arXiv subjects

Aki-Hiro Sato

Publications and source records attributed to Aki-Hiro Sato.

At least 19 recordsLinked to original sources

arXiv2017

Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective

Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking system and credit risk from their lending in the interbank market. By and large, both risks increase during severe financial turmoil. Under this scenario, the paper shows the conditions under which both the individual and the systemic default tend to coincide.

q-fin.RM↗

arXiv2013

Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network

This article proposes a method to quantify the structure of a bipartite graph using a network entropy per link. The network entropy of a bipartite graph with random links is calculated both numerically and theoretically. As an application of the proposed method to analyze collective behavior, the affairs in which participants quote and trade in the foreign exchange market are quantified. The network entropy per link is found to correspond to the macroeconomic situation. A finite mixture of Gumbel distributions is used to fit the empirical distribution for the minimum values of network entropy per link in each week. The mixture of Gumbel distributions with parameter estimates by segmentation procedure is verified by the Kolmogorov--Smirnov test. The finite mixture of Gumbel distributions that extrapolate the empirical probability of extreme events has explanatory power at a statistically significant level.

physics.data-an↗

arXiv2013

Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates

This study proposes the segmentation procedure of univariate time series based on Fisher's exact test. We show that an adequate change point can be detected as the minimum value of p-value. It is shown that the proposed procedure can detect change points for an artificial time series. We apply the proposed method to find segments of the foreign exchange rates recursively. It is also applied to randomly shuffled time series. It concludes that the randomly shuffled data can be used as a level to determine the null hypothesis.

stat.ME↗

arXiv2013

Econoinformatics meets Data-Centric Social Sciences

Our society has been computerised and globalised due to emergence and spread of information and communication technology (ICT). This enables us to investigate our own socio-economic systems based on large amounts of data on human activities. In this article, methods of treating complexity arising from a vast amount of data, and linking data from different sources, are discussed. Furthermore, several examples are given of studies into the applications of econoinformatics for the Japanese stock exchange, foreign exchange markets, domestic hotel booking data and international flight booking data are shown. It is the main message that spatio-temporal information is a key element to synthesise data from different data sources.

q-fin.GN↗

arXiv2013

A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices

This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The daily number of each quintile of volatilities for all the segments is investigated empirically. It is found that from June 2004 to June 2007, a large majority of stocks are stable and that from 2008 several stocks showed instability. On March 2011, the daily number of instable securities steeply increased due to societal turmoil influenced by the East Japan Great Earthquake. It is concluded that the number of stocks included in each quintile of volatilities provides useful information on macroeconomic situations.

q-fin.ST↗

arXiv2013

Chaotic Method for Generating q-Gaussian Random Variables

This study proposes a pseudo random number generator of q-Gaussian random variables for a range of q values, -infinity < q < 3, based on deterministic chaotic map dynamics. Our method consists of chaotic maps on the unit circle and map dynamics based on the piecewise linear map. We perform the q-Gaussian random number generator for several values of q and conduct both Kolmogorov-Smirnov (KS) and Anderson-Darling (AD) tests. The q-Gaussian samples generated by our proposed method pass the KS test at more than 5% significance level for values of q ranging from -1.0 to 2.7, while they pass the AD test at more than 5% significance level for q ranging from -1 to 2.4.

cs.IT↗

arXiv2012

Towards international E-stat for monitoring the socio-economic activities across the globe

We investigate relationship between annual electric power consumption per capita and gross domestic production (GDP) per capita for 131 countries. We found that the relationship can be fitted with a power-law function. We examine the relationship for 47 prefectures in Japan. Furthermore, we investigate values of annual electric power production reported by four international organizations. We collected the data from U.S. Energy Information Administration (EIA), Statistics by International Energy Agency (IEA), OECD Factbook (Economic, Environmental and Social Statistics), and United Nations (UN) Energy Statistics Yearbook. We found that the data structure, values, and unit depend on the organizations. This implies that it is further necessary to establish data standards and an organization to collect, store, and distribute the data on socio-economic systems.

q-fin.GN↗

arXiv2012

Correlational properties of two-dimensional solvable chaos on the unit circle

This article investigates correlational properties of two-dimensional chaotic maps on the unit circle. We give analytical forms of higher-order covariances. We derive the characteristic function of their simultaneous and lagged ergodic densities. We found that these characteristic functions are described by three types of two-dimensional Bessel functions. Higher-order covariances between x and y and those between y and y show non-positive values. Asymmetric features between cosine and sine functions are elucidated.

nlin.CD↗

arXiv2012

Segmentation analysis on a multivariate time series of the foreign exchange rates

This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 currency pairs consisting of 12 currencies for the last decade (January 3, 2001 to December 30, 2011) are analyzed using the proposed method. The proposed method can detect several important periods related to the significant affairs of the international economy.

q-fin.ST↗

arXiv2012

Impact of the Great East Japan Earthquake on Hotel Industry in Pacific Tohoku Prefectures: From spatio-temporal dependence of hotel availability

This paper investigates the impact of the Great Japan Earthquake (and subsequent tsunami turmoil) on socio-economic activities by using data on hotel opportunities collected from an electronic hotel booking service. A method to estimate both primary and secondary regional effects of a natural disaster on human behavior is proposed. It is confirmed that temporal variation in the regional share of available hotels before and after a natural disaster may be an indicator to measure the socio-economic impact at each district.

physics.data-an↗

arXiv2012

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $Δt$.

q-fin.ST↗

arXiv2012

Patterns of Regional Travel Behavior: An Analysis of Japanese Hotel Reservation Data

This study considers the availability of room opportunities collected from a Japanese hotel booking site. We empirically analyze the daily number of room opportunities for four areas. To determine the migration trends of travelers, we discuss a finite mixture of Poisson distributions and the EM-algorithm as its parameter estimation method. We further propose a method to infer the probability of opportunities existing for each observation. We characterize demand-supply situations by means of relationship between the averaged room prices and the probability of opportunity existing.

physics.data-an↗

arXiv2007

Application of spectral methods for high-frequency financial data to quantifying states of market participants

Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it is found that the similarities among currency pairs fluctuate with the rotation of the earth, and that the similarities among best quotation rates are associated with those among quotation frequencies. Furthermore it is shown that the Jensen-Shannon spectral divergence is proportional to a mean of the Kullback-Leibler spectral distance both empirically and numerically. It is confirmed that these spectral distances are connected with distributions for behavioral parameters of the market participants from numerical simulation. This concludes that spectral distances of representative quantities of financial markets are related into diversification of behavioral parameters of the market participants.

q-fin.ST↗

arXiv2006

Artificial market model based on deterministic agents and derivation of limit of GARCH type process

We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability density function of market price changes has power law tails. Autocorrelation coefficient of the changes has an anti-correlation, and autocorrelation coefficient of squared changes (volatility correlation function) has a long time correlation. A probability density function of intervals between successive trading follows a geometric distribution. GARCH type stochastic process is theoretically derived from this market model in a limit case. We discuss factors of the market price fluctuations and a relation between the volatility of the market prices and a demand-supply curve. We conclude that the power law tails and the long time volatility result from mechanism of the GARCH type stochastic process.

cond-mat.stat-mech↗

arXiv2006

Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pairs is detected and characterized. A simple agent-based model in which $N$ market participants exchange $M$ currency pairs is proposed. The equation for the tick frequency is approximately derived theoretically. Based on the analysis of this model, the spectral distance of the tick frequency is associated with the similarity of the behavior (perception and decision) of the market participants in exchanging these currency pairs.

physics.data-an↗

arXiv2006

Characteristic time scales of tick quotes on foreign currency markets: an empirical study and agent-based model

Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power spectrum densities at a few minutes. We develop the double-threshold agent model and confirm that stochastic resonance occurs for the market activity of this model. We propose a hypothesis that the periodicities found on the power spectrum densities can be observed due to stochastic resonance.

physics.data-an↗

arXiv2005

A characteristic time scale of tick quotes on foreign currency markets

This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over the year yield that the mean power spectrum density has a peak at high frequencies. Consequently it means that there exist the characteristic scales which dealers act in the market. A simple agent model to explain this phenomenon is proposed. This phenomena may be a result of stochastic resonance with exogenous periodic information and physiological fluctuations of the agents. This may be attributed to the traders' behavior on the market. The potential application is both quantitative characterization and classification of foreign currency markets.

physics.data-an↗

arXiv2004

Signal estimation and threshold optimization using an array of bithreshold elements

We consider the problem of optimizing signal transmission through multi-channel noisy devices. We investigate an array of bithreshold noisy devices which are connected in parallel and convergent on a summing center. Utilizing the concept of noise-induced linearization we derive an analytical approximation of the normalized power norm and clarify the relation between the optimum threshold and the standard deviation of noises. We show that the optimum threshold value is 0.63 times the standard deviation of the noises. This relation is applicable to both subthreshold and suprathreshold inputs.

cond-mat.stat-mech↗