Publications (87)164.33 Total impact
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ABSTRACT: We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection algorithm which is identifying communities composed by both banks and firms. We show that the clusters obtained by directly working on the bipartite network carry information about the networked nature of the Japanese credit market. Our analysis is performed for each calendar year during the time period from 1980 to 2011. Specifically, we obtain communities of banks and networks for each of the 32 investigated years, and we introduce a method to track the time evolution of these communities on a statistical basis. We then characterize communities by detecting the simultaneous overexpression of attributes of firms and banks. Specifically, we consider as attributes the economic sector and the geographical location of firms and the type of banks. In our 32 year long analysis we detect a persistence of the overexpression of attributes of clusters of banks and firms together with a slow dynamics of changes from some specific attributes to new ones. Our empirical observations show that the credit market in Japan is a networked market where the type of banks, geographical location of firms and banks and economic sector of the firm play a role in shaping the credit relationships between banks and firms.07/2014;  [Show abstract] [Hide abstract]
ABSTRACT: We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial sectors. Moreover, the partial phase locking was observed for the 16 sectors. These are the direct evidence of the synchronization in the Japanese business cycle. We also showed that the information of the economic shock is carried by the phase timeseries. The common shock and individual shocks are separated using phase timeseries. The former dominates the economic shock in all of 1992, 1998 and 2001. The obtained results suggest that the business cycle may be described as a dynamics of the coupled limitcycle oscillators exposed to the common shocks and random individual shocks.05/2013;  [Show abstract] [Hide abstract]
ABSTRACT: We construct a theoretical model for equilibrium distribution of workers across sectors with different labor productivity, assuming that a sector can accommodate a limited number of workers which depends only on its productivity. A general formula for such distribution of productivity is obtained, using the detailbalance condition necessary for equilibrium in the EhrenfestBrillouin model. We also carry out an empirical analysis on the average number of workers in given productivity sectors on the basis of an exhaustive dataset in Japan. The theoretical formula succeeds in explaining the two distinctive observational facts in a unified way, that is, a Boltzmann distribution with negative temperature on lowtomedium productivity side and a decreasing part in a powerlaw form on high productivity side.05/2012;  [Show abstract] [Hide abstract]
ABSTRACT: The electronic band calculations of noble metal halides are studied to make the high ionic conducting origin of silver and cupper ions clear using the tightbinding method. The d bands of Ag ions are much more weakly coupled with the p bands of halogen ions, while those of Cu ions are much more strongly coupled with the p bands. The strength of pd hybridization is discussed to connect with the activation energy for the ionic conduction. It is shown that the high ionic conductivity of AgX primary stems from combination of the deformability of the d shell and the weakness of the pd hybridization.International Journal of Modern Physics B 01/2012; 15(06n07). · 0.46 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: We investigate a Japanese transaction network consisting ofabout 800 thousand firms (nodes) and four million business relations (links) with focus on its modular structure. Communities detected by maximizing modularity often are dominated by firms with common features or behaviors in the network, such as characterized by regions or industry sectors. However, it is well known that the modularity optimization approach has a resolution limit problem, that is, it fails in identifying fine communities buried in large communities. To unfold such hidden structures, we apply the community detection to each of subnetworks formed by isolating those communities from the whole body. Subcommunities thus identified are composed of firms with finer regions, more specified sectors or business affiliations. Also we introduce a new idea of reduced modularity matrix to measure the strength of relations between (sub)communities.Progress of Theoretical Physics Supplement 01/2012; · 1.25 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: We approach the correlation structure in the Tokyo Stock Exchange (TSE) market through a concept of community of network. To construct a network, the correlation matrix of stock price changes, purified by random matrix theory, is regarded as an adjacency matrix. The stock correlation network thus constructed has negatively weighted links as well as positively weighted links. By extracting groups in which stocks are mainly interconnected by positive links, we find that the stocks decomposed into four comoving groups forming communities, three of which are strongly anticorrelated to each other, and the remainder is comparatively neutral to the rest of the communities. The conflicting triangle relationship between communities may cause complicated behavior in a welldevelopment market such as TSE. Additionally, it is observed that some industrial sectors form distinctive coherent groups and others are separated to competing communities.Progress of Theoretical Physics Supplement 01/2012; · 1.25 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: We report the numerical calculations of the maximal eigenvalue for random correlation matrices which contain autocorrelations in data. Here the AR(1) model is adopted for such a study, we work out an empirical formula for autocorrelation correction of the maximal eigenvalue, which are accurate in a wide range of parameters. As an application of this formula, we propose a criterion to single out statistically meaningful correlations in the principal component analysis. The new criterion within the AR(1) model incorporates autocorrelation effects into the current method based on the random matrix theory.Progress of Theoretical Physics Supplement 01/2012; · 1.25 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic system made up of industry sectors and goods markets in order to analyze the sectoral synchronization observed for the Japanese business cycle. A coupled oscillator model that exhibits synchronization is developed based on the Kuramoto model with inertia by adding goods markets, and analytic solutions of the stationary state and the coupling strength are obtained. We simulate the effects on synchronization of a sectoral shock for systems with different price elasticities and the coupling strengths. Synchronization is reproduced as an equilibrium solution in a nearest neighbor graph. Analysis of the order parameters shows that the synchronization is stable for a finite elasticity, whereas the synchronization is broken and the oscillators behave like a giant oscillator with a certain frequency additional to the common frequency for zero elasticity.Progress of Theoretical Physics Supplement 10/2011; · 1.25 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: In this study, the fluctuationdissipation theory is invoked to shed light on inputoutput interindustrial relations at a macroscopic level by its application to indices of industrial production (IIP) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of the random matrix theory in an eigenvalue analysis of the correlation matrix; as a result, two dominant eigenmodes are detected. Our previous study successfully used these two modes to demonstrate the existence of intrinsic business cycles. Here a correlation matrix constructed from the two modes describes genuine interindustrial correlations in a statistically meaningful way. Furthermore, it enables us to quantitatively discuss the relationship between shipments of final demand goods and production of intermediate goods in a linear response framework. We also investigate distinctive external stimuli for the Japanese economy exerted by the current global economic crisis. These stimuli are derived from residuals of movingaverage fluctuations of the IIP remaining after subtracting the longperiod components arising from inherent business cycles. The observation reveals that the fluctuationdissipation theory is applicable to an economic system that is supposed to be far from physical equilibrium.Physical Review E 01/2011; 83(1 Pt 2):016103. · 2.31 Impact Factor 
Article: An ab initio analysis of electronic states associated with a silicon vacancy in cubic symmetry
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ABSTRACT: The electronic orbitals localized in the vicinity of a vacancy in a silicon crystal are calculated by an ab initio method based on the density functional theory and analyzed in association with the elastic softening observed by the recent ultrasonic experiments, especially focused on an estimate of the electric quadrupole moments. The localized orbitals due to the existence of a vacancy show largely extended properties and the quadrupole moments calculated from the orbitals indicate the strong dependence on cell sizes up to 511 atoms in the basic cell. Asymptotic values of the quadrupole moments in the limit of large size are obtained by an extrapolating method. It is shown that the quadrupole moments are enhanced due to the extension of the orbitals and the ratio of the quadrupole moments of Γ5 and Γ3 symmetries agrees well with the value deduced from the experimental results.Solid State Communications 01/2011; 151(21):16051608. · 1.53 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative which can take an explicit account of distribution of firms' production activities. In this paper we propose a new idea referred to as production copula; a copula is an analytic means for modeling dependence among variables. Such a production copula predicts value added yielded by firms with given capital and labor in a probabilistic way. It is thereby in sharp contrast to the production function where the output of firms is completely deterministic. We demonstrate empirical construction of a production copula using financial data of listed firms in Japan. Analysis of the data shows that there are significant correlations among their capital, labor and value added and confirms that the values added are too widely scattered to be represented by a production function. We employ four models for the production copula, that is, trivariate versions of Frank, Gumbel and survival Clayton and nonexchangeable trivariate Gumbel; the last one works best.Quantitative Finance 12/2010; · 0.82 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: We shed light on industrial structure of the economic system in Japan by combining visualization technique and community analysis in this and an accompanying paper. Here we focus on visualization of a production network comprising submillion nodes (firms) and three million links (transaction relations). A network structure is optimized through molecular dynamics simulation with a springelectrical model in a threedimensional space. The lowestenergy state in the model, corresponding to a crystalline state in a physical system, is expected to give a comprehensible view on the network. Then we discuss how firms are distributed in the optimized network structure by classifying them according to sectors, sizes or regions. The distributions of firms reflect characteristics of individual classifications. Also propagation of the shock due to a recent economic scandal over the network is visualized.Journal of Physics Conference Series 06/2010; 221(1):012013.  [Show abstract] [Hide abstract]
ABSTRACT: We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspond to the relationships and weights refer to the amounts of loans. Reduction in the supply of credit affects firms as debtor, and failure of a firm influences banks as creditor. To quantify the dependency and influence between banks and firms, we propose a set of scores of banks and firms, which can be calculated by solving an eigenvalue problem determined by the weight of the credit network. We found that a few largest eigenvalues and corresponding eigenvectors are significant by using a null hypothesis of random bipartite graphs, and that the scores can quantitatively describe the stability or fragility of the credit network during the 25 years.01/2010;  [Show abstract] [Hide abstract]
ABSTRACT: Research activities of Kyoto Econophysics Group is reviewed. Strong emphasis has been placed on real economy. While the initial stage of research was a first highdefinition data analysis on personal income, it soon progressed to firm dynamics, growth rate distribution and establishment of Pareto's law and Gibrat's law. It then led to analysis and simulation of firm dynamics on economic network. Currently it covers a wide rage of dynamics of firms and financial institutions on complex network, using Japanese largescale network data, some of which are not available in other countries. Activities of this group for publicising and promoting understanding of econophysics is also reviewed.arXiv.org, Quantitative Finance Papers. 01/2010;  [Show abstract] [Hide abstract]
ABSTRACT: Econophysics is an emerging interdisciplinary field that takes advantage of the concepts and methods of statistical physics to analyse economic phenomena. This book, first published in 2010, expands the explanatory scope of econophysics to the real economy by using methods from statistical physics to analyse the success and failure of companies. Using large data sets of companies and incomeearners in Japan and Europe, a distinguished team of researchers show how these methods allow us to analyse companies, from huge corporations to small firms, as heterogeneous agents interacting at multiple layers of complex networks. They then show how successful this approach is in explaining a wide range of recent findings relating to the dynamics of companies. With mathematics kept to a minimum, the book is not only a lively introduction to the field of econophysics but also provides fresh insights into company behaviour.01/2010;  [Show abstract] [Hide abstract]
ABSTRACT: We analyze a transaction network of about 800 thousand Japanese firms to elucidate its community structure. Finding community in networks means the appearance of dense connected groups of vertices and sparse connections between groups. We adopt modularity as a quality function of communities introduced by Newman. The modularity optimization is one of effective approaches to find community. We first use a bottomup algorithm, which makes the optimization fast by using a greedy algorithm. For the community extraction, the greedy algorithm is widely used, however, may not sufficiently optimize modularity because the optimization tends to be trapped by a local maximum especially for largescale networks. Alternatively we propose a topdown algorithm with implementation of an annealing method and compare effectiveness of the two algorithms. We also compare the results of the community analysis with images of network structure visualized by molecular dynamics method. The vertices belonging to the same community are spatially located close to each other. The community structure determined by the modularity optimization is well reproduced in the network structure obtained by molecular dynamics.Journal of Physics Conference Series 01/2010; 221(1).  [Show abstract] [Hide abstract]
ABSTRACT: An agentbased model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize its expected profit with possible risks in market. Infinite growth of a firm directed by the "profit maximization" principle is suppressed by a concept of "going concern". Possibility of bankruptcy of firms is also introduced by incorporating a retardation effect of information on firms' decision. The firms, mutually interacting through the monopolistic bank, become heterogeneous in the course of temporal evolution. Statistical properties of firms' dynamics obtained by simulations based on the model are discussed in light of observations in the real economy.Progress of Theoretical Physics Supplement 02/2009; · 1.25 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: The distribution of labour productivity is investigated by analyzing the longitudinal microlevel data set which contains the detailed financial conditions of large numbers of Japanese companies over the period 1996 2006. The authors show that the distribution of labour productivity in both the high and low productivity ranges follows a power law distribution. The generalized beta function of the second kind, which asymptotically reproduces a power law function, is applied to explain the distribution of labour productivity. By comparing the power law exponents that characterize high and low productivity ranges, the authors show that for manufacturing industries, inequality in the low productivity range is larger than that in the high productivity range. For the manufacturing industries, the authors also clarify that the change of inequality in the low productivity range has strong correlation with GDP. In addition, by comparing the power law exponents of the high productivity range in the manufacturing and nonmanufacturing industries, the authors show that the inequality of the nonmanufacturing industry is higher than that of the manufacturing industry.01/2009;  [Show abstract] [Hide abstract]
ABSTRACT: We shed light on industrial structure of the economic system in Japan by combining visualization technique and community analysis. The production network consisting of submillion nodes (firms) and three million links (transactions) is visualized taking advantage of MD simulation technique. Also communities inherent in such a largescale network is extracted through maximization of the modularity using both greedy (bottomup) and bisection (topdown) algorithms; the bisection method works better. It is shown that nodes belonging to the same community are located close to each other in a visualization (threedimensional) space.01/2009;  [Show abstract] [Hide abstract]
ABSTRACT: The thesis proposes to assess the risk topic in the context of foreign investment decisions. In identifying two main riskrelated concepts, I have split risks in two categories using a unique criterion: the ratio between the endogenous and exogenous content of the problem. According to it, I have built a pool of risks that the company may have entirely or partially under control (forming the endogenous part of the problem), and a pool with exogenous risks that the company cannot control at all, but can assess and build strategies for their management (forming the exogenous part of the problem). In each category I have identified one source of risk, representing the most important of all risks belonging to the same pool. For the endogenous risks part, credit risk (in its extensive version counterparty risk) was selected. Related to this, there have been additionally discussed the topics of systemic risk and of the risk associated to the impact of the activity of the international rating agencies on the firm financing problem when a company proceeded to debt issuance. The other half of the problem involves the risk of the sector the company activates in. I have found that the risk assessment in this category became an econometric problem of volatility forecasting for a portfolio of a number of selected returns. The discussion complicates given the following factors: 1. The scientific world has not reached yet to a consensus on the superiority of a certain model or group of models that measures volatility. As such, forecasted volatility estimates may depend on the model or methodologies to be used, type of data frequency (high or low), selection of the error statistics etc. As such, decision making as regards the opportunity of the investment becomes highly dependent on econometric choices to be made. 2. Multivariate models are computationally intensive due to the parameter estimation problem. If a large number of stocks are included in the portfolio, the number of estarXiv.org, Quantitative Finance Papers. 01/2009;
Publication Stats
1k  Citations  
164.33  Total Impact Points  
Top Journals
Institutions

1998–2012

Niigata University
 Department of Physics
Niahiniigata, Niigata, Japan


2010

Nihon University
 College of Science and Technology
Edo, Tōkyō, Japan


2007

Kyoto University
 Department of Physics II
Kyoto, Kyotofu, Japan


2000

Louisiana State University
 Department of Computer Science
Baton Rouge, LA, United States


1989–1998

Argonne National Laboratory
 Division of Materials Science
Lemont, Illinois, United States


1981–1994

The University of Tokyo
 Department of Physics
Tokyo, Tokyoto, Japan


1990

University of Texas at Austin
 Institute for Fusion Studies
Austin, Texas, United States


1983

Sophia University
 Division of Physics
Edo, Tōkyō, Japan
