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Takaaki Ohnishi Hideki Takayasu Takatoshi Ito Yuko Hashimoto Tsutomu Watanabe Misako Takayasu 《Journal of Economic Interaction and Coordination》2008,3(1):99-106
We empirically investigate price fluctuations of yen-dollar exchange rate using the high-frequency data recorded in the electronic
broking system for seven-year period. The distribution of quote price changes has symmetric fat-tails approximated by a power
law; however, that of deal price is asymmetrical. The autocorrelation function and diffusion of price changes indicate that
quote price exhibits anti-correlation feature in short time scale, whereas deal price is essentially uncorrelated. The bid-ask
spread shows power-law distribution and long range temporal correlations similar to that observed in absoute price changes.
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Takayasu Matsuoka 《Japan and the World Economy》2010,22(1):13-20
There is strong empirical evidence that the degree of price stickiness differs across commodity items, and that the nonparametric hazard function of price changes is downward-sloping with some spikes. We introduce item-specific heterogeneity into the standard single-sector model of Calvo [Calvo, G., 1983. Staggered prices in a utility-maximizing framework. Journal of Monetary Economics 12 (3), 383–398]. By allowing the hazard rate of price changes to vary across items, we show that the decreasing nonparametric hazard function is well described except for the characteristic peaks at 1, 12, 24, and 36 months. We reject the hypothesis that the degree of price stickiness is the same across the items at 1 percent of significance. In the presence of item-specific heterogeneity, the probability that prices remain unchanged for long periods is higher than the single-sector model predicts. 相似文献
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Takaaki Ohnishi Hideki Takayasu Misako Takayasu 《Journal of Economic Interaction and Coordination》2010,5(2):171-180
Firms build business relationships during economic activities. The goal of this paper is to clarify production mechanisms
and economic functions by identifying characteristic patterns of inter-firm interactions. In this paper, we empirically analyze
an inter-firm network consisting of about one million firms and four million directed links, in order to specify network motifs,
which are small subgraphs that occur more frequently than expected in a randomly generated network. We found that V-shaped
triads are network motifs, while feedforward and feedback loop are anti-motifs. By defining roles in the subgraph according
to structural equivalence, we also detected the significance profile of roles characterizing the industry sector. The taxonomy
of industries obtained from the profiles is economically meaningful. These empirical findings may serve to provide an easily
interpretable view of the entire inter-firm network and to improve the efficiency and safety of economic systems. 相似文献
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Yuko Hashimoto Takaaki Ohnishi Misako Takayasu Hideki Takayasu Tsutomu Watanabe 《Quantitative Finance》2013,13(6):893-905
Using tick-by-tick data for the dollar–yen and euro–dollar exchange rates recorded on the actual transaction platform, a ‘run’—continuous increases or decreases in deal prices for the past several ticks—does have some predictable information on the direction of the next price movement. Deal price movements, that are consistent with order flows, tend to continue a run once it is started. Indeed, conditional probabilities of a run continuing in the same direction after several consecutive observations exceed 0.5. However, quote prices do not show such a run tendency. Hence, a random walk hypothesis is refuted in a simple test of a run using tick-by-tick data. In addition, a longer continuous increase of the price tends to be followed by a larger reversal. The findings suggest that those market participants who have access to real-time, tick-by-tick transaction data may have an advantage in predicting exchange rate movements. The findings reported here also lend support to the momentum trading strategy. 相似文献
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We observe the statistical properties of blogs that are expected to reflect social human interaction. Firstly, we introduce
a basic normalization preprocess that enables us to evaluate the genuine word frequency in blogs that are independent of external
factors such as spam blogs, server-breakdowns, increase in the population of bloggers, and periodic weekly behaviors. After
this process, we can confirm that small frequency words clearly follow an independent Poisson process as theoretically expected.
Secondly, we focus on each blogger’s basic behaviors. It is found that there are two kinds of behaviors of bloggers. Further,
Zipf’s law on word frequency is confirmed to be universally independent of individual activity types. 相似文献
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