Publications

Editing Volumes

・ Akira Namatme, Taisei Kaizoji, and Enrico Scalas and: Editorial Comments:  Proceedings of Econophysics Colloquium 2006 and the third Bozenfires Colloquium, Journal of Economic Interaction and Coordination 3-1 (2008). [pdf]

・ Taisei Kaizoji, Enrico Scalas and Akira Namatame: Econophysics Colloquium 2006 and Third Bonzenfreies Colloquium, the special issue, Physica A 383(1) (2007) pp.1-170. [pdf]

・ Akira Namatame, Taisei Kaizoji, and Aruka Yuji (eds), Economics and Heterogeneous Interacting Agents, Lecture Notes in Economics and Mathematical Systems , Springer (2006). [pdf]


Review

・ Taisei Kaizoji and Didier Sornette, Market Bubble and Crash, forthcoing in Rama Cont (ed.), Encyclopedia of  Quantitative Finance, John Wiley & Sons Ltd. (2009).  [pdf]

Working Papers


・ Cheoljun Eom, Taisei Kaizoji, Yong H. Kim, and Jong Won Park, Enhancing the Practical Usefulness of a Markowitz Optimal Portfolio by Controlling a Market Factor in Correlation between Stocks, to be submitted into Quantitative Finance (2009) [pdf]
 
・ C. Eom, W.-S. Jung, T. Kaizoji, Y. Kim, and J. Park (2009), "The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stocks Markets," to be submitted into Journal of Financial Service Research (2009) [pdf].

・ C. Eom, W.-S. Jung, T. Kaizoji, Y. Kim, and J. Park (2009), "A Study on Effective Portfolio Optimization based on Random Matrix Theory in Stock Markets," preprint, and presented at 16th Joint Conference of Korea-America Finance Association with four Korean Finance Associations in May 22-23, (2009) [pdf].

・ Taisei Kaizoji, A Behavioral Model of Bubbles and Crashes, MPRA Paper 20352 (2010).

Research Papers

・ C. Eom, W. Jung , T Kaizoji, and S. Kim (2009), "Effect on Eigenvalue by Changing Sample Size in the Korean and Japanese Stock Markets," Physica AVolume 388-22, 15, (2009)  4780-4786 [pdf]. 

・ Yamano, Takuya, Sato, Kodai, Kaizoji, Taisei, Rost, Jan-Michael, and Pichl, Lukás: Symbolic analysis of indicator time series by quantitative sequence alignment, Computational Statistics & Data Analysis, 53-2 (2008) 486-495. [pdf]

・ Jung, Woo-Sung, Wang, Fengzhong, Havlin, Shlomo, Kaizoji, Taisei, Moon, Hie-Tae, Stanley, H. Eugene, Volatility return intervals analysis of the Japanese market, European Physical Journal B 62 (2008) 113-119.  [pdf]

・ Woo-Sung Jung, Okyu Kwon, Fengzhong Wang, Taisei Kaizoji, Hie-Tae Moon, and H. Eugene Stanley, Group dynamics of the Japanese market, Physica A 387, 2-3 (2008) 537-542.  [pdf]

・ Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji, and In-mook Kim, Increasing market efficiency in the stock markets, European Physical Journal B 61 (2008) 241-246.  [pdf]

・ Katsuhiko Hayashi, Taisei Kaizoji and Lukáš Pichl: "Correlation patterns of NIKKEI index constituents: Towards a mean field model", Physica A 383 (2007) 16-2153.  [pdf]

・ Tamotsu Onozaki, Tatsuo Yanagita, Taisei Kaizoji, Kazutaka Toyabe: Regional Business Cycle Synchronization without Interregional Trade Linkages, Physica A 383 (2007) 102-107.  [pdf]

・ Lukáš Pichl, Taisei Kaizoji and Takuya Yamano: Stylized facts in internal rates of return on stock index and its derivative transactions, Physica A382 (2007) 219-227.  [pdf]

・ Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi, Yoshi Fujiwara, Wataru Souma and Taisei Kaizoji: Response of firm agent network to exogenous shock, Physica A 382 (2007) 138-148. [pdf]

・ Yuichi Ikeda, Hideaki Aoyama, Hiroshi Iyetomi, Yoshi Fujiwara, Wataru Souma, and Taisei Kaizoji: Quantitative agent-based firm dynamics simulation with parameters estimated on financial and transaction data analysis, Physica A 375, (2007) 651-667.  [pdf]

・ Thomas Lux and Taisei Kaizoji: Forecasting and volatility in the Tokyo Stock Market: The advantage of long memory models, Journal of Economic Dynamics and Control 31(6) (2007) 1808-1843.  [pdf]

・ Lukáš Pichl, T. Yamano, and T. Kaizoji, “On the Symbolic Analysis of Market Indicators with the Dynamic Programming Approach”, Lecture Notes in Computer Science 3973, pp.432-441, (2006).  [pdf]

・ Wataru Souma, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda, Hiroshi Iyetomi and Taisei Kaizoji: 　Correlation in business networks, Physica A370（2006）151-155.  [pdf]

・ Taisei Kaizoji: An interacting-agent model of financial markets from the viewpoint　of nonextensive statistical mechanics, Physica A370 （2006）109-113. [pdf]

・ Taisei Kaizoji: Precursors of Market Crashes: Empirical laws of the Japan’s internet bubbles, European Physical Journal B50 (2006) 123-127.  [pdf]

・ Taisei Kaizoji: Power laws and market crashes: Empirical laws on bursting bubbles, Progress of Theoretical Physics Supplement 162 (2006) 165-172.  [pdf]

・ Akira Namatame, Taisei Kaizoji, and Kazuya Konno: Relationship between trader types and their long-run wealth in an artificial financial market, The ICFAI Journal of Behavioral Finance Vol. 3 No. 1, (2006) 43-60.  [pdf]

・ Enrico Scalas, Taisei Kaizoji, Michael Kirchler, Jürgen Huber, and Alessandra Tedeschi: Waiting times between orders and trades in double-auction markets, Physica A366 (2006) 463-471.  [pdf]

・ Taisei Kaizoji: On stock-price fluctuations in the periods of booms and stagnations, in A. Chatterjee, Bikas K. Chakrabarti (eds.) Econophysics of Stock Markets and Minority Games, Springer (2006) 3-12.  [pdf]

・  T. Kaizoji. H. Iyetomi, and Y. Ikeda, Re-examination of the size distribution of firms, Evolutionary and Institutional Economics Review, vol.2 no. 2. (2006) 183-198.  [pdf]

・ Taisei Kaizoji: Spatial distribution of large income earners: an empirical study on the formation of exclusive residential districts, Physica A 347 (2005) pp.575-582.  [pdf]

・ Tomoko Fuku, Akira Namatame, and Taisei Kaizoji: Collective Efficiency in Two-Side Matching, P. Mathieu, et. al., eds., Artificial Economics: Lecture Notes in Economics and Mathematical Systems 564, Springer (2005) 115-126.  [pdf]

・ Taisei Kaizoji: Statistical properties of the volatility and a stochastic model of markets with heterogeneous agents, in Lux, T., S. Reitz and E. Samanidou, eds., Heterogeneous Agents and Nonlinear Dynamics: Lecture Notes in Economics and Mathematical Systems, Berlin: Springer-Verlag (2005).  [pdf]

・ Taisei Kaizoji and Michiyo Kaizoji: Power law for ensembles of stock prices, Physica A344 (2004) pp. 240-243.  [pdf]

・ Taisei Kaizoji and Michiyo Kaizoji: “A mechanism leasing bubbles to crashes: the case of the Japanese land markets”, Physica A344 (2004) pp.138-141.  [pdf]

・ Taisei Kaizoji: “Inflations and deflations in financial markets,” Physica A343 (2004) 662-668.  [pdf]

・ Taisei Kaizoji and Michiyo Kaizoji: “Power-laws for the calm-time interval　distribution of changes in share prices,” Physica A336 (2004) 563-570.  [pdf]

・ Taisei Kaizoji: Intermittent chaos in a model of financial markets with heterogeneous agents, Chaos, Solitons, & Fractals 20 (2) (2004) 323-327.  [pdf]

・ Taisei Kaizoji and Michiyo Kaizoji: “Exponential laws of a stock price index and a stochastic model,” Advances in Complex Systems 6 (3) (2003) 1-10.  [pdf]

・ Taisei Kaizoji and Masahide Nuki: “Scaling law for the distribution of fluctuations of share volume,” Fractals 11 (4) (2003) 1-5.  [pdf]

・ Taisei Kaizoji: “Scaling behavior in land markets,” Physica A326 (2003) 256-264.  [pdf]

・ Yoshi Fujiwara, Wataru Souma, Hideaki Aoyama, Taisei Kaizoji, Masanao Aoki:　“Growth and fluctuations of personal income,” Physica A321 (2003) 598-604. [pdf]

・ Taisei Kaizoji: Speculative bubbles and fat tail phenomena in a heterogeneous-agent model, in W. Barnett, et.al., Economic Complexity: Non-linear dynamics, multi-agents economics, and learning, in Chapter 10, ISETE vol.14, Elsevier, Amsterdam (2003) pp.259-275. [pdf]

・ Taisei Kaizoji, Stefan Bornoldt and Yoshi Fujiwara: “Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents,” Physica A 316 (2002) 441-452. [pdf]

・ Taisei Kaizoji: “Speculative dynamics in a heterogeneous agent model,” Nonlinear Dynamics, Psychology, & Life Sciences vol.6 (2002), pp.217-229. [pdf]

・ Taisei Kaizoji: “A stochastic model of a market with interacting traders,” Proceedings of Complex Systems (2002), pp.193-197.  [pdf]

・ Taisei Kaizoji: “An interacting-agent model of financial crises,” in R. Cowan, Nicolas Jonard (eds.) Heterogeneous Agents, Interactions and Economic Performance (Lecture Notes in Economics and Mathematical Systems, vol. 521), Springer, Berlin- Heidelberg (2002) pp. 245-258.  [pdf]

・ Taisei Kaizoji: “A Model of international financial crises,” Physica A 299 (2001), pp.279-293. [pdf]

・ Taisei Kaizoji: “Speculative dynamics in a heterogeneous-agent model,” in Lecture Notes in Computer Science, Vol. 2130, (2001), pp. 775-779. [pdf]

・ Taisei Kaizoji: “A mechanism of international transmission of financial crises,” in H. Takayasu (ed.) Empirical Science of Financial Fluctuation – The Advent of Econophysics, Springer-Verlag Tokyo (2001), pp 90-101. [pdf]

・ Taisei Kaizoji and Tomoaki Suzudo: Evolutionary model of opinion formation, Proceedings of Fourth International Conference on Computational Intelligence and Multimedia Applications (ICCIMA) (2001), pp.39-43. [pdf]

・ Taisei Kaizoji: “Speculative bubbles and crashes in stock markets: an interacting agent model of speculative activity,”  Physica A. 287, 3-4 (2000), 493-506. [pdf]

・ Taisei Kaizoji: “Speculative chaos in a heterogeneous agents model of a foreign exchange market,” in Proceedings of JCIS 2000, (2000), pp.899-902.

・ Taisei Kaizoji: “A synergetic approach to speculative price volatility,” IEICE Transaction on Fundamentals of Electronics, Communications and Computer Sciences, EA82-A, 9, (1999) pp.1874-1882. [pdf]

・ Taisei Kaizoji: “Complex dynamics of speculative dynamics,” Complexity International, vol. 6, (1999). (An on-line journal, http://www.csu.edu.au/ci/).  [pdf]

・ Norihiko Suzuki and Taisei Kaizoji: “Nation states and multinational business         in the global reach,” Global Competition and Integration, edited by R. Sato, R. V. Ramachandran, and K. Mino, Kluwer Academic Publishers, (1999) pp. 559-595.  [pdf]

・ Taisei Kaizoji: “Self-organization of international financial crises,” Proceedings of 1999 IEEE International Conference on System, Man, and Cybernetics, Vol.II (1999) pp.616- 619.  [pdf]

・ Taisei Kaizoji: “Self-organization of financial crises,” Proceedings of International Conference on Artificial Intelligence, Vol. II, (1999) pp.353-359.  [pdf]

・ Taisei Kaizoji: “A synergetic approach to stock price volatility,” Proceedings of Symposium on  Applied  Computing (SAC’99), (1999) pp.57-65.  [pdf]

・ Taisei Kaizoji: Excess volatility and contagion dynamics in a heterogeneous agent model, in Sean Holly(ed.), Computation in Economics, Finance and Engineering, Elsevier Science Ltd. (1998).  [pdf]

・ Taisei Kaizoji: “Stabilizing chaotic business cycles using a neural network, in Sean Holly(ed.), Computation in Economics, Finance and Engineering, Elsevier Science Ltd. (1998).  [pdf]

・ Taisei Kaizoji and Toru Hattori: “Forecasting and stabilizing economic fluctuations using radial basis function networks,” Complexity and Diversity,” in E. R. Nakamura (ed.), Springer-Verlag, (1998) pp.193-195.  [pdf]

・ Taisei Kaizoji: “Complexity of learning dynamics in a speculative price model,” Proceedings on 1998 International Symposium on Nonlinear Theory and its Applications, Vol. 2, (1998) pp.547-550.  [pdf]

・ Taisei Kaizoji: “Multiple equilibria and chaotic tatonnement: applications of the Yamaguti, Matano theorem,”Journal of Economic Behavior and Organization, 24, (1994), pp.357-362. [pdf]