Mechanisms of Speculative Bubbles and Crashes in stock Markets

• Project/Area Number: 20510142
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: International Christian University
• Principal Investigator: KAIZOJI Taisei International Christian University, 教養学部, 教授 (10265960)
• Project Period (FY): 2008 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2009: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000); Fiscal Year 2008: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
• Keywords: ファイナンス / 経済物理学 / Behavioral Finance / Finance / Econophysics / 金融経済学

Research Abstract

I studied the mechanisms of the Internet bubbles and the burst of the bubbles occurred between 1998 and 2000 in the U.S. stock markets. (1) the reverse cumulative distribution of the Internet company's stock prices follows a Pareto distribution. When the Pareto index approached to one, we found that the crash occurred. (2) internet bubble is shown theoretically that the phase transition corresponds to the Ising model.

Research Products

• [Journal Article] Stock Volatility in the Periods of Booms and Stagnations (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: Science and Culture 76(9-10) Pages: 459-465
  • Peer Reviewed
• [Journal Article] A Route to Speculative Chaos in a Heterogeneous-Agent Model of a Financial Market (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: The IUP Journal of Behavioral Finance VII No.3 Pages: 29-37
  • Peer Reviewed
• [Journal Article] Multiple equilibria and chaos in a discrete tatonnement process (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: Journal of Economic Behavior and Organization 76 Pages: 597-599
  • Peer Reviewed
• [Journal Article] Market Bubble and Crash (2010)
  • Author(s): T. Kaizoji, D. Sornette
  • Journal Title: Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Vol.2 No.1 Pages: 1-15
  • Peer Reviewed
• [Journal Article] Stock Volatility in the Periods of Booms and Stagnations (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: Science and Culture Volume: 76(9-10) Pages: 459-465
  • Peer Reviewed
• [Journal Article] A Route to Speculative Chaos in a Heterogeneous-Agent Model of a Financial Market (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: The IUP Journal of Behavioral Finance Volume: VII No.3 Pages: 29-37
  • Peer Reviewed
• [Journal Article] Multiple equilibria and chaos in a discrete tatonnement process (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: Journal of Economic Behavior and Organization Volume: 76 Pages: 597-599
  • Peer Reviewed
• [Journal Article] Market Bubble and Crash (2010)
  • Author(s): T.Kaizoji
  • Journal Title: Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. Vol.2 No.1 Pages: 1-15
  • Peer Reviewed
• [Journal Article] Root Causes of Housing Bubble (2010)
  • Author(s): Taisei Kaizoji
  • Journal Title: Econophysics Approaches to Large-Scale Business Data and Financial Crisis Pages: 173-182
  • Peer Reviewed
• [Journal Article] Effect on Eigenvalue by Changing Sample Size in the Korean and Japanese Stock Markets (2009)
  • Author(s): C. Eom, W. Jung, T. Kaizoji, S. Kim
  • Journal Title: Physica A 388 Pages: 4780-4786
  • Peer Reviewed
• [Journal Article] Effect on Eigenvalue by Changing Sample Size in the Korean and Japanese Stock Markets (2009)
  • Author(s): C.Eom
  • Journal Title: Physica A 388 Pages: 4780-4786
  • Peer Reviewed
• [Journal Article] Symbolic analysis of indicator time series by quantitative sequence alignment (2008)
  • Author(s): Yamano, T., Sato, K., Kaizoji, T., Rost, J-M., Pichl, L.
  • Journal Title: Computational Statistics &Data Analysis 53(2) Pages: 486-495
  • Peer Reviewed
• [Journal Article] Volatility return intervals analysis of the Japanese market (2008)
  • Author(s): Jung, W., Wang, F., Havlin, S., Kaizoji, T., Moon, H., Stanley, H. E.
  • Journal Title: European Physical Journal B 62 Pages: 113-119
  • Peer Reviewed
• [Journal Article] Group dynamics of the Japanese market (2008)
  • Author(s): Jung, W., Kwon, O., Wang, F., Kaizoji, T., Moon, H., Stanley, H. E.
  • Journal Title: Physica A 387(2-3) Pages: 537-542
  • Peer Reviewed
• [Presentation] Power Laws and Financial Crisis, Econophysics Colloquium 2010 (2010)
  • Author(s): Taisei Kaizoji
  • Organizer: Academia Sinica
  • Place of Presentation: Taipei, Taiwan
  • Year and Date: 2010-11-05
• [Presentation] Power Laws and Financial Crisis (2010)
  • Author(s): Taisei Kaizoji
  • Organizer: Econophysics Colloquium 2010, Taipei
  • Place of Presentation: Academia Sinica, Taipei(台湾)(招待講演)
  • Year and Date: 2010-11-05
• [Presentation] A Mechanism of Collapsing Bubble (2009)
  • Author(s): Taisei Kaizoji
  • Organizer: 15th Conference on Society for Computational Economics 2009
  • Place of Presentation: Sydney, Australia.
• [Presentation] Concentration and Collapse in Markets (2009)
  • Author(s): Taisei Kaizoji
  • Organizer: the 7th International Conference Application of Physics in Financial Analysis
  • Place of Presentation: Tokyo, Japan.
• [Presentation] A Mechanism of Collapsing Bubble (2009)
  • Author(s): Taisei Kaizoji
  • Organizer: 15th Conference on Society for Computational Economics 2009
  • Place of Presentation: Sydney, Australia
• [Presentation] Concentration and Collupse in Markets (2009)
  • Author(s): Taisei Kaizoji
  • Organizer: the 7 th International Conference, Application of Physics in Financial Analysis(APFA7), Tokyo
  • Place of Presentation: 東京工業大学