Related papers: Dynamical change of Pareto index in Japanese land …
This paper presents an empirical application of the Gause-Witt model of population ecology and ecosystems to the income distribution competitive dynamics of social classes in economic systems. The Gause-Witt mathematical system of coupled…
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
We investigated the statistical properties of the weight distributions of Japanese children who were born in 1996, from recent data. The weights of 16- and 17-year-old male children have a lognormal distribution with a power-like tail,…
First, we emphasize that the real estate price peaks which are currently under way in many industrialized countries (one important exception is Japan) share many of the characteristics of previous historical price peaks. In particular, we…
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
We study the time series data of the racetrack betting market in the Japan Racing Association (JRA). As the number of votes t increases, the win bet fraction x(t) converges to the final win bet fraction x_{f}. We observe the power law…
Using a model of wealth distribution where traders are characterized by quenched random saving propensities and trade among themselves by bipartite transactions, we mimic the enhanced rates of trading of the rich by introducing the…
Stimulated by the Boston house price data, in this paper, we propose a semiparametric spatial dynamic model, which extends the ordinary spatial autoregressive models to accommodate the effects of some covariates associated with the house…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also…
We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a…
In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson…
How areas of land are allocated for different uses, such as forests, urban areas, and agriculture, has a large effect on the terrestrial carbon balance, and therefore climate change. Based on available historical data on land-use changes…
This paper studies stochastic mechanisms under which light-tailed latent price dynamics yield realized prices with power-law tails. The realized price is modeled as $P_T=e^{X_T}$, where $X$ is a Markov-modulated L\'evy process and $T$ is…
We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The…
This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logarithmic decay characteristic of the two-dimensional random…
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an…