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(1), pages 123-127, March.
  24. Kaizoji, Taisei, 2006. "An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 109-113.
  25. Kaizoji, Taisei, 2005. "Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 575-582.
  26. Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "Power law for the calm-time interval of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 563-570.
  27. Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "Power law for ensembles of stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 240-243.
  28. Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "A mechanism leading from bubbles to crashes: the case of Japan's land market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 138-141.
  29. Kaizoji, Taisei, 2004. "Inflation and deflation in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 662-668.
  30. Fujiwara, Yoshi & Souma, Wataru & Aoyama, Hideaki & Kaizoji, Taisei & Aoki, Masanao, 2003. "Growth and fluctuations of personal income," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 321(3), pages 598-604.
  31. Taisei Kaizoji & Michiyo Kaizoji, 2003. "Empirical Laws Of A Stock Price Index And A Stochastic Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 303-312.
  32. Kaizoji, Taisei, 2003. "Scaling behavior in land markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(1), pages 256-264.
  33. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
  34. Kaizoji, Taisei, 2001. "A model of international financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 279-293.
  35. Kaizoji, Taisei, 2000. "Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 493-506.
  36. Kaizouji, Taisei, 1994. "Multiple equilibria and chaotic tatonnement: Applications of the Yamaguti-Matano theorem," Journal of Economic Behavior & Organization, Elsevier, vol. 24(3), pages 357-362, August.

Books

  1. Anindya S. Chakrabarti & Lukáš Pichl & Taisei Kaizoji (ed.), 2019. "Network Theory and Agent-Based Modeling in Economics and Finance," Springer Books, Springer, number 978-981-13-8319-9, January.
  2. Akira Namatame & Taisei Kaizouji & Yuuji Aruka (ed.), 2006. "The Complex Networks of Economic Interactions," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28727-8, July.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Number of Authors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (6) 2001-02-14 2010-02-13 2010-07-17 2013-09-24 2016-07-16 2019-04-08. Author is listed
  2. NEP-UPT: Utility Models and Prospect Theory (4) 2010-02-13 2010-03-28 2011-10-01 2016-07-23
  3. NEP-RMG: Risk Management (3) 2007-01-14 2010-07-17 2010-08-21
  4. NEP-HPE: History and Philosophy of Economics (2) 2012-09-03 2016-11-20
  5. NEP-MST: Market Microstructure (2) 2010-02-13 2013-09-24
  6. NEP-URE: Urban and Real Estate Economics (2) 2010-07-17 2012-09-03
  7. NEP-DCM: Discrete Choice Models (1) 2012-09-03
  8. NEP-ECM: Econometrics (1) 2007-01-14
  9. NEP-ETS: Econometric Time Series (1) 2007-01-14
  10. NEP-FIN: Finance (1) 2001-02-14
  11. NEP-FOR: Forecasting (1) 2007-01-14
  12. NEP-GER: German Papers (1) 2016-07-16
  13. NEP-IFN: International Finance (1) 2010-03-28

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Taisei Kaizoji should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.