Publications (104)186.87 Total impact
 [Show abstract] [Hide abstract]
ABSTRACT: We carry out multivariate time series analysis on price indices of individual goods and services collected over the last 35 years in Japan. Adoption of the complex principal component analysis (CPCA) enables us to have a new insight into dynamic correlation structure involved in the price data. The CPCA is based on complexification of real data using the Hilbert transformation; leadlag relations between individual prices manifest in a form of instantaneous phases of the complex time series. The correlation matrix in the CPCA is purified by adopting the random matrix theory as a null hypothesis for removal of statistical noises. We identify four significant eigenmodes for price movement which are free from seasonal variations. Each of them has different characteristics of dynamical correlations and is shown to be responsive to different economic events.Procedia Computer Science 12/2015; 60(1):18361845. DOI:10.1016/j.procs.2015.08.294  [Show abstract] [Hide abstract]
ABSTRACT: 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 backbone that is statistically validated against a null hypothesis of uniform diversification of loans for banks and firms. Our investigation is done year by year and it covers more than thirty years during the period from 1980 to 2011. We relate some of our findings with economic events that have characterized the Japanese credit market during the last years. The study of the time evolution of the backbone allows us to detect changes occurred in network size, fraction of credit explained, and attributes characterizing the banks and the firms present in the backbone. 
Article: Dynamic Stock Correlation Network
[Show abstract] [Hide abstract]
ABSTRACT: Financial markets are the outcome of highly complex interactions among a number of agents. Such a complex system possibly contains all sorts of features, e.g., not only static but also dynamic. Here we study dynamic correlations hidden in the S&P 500 market by adopting a combined method of the Complex Principal Component Analysis (CPCA) and the Random Matrix Theory (RMT). The CPCA is entirely dependent on complexification of time series using the Hilbert transformation and enables us to extract correlations between stock prices moving with different phases to one another. The RMT serves as a null hypothesis for distinguishing true correlations from noisy financial data. The extracted information on dynamic correlations of the market is projected onto a correlation network in which pairs of stocks with phase difference smaller than certain threshold are linked with strength of their correlations as weight. We then detect communities of comoving stocks in the network and also elucidate leadlag relationship between those communities.Procedia Computer Science 01/2015; 60(1):18261835. DOI:10.1016/j.procs.2015.08.293  [Show abstract] [Hide abstract]
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.SSRN Electronic Journal 07/2014; 10(5). DOI:10.2139/ssrn.2469069  [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; 10(2). DOI:10.14441/eier.A2013016  [Show abstract] [Hide abstract]
ABSTRACT: We elucidate correlations among stock price movements in S&P 500 and Tokyo Stock Exchange (TSE) taking advantage of the concept of community in networks. The correlation matrix, purified by random matrix theory, is regarded as the adjacency matrix for a stock correlation network. The network thus constructed has links with weights of either sign depending on whether stocks are correlated (positive) or anticorrelated (negative). Community is defined here as a group of stocks related to each other with positive correlation coefficients. The community detection allows us to find that the stocks in S&P 500 are split up into four communities with two conflicting triangular relations. In TSE, there exists three communities of stocks forming a conflicting triangle. We thus see that the frustrated correlation structure is common to the welldeveloped financial markets.Frontiers in Artificial Intelligence and Applications 01/2013; 255:104110. DOI:10.3233/9781614992646104  [Show abstract] [Hide abstract]
ABSTRACT: Integration of principal component analysis (PCA) with random matrix theory (RMT) has been successful in analyzing cross correlations between stock price movements in financial markets. RMT is used as a null hypothesis to distinguish between genuine cross correlations and noises. In this paper, we develop a RMTaided complex PCA method based on the Hilbert transformation of time series. The complex data thus generated carry dynamic information in a form of instantaneous phase; the conventional PCA is entirely dependent on simultaneous correlations in time. Accordingly RMT is generalized to be adaptable to complex PCA. The data set analyzed here is daily returns in Tokyo Stock Exchange (TSE) spanning from 1996 to 2006. Diagonalization of the complex correlation matrix enables us to find that a small number of the eigenvalues certainly deviate from the RMT prediction. The largest eigenvalue represents a market mode in which all of the stock prices move in a collective way. The eigenvectors of the other remaining large eigenvalues clearly show formation of stock groups as characterized by business sectors and also indicates existence of dynamical correlations between some sectors.Frontiers in Artificial Intelligence and Applications 01/2013; 255:111119. DOI:10.3233/9781614992646111  [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.Journal of Economic Interaction and Coordination 05/2012; 10(1). DOI:10.1007/s1140301301189 · 0.57 Impact Factor  [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). DOI:10.1142/S0217979201005155 · 0.94 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; 194:8493. DOI:10.1143/PTPS.194.84 · 1.25 Impact Factor  [Show abstract] [Hide abstract]
ABSTRACT: Exhaustive financial data of firms in Japan enables us to shed light on how the labor productivity, defined here as value added produced by one worker in a year, is diverse across firms and workers. Statistical equilibrium theory reinforced with the concept of negative temperature turns out to be useful to explain the empirical facts on a major part of the distribution of workers over labor productivity states, where particle and singleparticle energy are replaced by worker and labor productivity, respectively. The zerotemperature state in the negative temperature regime corresponds to the optimized state for the current mainstream economics, where all workers are allocated to a state of the highest productivity. Significant difference in temperature is observed between the manufacturing and nonmanufacturing sectors. The negative temperature in the nonmanufacturing sector is three times lower than that in the manufacturing sector, indicating that the former may suffer from a much wider demand gap. In contrast, the two sectors are almost in equilibrium with respect to exchange of workers.Progress of Theoretical Physics Supplement 01/2012; 194(194):135143. DOI:10.1143/PTPS.194.135 · 1.25 Impact Factor  01/2012; 37(2):143146. DOI:10.14723/tmrsj.37.143
 [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; DOI:10.1143/PTPS.194.55 · 1.25 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; DOI:10.1143/PTPS.194.144 · 1.25 Impact Factor 
Article: An ab initio analysis of electronic states associated with a silicon vacancy in cubic symmetry
[Show abstract] [Hide abstract]
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 11/2011; 151(21):16051608. DOI:10.1016/j.ssc.2011.07.020 · 1.90 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; DOI:10.1143/PTPS.194.111 · 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. DOI:10.1103/PhysRevE.83.016103 · 2.29 Impact Factor  MRS Online Proceeding Library 01/2011; 581. DOI:10.1557/PROC581667
 [Show abstract] [Hide abstract]
ABSTRACT: Recent experiments on ultrasonic measurements of nondoped and borondoped silicon indicate that vacancies in crystalline silicon can be detected through the elastic softening at low temperature. This is attributed to enhanced response of electronic quadrupole localized at the vacancies to the elastic strain. In the present work, the electronic quadrupole moment of the vacancy orbital in silicon and their strain susceptibility are evaluated quantitatively by using the densityfunctional method. We show the orbital of gap state is localized around vacancy but extended over several neighbors. The effect of applied magnetic field on the vacancy orbital and its multipole structures are also investigated. We find that the results obtained from these calculations are consistent with the ultrasonic experiments.MRS Online Proceeding Library 01/2011; 1195. DOI:10.1557/PROC1195B0811  [Show abstract] [Hide abstract]
ABSTRACT: We report the numerical calculations of the distribution of maximal eigenvalue for various size of random correlation matrices. Such an extensive study enables us to work out empirical formulas for the average and standard deviation of the maximal eigenvalue, which are accurate in a wide range of parameters. As an application of those formulas, we propose a criterion to single out statistically meaningful correlations in the principal component analysis. The new criterion incorporates finitesize effects into the current method based on the random matrix theory, which gives the exact results in the infinitesize limit.
Publication Stats
2k  Citations  
186.87  Total Impact Points  
Top Journals
Institutions

19982015

Niigata University
 • Department of Mathematics
 • Department of Physics
Niahiniigata, Niigata, Japan


19812013

The University of Tokyo
 Department of Physics
Tōkyō, Japan


19881998

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


1990

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