arXiv subjects

Yoshi Fujiwara

Publications and source records attributed to Yoshi Fujiwara.

At least 37 records · Page 2Linked to original sources

arXiv2009

Visualizing a large-scale structure of production network by N-body simulation

Our recent study of a nation-wide production network uncovered a community structure, namely how firms are connected by supplier-customer links into tightly-knit groups with high density in intra-groups and with lower connectivity in inter-groups. Here we propose a method to visualize the community structure by a graph layout based on a physical analogy. The layout can be calculated in a practical computation-time and is possible to be accelerated by a special-purpose device of GRAPE (gravity pipeline) developed for astrophysical N-body simulation. We show that the method successfully identifies the communities in a hierarchical way by applying it to the manufacturing sector comprising tenth million nodes and a half million edges. In addition, we discuss several limitations of this method, and propose a possible way to avoid all those problems.

q-fin.GN↗

arXiv2009

Agent-Based Model Approach to Complex Phenomena in Real Economy

An agent-based 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.

q-fin.GN↗

arXiv2009

Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors

Labour productivity distribution (dispersion) is studied both theoretically and empirically. Superstatistics is presented as a natural theoretical framework for productivity. The demand index $κ$ is proposed within this framework as a new business index. Japanese productivity data covering small-to-medium to large firms from 1996 to 2006 is analyzed and the power-law for both firms and workers is established. The demand index $κ$ is evaluated in the manufacturing sector. A new discovery is reported for the nonmanufacturing (service) sector, which calls for expansion of the superstatistics framework to negative temperature range.

q-fin.GN↗

arXiv2008

Labour Productivity Superstatistics

We discuss superstatistics theory of labour productivity. Productivity distribution across workers, firms and industrial sectors are studied empirically and found to obey power-distributions, in sharp contrast to the equilibrium theories of mainstream economics. The Pareto index is found to decrease with the level of aggregation, {\it i.e.}, from workers to firms and to industrial sectors. In order to explain these phenomenological laws, we propose a superstatistics framework, where the role of the fluctuating temperature is played by the fluctuating demand.

q-fin.GN↗

arXiv2008

Productivity Dispersion: Facts, Theory, and Implications

We study productivity dispersions across workers, firms and industrial sectors. Empirical study of the Japanese data shows that they all obey the Pareto law, and also that the Pareto index decreases with the level of aggregation. In order to explain these two stylized facts, we propose a theoretical framework built upon the basic principle of statistical physics. In this framework, we employ the concept of superstatistics which accommodates fluctuations of aggregate demand.

q-fin.GN↗

arXiv2007

Agent Simulation of Chain Bankruptcy

We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of accounts payable is modeled by an interaction term, and bankruptcy is defined as a capital deficit. Model parameters were estimated using financial data for 1,077 listed Japanese firms. Simulations of chain bankruptcy on the real transaction network consisting of those 1,077 firms were made with the estimated model parameters. Given an initial bankrupt firm, a list of chain bankrupt firms was obtained. This model can be used to detect high-risk links in a transaction network, for the management of chain bankruptcy.

q-fin.GN↗

arXiv2007

A Gap in the Community-Size Distribution of a Large-Scale Social Networking Site

Social networking sites (SNS) have recently used by millions of people all over the world. An SNS is a society on the Internet, where people communicate and foster friendship with each other. We examine a nation-wide SNS (more than six million users at present), mutually acknowledged friendship network with third million people and nearly two million links. By employing a community-extracting method developed by Newman and others, we found that there exists a range of community-sizes in which only few communities are detected. This novel feature cannot be explained by previous growth models of networks. We present a simple model with two processes of acquaintance, connecting nearest neighbors and random linkage. We show that the model can explain the gap in the community-size distribution as well as other statistical properties including long-tail degree distribution, high transitivity, its correlation with degree, and degree-degree correlation. The model can estimate how the two processes, which are ubiquitous in many social networks, are working with relative frequencies in the SNS as well as other societies.

physics.soc-ph↗

arXiv2006

Response of Firm Agent Network to Exogenous Shock

This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First, the performance of individual firms on a real transaction network was simulated. The simulation quantitatively reproduced the cumulative probability distribution of revenue, material cost, capital, and labor. Then, the response of the firms to a given exogenous shock, defined as a sudden change of gross domestic product, is discussed. The longer tail in cumulative probability and skewed distribution of growth rate are observed for a high growth scenario.

physics.soc-ph↗

arXiv2005

Change of ownership networks in Japan

As complex networks in economics, we consider Japanese shareholding networks as they existed in 1985, 1990, 1995, 2000, 2002, and 2003. In this study, we use as data lists of shareholders for companies listed on the stock market or on the over-the-counter market. The lengths of the shareholder lists vary with the companies, and we use lists for the top 20 shareholders. We represent these shareholding networks as a directed graph by drawing arrows from shareholders to stock corporations. Consequently, the distribution of incoming edges has an upper bound, while that of outgoing edges has no bound. This representation shows that for all years the distributions of outgoing degrees can be well explained by the power law function with an exponential tail. The exponent depends on the year and the country, while the power law shape is maintained universally. We show that the exponent strongly correlates with the long-term shareholding rate and the cross-shareholding rate.

physics.soc-ph↗

arXiv2005

Shareholding Networks in Japan

The Japanese shareholding network existing at the end of March 2002 is studied empirically. The network is constructed from 2,303 listed companies and 53 non-listed financial institutions. We consider this network as a directed graph by drawing edges from shareholders to stock corporations. The lengths of the shareholder lists vary with the companies, and the most comprehensive lists contain the top 30 shareholders. Consequently, the distribution of incoming edges has an upper bound, while that of outgoing edges has no bound. The distribution of outgoing degrees is well explained by the power law function with an exponential tail. The exponent in the power law range is gamma=1.7. To understand these features from the viewpoint of a company's growth, we consider the correlations between the outgoing degree and the company's age, profit, and total assets.

physics.soc-ph↗

arXiv2005

Heterogeneous Economic Networks

The Japanese shareholding network at the end of March 2002 is studied. To understand the characteristics of this network intuitively, we visualize it as a directed graph and an adjacency matrix. Especially detailed features of networks concerned with the automobile industry sector are discussed by using the visualized networks. The shareholding network is also considered as an undirected graph, because many quantities characterizing networks are defined for undirected cases. For this undirected shareholding network, we show that a degree distribution is well fitted by a power law function with an exponential tail. The exponent in the power law range is gamma=1.8. We also show that the spectrum of this network follows asymptotically the power law distribution with the exponent delta=2.6. By comparison with gamma and delta, we find a scaling relation delta=2gamma-1. The reason why this relation holds is attributed to the local tree-like structure of networks. To clarify this structure, the correlation between degrees and clustering coefficients is considered. We show that this correlation is negative and fitted by the power law function with the exponent alpha=1.1. This guarantees the local tree-like structure of the network and suggests the existence of a hierarchical structure. We also show that the degree correlation is negative and follows the power law function with the exponent nu=0.8. This indicates a degree-nonassortative network, in which hubs are not directly connected with each other. To understand these features of the network from the viewpoint of a company's growth, we consider the correlation between the degree and the company's total assets and age. It is clarified that the degree and the company's total assets correlate strongly, but the degree and the company's age have no correlation.

physics.soc-ph↗

arXiv2003

Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms

By employing exhaustive lists of large firms in European countries, we show that the upper-tail of the distribution of firm size can be fitted with a power-law (Pareto-Zipf law), and that in this region the growth rate of each firm is independent of the firm's size (Gibrat's law of proportionate effect). We also find that detailed balance holds in the large-size region for periods we investigated; the empirical probability for a firm to change its size from a value to another is statistically the same as that for its reverse process. We prove several relationships among Pareto-Zipf's law, Gibrat's law and the condition of detailed balance. As a consequence, we show that the distribution of growth rate possesses a non-trivial relation between the positive side of the distribution and the negative side, through the value of Pareto index, as is confirmed empirically.

cond-mat.stat-mech↗

arXiv2003

Zipf Law in Firms Bankruptcy

Using an exhaustive list of Japanese bankruptcy in 1997, we discover a Zipf law for the distribution of total liabilities of bankrupted firms in high debt range. The life-time of these bankrupted firms has exponential distribution in correlation with entry rate of new firms. We also show that the debt and size are highly correlated, so the Zipf law holds consistently with that for size distribution. In attempt to understand ``physics'' of bankruptcy, we show that a model of debtor-creditor dynamics of firms and a bank, recently proposed by economists, can reproduce these phenomenological findings.

cond-mat.stat-mech↗

arXiv2002

Growth and Fluctuations of Personal Income

Pareto's law states that the distribution of personal income obeys a power-law in the high-income range, and has been supported by international observations. Researchers have proposed models over a century since its discovery. However, the dynamical nature of personal income has been little studied hitherto, mostly due to the lack of empirical work. Here we report the first such study, an examination of the fluctuations in personal income of about 80,000 high-income taxpayers in Japan for two consecutive years, 1997 and 1998, when the economy was relatively stable. We find that the distribution of the growth rate in one year is independent of income in the previous year. This fact, combined with an approximate time-reversal symmetry, leads to the Pareto law, thereby explaining it as a consequence of a stable economy. We also derive a scaling relation between positive and negative growth rates, and show good agreement with the data. These findings provide the direct observation of the dynamical process of personal income flow not yet studied as much as for companies.

cond-mat.dis-nn↗

arXiv2002

Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. The cumulative distribution of log returns exhibits scaling with exponents steeper than 2 and scaling is observed in the distribution of transition times between bull and bear markets.

cond-mat.stat-mech↗

arXiv2001

Small-World Effects in Wealth Distribution

We construct a model of wealth distribution, based on an interactive multiplicative stochastic process on static complex networks. Through numerical simulations we show that a decrease in the number of links discourages equality in wealth distribution, while the rewiring of links in small-world networks encourages it. Inequal distributions obey log-normal distributions, which are produced by wealth clustering. The rewiring of links breaks the wealth clustering and makes wealth obey the mean field type (power law) distributions. A mechanism that explains the appearance of log-normal distributions with a power law tail is proposed.

cond-mat.stat-mech↗

arXiv2001

Coarse-graining and Self-similarity of Price Fluctuations

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for self-similarity, is confirmed by analyzing real price data from a stock market. We also discuss the close interrelation among our approach, the scaling-of-moments method and the multifractal approach for price fluctuations.

cond-mat.stat-mech↗

arXiv1996

Comment on Entropy in Two-dimensional Dilaton Gravity

The thermodynamic second law in the evaporating black hole space-time is examined in the context of two-dimensional dilaton black hole. The dynamical evolution of entropy is investigated by using the analytical perturbation method and the numerical method. It is shown that the thermodynamic second law holds in the vicinity of infalling shell %analytically and in the region far from the infalling shell %numerically in the case of semi-classical CGHS model. The analysis of the general models is also presented and its implication is discussed.

gr-qc↗