Yukiko Umeno Saito | Searcharxiv

arXiv2010

Bubble burst as jamming phase transition

Recently research on bubble and its burst attract much interest of researchers in various field such as economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an importance of the volume of transactions. In this paper, we have proposed a bubble burst model by focusing the transactions incorporating a traffic model that represents spontaneous traffic jam. We find that the phenomenon of bubble burst shares many similar properties with traffic jam formation by comparing data taken from US housing market. Our result suggests that the transaction could be a driving force of bursting phenomenon.

physics.soc-ph↗

arXiv2005

Characteristic market behaviors caused by intervention in a foreign exchange market

In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the averaged rate about 1 yen per 1 dollar in an hour, and the rate change distribution becomes asymmetric for a few hours.

physics.data-an↗