Mechanisms of Speculative Bubbles and Crashes in stock Markets
| Project/Area Number |
20510142
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | International Christian University |
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Principal Investigator |
KAIZOJI Taisei International Christian University, 教養学部, 教授 (10265960)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥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)
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| Keywords | ファイナンス / 経済物理学 / Behavioral Finance / Finance / Econophysics / 金融経済学 |
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| 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.
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Report
(4 results)
Research Products
(20 results)
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[Journal Article] Volatility return intervals analysis of the Japanese market2008
Author(s)
Jung, W., Wang, F., Havlin, S., Kaizoji, T., Moon, H., Stanley, H. E.
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Journal Title
European Physical Journal B 62
Pages: 113-119
Related Report
Peer Reviewed
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[Journal Article] Group dynamics of the Japanese market2008
Author(s)
Jung, W., Kwon, O., Wang, F., Kaizoji, T., Moon, H., Stanley, H. E.
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Journal Title
Physica A 387(2-3)
Pages: 537-542
Related Report
Peer Reviewed
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