Misako Takayasu

Tokyo Institute of Technology | TITech · Department of Computer Science

We propose a new type of stochastic network evolution model based on annihilation, creation, and coagulation of nodes, together with the preferential attachment rule. The system reaches a unique quasistatistically steady state in which the distribution of links follows a power law, lifetime of nodes follows an exponential distribution, and the mean...

We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the motions of the Brownian particle and its surrounding...

We virtually dissect complex networks in order to understand their internal structure, just as doctors do with the bodies of animals. Our novel method classifies network links into four categories: bone, fat, cartilage, and muscle, based on network connectivity. We derive an efficient percolation strategy from this new viewpoint of network anatomy,...

A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furthermore, a theoretical framework parallel to molecular kinetic theory is developed for the systematic description of the financial market from microscopic dynamics of HFTs. W...

We analyzed nonlinear transport as defined for directed complex networks, where the flux from one node to a neighboring node is given preferentially according to the scalar quantities at the neighbor nodes. This is known as the generalized gravity interaction. In our research, we discovered a novel phase transition type. In the diffusion phase, the...

We develop a single two-layered model framework that captures and replicates both the statistical properties of the network as well as those of the intrinsic quantities of the agents. Our model framework consistently unifies two distinct yet interconnected elements that were previously only studied in isolation, namely methods related to temporal n...

The convenience store industry in Japan holds immense significance, making a thorough comprehension of customer purchase behavior invaluable for companies aiming to gain insights into their customer base. In this paper, we propose a novel application of a Markov network model to simulate purchases which guided by stopping probabilities calculated f...

We analyze the time series of hashtag numbers of social media data. We observe that the usage distribution of hashtags is characterized by a fat-tailed distribution with a size-dependent power law exponent and we find that there is a clear dependency between the growth rate distributions of hashtags and size of hashtags usage. We propose a generali...

Fecal pharmacokinetics is crucial in developing treatment design and evaluating gastrointestinal motility; however, it has not been yet elucidated. This study aimed to elucidate the fecal pharmacokinetics in mice orally administered vancomycin and establish a pharmacokinetic model with interpretable system parameters. In this study, we quantified t...

We introduce a new non-black-box method of extracting multiple areas in a high-dimensional big data space where data points that satisfy specific conditions are highly concentrated. First, we extract one-dimensional areas where the data that satisfy specific conditions are mostly gathered by using the Bayesian method. Second, we construct higher-di...

We propose a data-driven stochastic method that allows the simulation of a complex system's long-term evolution. Given a large amount of historical data on trajectories in a multi-dimensional phase space, our method simulates the time evolution of a system based on a random selection of partial trajectories in the data without detailed knowledge of...

The two-body stochastic dealer model is revisited to provide an exact solution to the average order-book profile using the kinetic approach. The dealer model is a microscopic financial model where individual traders make decisions on limit-order prices stochastically and then reach agreements on transactions. In the literature, this model was solve...

During the COVID-19 pandemic, governments faced difficulties in implementing mobility restriction measures, as no clear quantitative relationship between human mobility and infection spread in large cities is known. We developed a model that enables quantitative estimations of the infection risk for individual places and activities by using smartph...

Owing to the big data the extension of physical laws on nonmaterial has seen numerous successes, and human mobility is one of the scientific frontier topics. Recent GPS technology has made it possible to trace detailed trajectories of millions of people, macroscopic approaches such as the gravity law for human flow between cities and microscopic ap...

The two-body stochastic dealer model is revisited to provide an exact solution to the average order-book profile using the kinetic approach. The dealer model is a microscopic financial model where individual traders make decisions on limit-order prices stochastically and then reach agreements on transactions. In the literature, this model was solve...

Owing to the big data the extension of physical laws on nonmaterial has seen numerous successes, and human mobility is one of the scientific frontier topics. Recent GPS technology has made it possible to trace detailed trajectories of millions of people, macroscopic approaches such as the gravity law for human flow between cities and microscopic ap...

During the COVID-19 pandemic, governments faced difficulties in implementing mobility restriction measures, as no clear quantitative relationship between human mobility and infection spread in large cities is known. We developed a model that enables quantitative estimations of the infection risk for individual places and activities by using smartph...

Focusing on the diffusion-localization transition, we theoretically analyzed a nonlinear gravity-type transport model defined on networks called regular ring lattices, which have an intermediate structure between the complete graph and the simple ring. Exact eigenvalues were derived around steady states, and the values of the transition points were...

Bursts and collective emotion have been widely studied in social physics field where researchers use mathematical models to understand human social dynamics. However, few researches recognize and separately analyze the internal and external influence on burst behaviors. To bridge this gap, we introduce a non-parametric approach to classify an inter...

Recent decades have seen a rise in the use of physics methods to study different societal phenomena. This development has been due to physicists venturing outside of their traditional domains of interest, but also due to scientists from other disciplines taking from physics the methods that have proven so successful throughout the 19th and the 20th...

Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures. In this study, we used data to track the order history of individual HFTs in the USD/JPY forex market to r...

To prevent the spread of the COVID-19 pandemic, governments in various countries have severely restricted the movement of people. The large amount of detailed human location data obtained from mobile phone users is useful for understanding the change of flow patterns of people under the effect of pandemic. In this paper, we observe the synchronized...

Recent decades have seen a rise in the use of physics-inspired or physics-like methods in attempts to resolve diverse societal problems. Such a rise is driven both by physicists venturing outside of their traditional domain of interest, but also by scientists from other domains who wish to mimic the enormous success of physics throughout the 19th a...

The Sigma-Pi structure investigated in this work consists of the sum of products of an increasing number of identically distributed random variables. It appears in stochastic processes with random coefficients and also in models of growth of entities such as business firms and cities. We study the Sigma-Pi structure with Bernoulli random variables...

Although the sizes of business firms have been a subject of intensive research, the definition of a “size” of a firm remains unclear. In this study, we empirically characterize in detail the scaling relations between size measures of business firms, analyzing them based on allometric scaling. Using a large dataset of Japanese firms that tracked app...

Detail observation of human locations became available recently by the development of information technology such as mobile phones with GPS (Global Positioning System). We analyzed temporal changes of global human flow patterns in urban regions based on mobile phones’ GPS data in 9 large cities in Japan. By applying a new concept of drainage basins...

We propose the epsilon-tau procedure to determine up- and down-trends in a time series, working as a tool for its segmentation. The method denomination reflects the use of a tolerance level ε for the series values and a patience level τ in the time axis to delimit the trends. We first illustrate the procedure in discrete random walks, deriving the...

Trend length and trend amplitude marginal probability distributions from the epsilon-tau procedure for random walks.

Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes. Although a deep understanding of cross-currency correlations would be clearly beneficial for conceiving more stable and safer foreig...

From the viewpoint of statistical physics, ecosystems in the real world are very attractive targets of research as examples of far-from thermal equilibrium systems where various kinds of components are coming in and out continuously while keeping the whole systems quasi-stationary. As a fortunate example of a fully-observable ecosystem, we analyzed...

Complexity and information theory are two very valuable but distinct fields of research, yet sharing the same roots. Here, we develop a complexity framework inspired by the allometric scaling laws of living biological systems in order to evaluate the structural features of networks. This is done by aligning the fundamental building blocks of inform...

Complexity and information theory are two very valuable but distinct fields of research, yet sharing the same roots. Here, we develop a complexity framework inspired by the allometric scaling laws of living biological systems in order to evaluate the structural features of networks. This is done by aligning the fundamental building blocks of inform...

Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an abrupt price swing occurring on a given market is immediately followed by anomalous movements in several related...

Companies tend to publish financial reports in order to articulate strategies, disclose key performance measurements as well as summarise the complex relationships with external stakeholders as a result of their business activities. Therefore, any major changes to business models or key relationships will be naturally reflected within these documen...

Financial prices fluctuate as a results of the market impact of the flow of transactions between traders. Reciprocally, several studies of market microstructure have shown how decisions of individual traders or banks, implemented in their trading strategies, are affected by historical market information. However, little is known about the detailed...

The analysis of interfirm business transaction networks provides invaluable insight into the trading dynamics and economic structure of countries. However, there is a general scarcity of data available recording real, accurate and extensive information for these types of networks. As a result, and in common with other types of network studies - suc...

Waste reduction in retail is a fundamental problem for sustainability. Among waste reduction approaches such as recycling and donation, stock management based on demand estimation which leads to mitigate waste generation and maintain a high profit is expected to play an important role. However, demand estimation is generally difficult because fluct...

Although scaling relations of power law forms have been revealed in a wide variety of complex systems, the origin of scaling relations in real systems remains mostly unsolved. Based on a long tradition in physics, we here explore the phase space dynamics of business companies, whose different measures of size have been found to exhibit multiple sca...

Collective emotion has been traditionally evaluated by questionnaire survey on a limited number of people. Recently, big data of written texts on the Internet has been available for analyzing collective emotion for very large scales. Although short-term reflection between collective emotion and real social phenomena has been widely studied, long-te...

Emotion dictionary and time series of each emotion Zrawk(t). (XLSX)

Details of methodology, figures, and tables. Dictionary building procedureDates in which emotion decreased every yearEmotion dynamics before removing periodic cyclesEmotion dynamics after removing periodic cyclesResults of monthly and daily randomized seriesHistogram of differences of collective emotion. (PDF)

Collective emotion has been traditionally evaluated by questionnaire survey on a limited number of people. Recently, big data of written texts on the Internet has been available for analyzing collective emotion for very large scales. Although short-term reflection between collective emotion and real social phenomena has been widely studied, long-te...

We propose a parameter estimation method for non-stationary Poisson time series with the abnormal fluctuation scaling, known as Taylor’s law. By introducing the effect of Taylor’s fluctuation scaling into the State Space Model with the Particle Filter, the underlying Poisson parameter’s time evolution is estimated correctly from given non-stationar...

The potentials of unbalanced complex kinetics (PUCK) model consists of a random walker subjected to a potential centered at its moving average position. We study the PUCK model with fluctuating quadratic potential, showing that it is a special case of the random coefficient autoregressive (RCAR) process and thus a member of the same class of proces...

We simulate the inter-firm trading network which consists of approximately 1 million nodes, and we estimate the firm sales in Japan. We apply the gravity interaction model to the real Japanese inter-firm trading network to calculate the money transport between firms. Sales of each firm are evaluated through the scaling relation between the money fl...

There is a growing interest to understand financial markets as ecological systems, where the variety of trading strategies correspond to that of biological species. For this purpose, transaction data for individual traders are studied recently as empirical analyses. However, there are few empirical studies addressing how traders submit limit and ma...

Another conjecture for large failure probabilities: Aiming at trading with hidden orders. (DOCX)

Calculation method for the failure probability. (DOCX)

Calculation method of the Sharpe ratio. (DOCX)

A modeled Japanese inter-firm trading network is simulated to investigate phase transition structure in money transport. First, the network structure is calculated as a steady state in a stochastic process. Second, the money transport between the firms is estimated in terms of the gravity interaction model. A linear stability analysis is performed...

We introduce a systematic method to estimate an economic indicator from the Japanese government by analyzing big Japanese blog data. Explanatory variables are monthly word frequencies. We adopt 1352 words in the section of economics and industry of the Nikkei thesaurus for each candidate word to illustrate the economic index. From this large volume...

The dynamical phase diagram of a network undergoing annihilation, creation, and coagulation of nodes is found to exhibit two regimes controlled by the combined effect of preferential attachment for initiator and target nodes during coagulation and for link assignment to new nodes. The first regime exhibits smooth dynamics and power law degree distr...

We use the definition of statistical symmetry as the invariance of a probability distribution under a given transformation and apply the concept to the underlying probability distribution of stochastic processes. To measure the degree of statistical asymmetry, we take the Kullback-Leibler divergence of a given probability distribution with respect...

The mechanism of order book dynamic is studied by using ultra high frequency data in terms of three market events: injection, cancellation, and transaction. We analyzed the empirical decision-making process of market participants focusing on the event rates conditional on the depth from the mid-price. We observed that both injection and cancellatio...

Growth of business firms or companies has been a subject of intensive research over a century. However, there still remains controversy about the basic mechanisms of their growth. Inspired by previous work on scaling laws in other systems, here we extend the notion of size of firms from a scalar to a vector in order to characterize in more detail t...

Social media can be a double-edged sword for modern communications, either a convenient channel exchanging ideas or an unexpected conduit circulating fake news through a large population. Existing studies of fake news focus on efforts on theoretical modelling of propagation or identification methods based on black-box machine learning, neglecting t...

Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Brownian motion has played the key role as in physics. In our previous report (arXiv:1703.06739; to appear in Phys. Rev. Lett.), we have presented a microscopic model of tr...

We derive a stochastic function of risk propagation empirically from comprehensive data of chain-reaction bankruptcy events in Japan from 2006 to 2015 over 5,000 pairs of firms. The probability is formulated by firm interaction between the pair of firms; it is proportional to the product of α-th power of the size of the first bankrupt firm and β-th...

We introduce a simple growth model in which the sizes of entities evolve as multiplicative random processes that start at different times. A novel aspect we examine is the dependence among entities. For this, we consider three classes of dependence between growth factors governing the evolution of sizes: independence, Kesten dependence and mixed de...

The gut microbiome is highly variable among individuals, largely due to differences in host lifestyle and physiology. However, little is known about the underlying processes or rules that shape the complex microbial community. In this paper, we show that the cumulative relative abundance distribution (CRAD) of microbial species can be approximated...

Correlation of β with species richness and diversity in infant samples. A: Correlation of β with species richness and diversity in infant samples. We used infant time-course samples for this analysis [31]. Spearman’s rank correlation coefficient was calculated between β values and the observed OTU numbers and the Shannon’s indices. B: Theoretical a...