Taisei Kaizoji : Citation Profile


Are you Taisei Kaizoji?

International Christian University (50% share)

12

H index

14

i10 index

483

Citations

RESEARCH PRODUCTION:

37

Articles

52

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 19
   Journals where Taisei Kaizoji has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 20 (3.98 %)

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   Permalink: http://citec.repec.org/pka333
   Updated: 2023-01-28    RAS profile: 2019-12-01    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Taisei Kaizoji.

Is cited by:

Zhou, Wei-Xing (21)

Scalas, Enrico (11)

GUPTA, RANGAN (9)

Cajueiro, Daniel (8)

Tabak, Benjamin (8)

Alfarano, Simone (7)

Naimzada, Ahmad (7)

Chang, Chia-Lin (6)

Vidal-Tomás, David (6)

McAleer, Michael (6)

Tansuchat, Roengchai (6)

Cites to:

Bollerslev, Tim (15)

Calvet, Laurent (13)

Lux, Thomas (11)

Fisher, Adlai (11)

Granger, Clive (8)

Scalas, Enrico (7)

Diebold, Francis (7)

Andersen, Torben (7)

Hommes, Cars (7)

Chiarella, Carl (7)

Mandelbrot, Benoît (7)

Main data


Where Taisei Kaizoji has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications22
The European Physical Journal B: Condensed Matter and Complex Systems4
Journal of Economic Behavior & Organization3
CBU International Conference Proceedings2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org33
MPRA Paper / University Library of Munich, Germany8
Economics Working Papers / Christian-Albrechts-University of Kiel, Department of Economics2
Computing in Economics and Finance 2001 / Society for Computational Economics2
Computing in Economics and Finance 2004 / Society for Computational Economics2

Recent works citing Taisei Kaizoji (2022 and 2021)


YearTitle of citing document
2021Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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2021An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2021Testing the Goodwin Growth Cycles with Econophysics Approach in 2002-2019 Period in Turkey. (2021). Yuksel, Yusuf ; Ozyigit, Mehmet ; Afcsar, Kerim Eser ; Akinci, Umit. In: Papers. RePEc:arx:papers:2106.02546.

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2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

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2021Cross-ownership as a structural explanation for rising correlations in crisis times. (2021). Araneda, Axel A ; Bertschinger, Nils. In: Papers. RePEc:arx:papers:2112.04824.

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2021A q-spin Potts model of markets: Gain-loss asymmetry in stock indices as an emergent phenomenon. (2021). Bornholdt, Stefan. In: Papers. RePEc:arx:papers:2112.06290.

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2022The component-wise egalitarian Myerson value for Network Games. (2022). Kakoty, Niharika ; Goala, Sujata ; Borkotokey, Surajit ; Boruah, Parishmita. In: Papers. RePEc:arx:papers:2201.02793.

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2022Bounded strategic reasoning explains crisis emergence in multi-agent market games. (2022). Prokopenko, Mikhail ; Evans, Benjamin Patrick. In: Papers. RePEc:arx:papers:2206.05568.

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2022DNN-ForwardTesting: A New Trading Strategy Validation using Statistical Timeseries Analysis and Deep Neural Networks. (2022). Dyoub, Abeer ; de Gasperis, Giovanni ; della Penna, Giuseppe ; Letteri, Ivan. In: Papers. RePEc:arx:papers:2210.11532.

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2022Liquidity based modeling of asset price bubbles via random matching. (2022). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.13804.

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2022Mechanism of information transmission from a spot rate market to crypto-asset markets. (2022). Kaizoji, Taisei ; Yoshihara, Takeshi. In: Papers. RePEc:arx:papers:2211.16176.

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2022Did cryptocurrencies exhibit log?periodic power law signature during the second wave of COVID?19?. (2022). Papathanasiou, Spyros ; Ghosh, Bikramaditya ; Pergeris, Georgios. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:3:n:e12207.

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2021Bitcoin and the South Sea Company: A comparative analysis. (2021). Fernandez, Amilcar Orlian ; Demmler, Michael . In: Revista Finanzas y Politica Economica. RePEc:col:000443:019660.

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2021Pricing of financial derivatives based on the Tsallis statistical theory. (2021). Pan, Jian ; Zhao, Pan ; Zhang, Jinbo ; Yue, Qin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308559.

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2021Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence. (2021). Scalas, Enrico ; Livan, Giacomo ; Kaizoji, Taisei ; Eom, Cheoljun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302394.

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2021Regime switches and commonalities of the cryptocurrencies asset class. (2021). Figà-Talamanca, Gianna ; Focardi, Sergio ; Figa-Talamanca, Gianna ; Patacca, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577.

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2022Investor sentiment and Bitcoin relationship: A quantile-based analysis. (2022). Mokni, Khaled ; Nakhli, Mohamed Sahbi ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000171.

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2022Does previous carry trade position affect following investors decision-making and carry returns?. (2022). Li, BO ; Chen, SU ; Zhang, Ziyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s105752192200031x.

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2022Cryptocurrency returns under empirical asset pricing. (2022). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001776.

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2022Price discovery in fiat currency and cryptocurrency markets. (2022). Wu, Zhen-Xing ; Gau, Yin-Feng ; Huang, Guan-Ying. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005535.

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2021Does parameterization affect the complexity of agent-based models?. (2021). Krištoufek, Ladislav ; Kristoufek, Ladislav ; Kukacka, Jiri. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:324-356.

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2022Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:294-306.

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2021Attention-return relation in the gold market and market states. (2021). de Castro, Jessica ; Piccoli, Pedro. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003421.

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2022Arbitrage breakdown in WTI crude oil futures: An analysis of the events on April 20, 2020. (2022). Kane, Stephen ; Burns, Christopher B. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s030142072200054x.

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2022The influence of mobile trading on return dispersion and herding behavior. (2022). Wu, Chongfeng ; Diao, Xundi ; Li, Zhuolei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000622.

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2021Measuring income inequality: A robust semi-parametric approach. (2021). Hussain, Saiful Izzuan ; Ibrahim, Kamarulzaman ; Masseran, Nurulkamal ; Mohd, Muhammad Aslam. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307159.

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2021The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591.

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2021Asymmetric efficiency of cryptocurrencies during COVID19. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Peng, Zhe ; Bouri, Elie ; Naeem, Muhammad Abubakr. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308608.

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2021Information flow between bitcoin and other financial assets. (2021). Yang, Jae-Suk ; Jang, Kwahngsoo ; Park, Sang Jin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030902x.

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2021Construction of minimum spanning trees from financial returns using rank correlation. (2021). Niranjan, Mahesan ; Millington, Tristan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309031.

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2021The acceleration effect and Gamma factor in asset pricing. (2021). Sornette, Didier ; Forro, Zalan ; Ardila-Alvarez, Diego. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437120307196.

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2021Student’s t mixture models for stock indices. A comparative study. (2021). Ramos, Arturo ; Massing, Till. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004167.

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2022Censored expectation maximization algorithm for mixtures: Application to intertrade waiting times. (2022). Thomas, Anthony W ; Kizilersu, Ayse ; Kreer, Markus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007299.

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2022A three-state opinion formation model for financial markets. (2022). Stanley, Eugene H ; Nelson, Kenric P ; Wang, Chao ; Zubillaga, Bernardo J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008001.

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2022A q-spin Potts model of markets: Gain–loss asymmetry in stock indices as an emergent phenomenon. (2022). Bornholdt, Stefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008384.

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2022Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model. (2022). Zhang, Junhuan ; Lu, Yunfan ; Zheng, Zhiyong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000528.

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2022Power law dynamics in genealogical graphs. (2022). Do, Jose Claudio ; Bezerra, Francisco Leonardo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001789.

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2021When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis. (2021). Mokni, Khaled. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:65-73.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2021Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. (2021). Hussain, Syed Jawad ; Mbarki, Imen ; Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:496-514.

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2022A cryptocurrency empirical study focused on evaluating their distribution functions. (2022). Muela, Sonia Benito ; Arguedas-Sanz, Raquel ; Lopez-Martin, Carmen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:387-407.

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2021Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market. (2021). Park, Jong Won ; Eom, Cheoljun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000258.

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2021Is Bitcoin rooted in confidence? – Unraveling the determinants of globalized digital currencies. (2021). Sahut, Jean Michel ; Nakhli, Mohamed Sahbi ; Gaies, Brahim ; Guesmi, Khaled. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:172:y:2021:i:c:s0040162521004704.

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2021Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework. (2021). Khan, Muhammed Asif ; Hkiri, Besma ; Alnemer, Hashem A. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:275-:d:577199.

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2021.

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2021.

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2022Disposition Effect and its outcome on endogenous price fluctuations. (2022). Tramontana, Fabio ; Cafferata, Alessia. In: MPRA Paper. RePEc:pra:mprapa:113904.

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2021Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave. (2021). Kyriazis, Ikolaos A. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:133-146.

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2021Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China. (2021). Bautista, Ramona Serrano ; Nez, Jos Antonio ; Mata, Leovardo Mata. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211009509.

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2021Detecting bubbles in Bitcoin price dynamics via market exuberance. (2021). Figà-Talamanca, Gianna ; Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03321-z.

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2021Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages. (2021). Figa-Talamanca, Gianna ; Patacca, Marco ; Focardi, Sergio. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00318-x.

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2021Blockchain and cryptocurrencies: economic and financial research. (2021). Cretarola, Alessandra ; Grunspan, Cyril ; Figa-Talamanca, Gianna. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00366-3.

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2021Why does production function take the Cobb–Douglas form?. (2021). Fujimoto, Shouji ; Ishikawa, Atushi ; Mizuno, Takayuki. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:18:y:2021:i:1:d:10.1007_s40844-020-00180-3.

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2021The time-varying causal relationship between the Bitcoin market and internet attention. (2021). Wang, Shouyang ; Tao, Rui ; Lu, Fengbin ; Zhang, Xun. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00275-9.

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2021An empirical behavioral order-driven model with price limit rules. (2021). Zhang, Wei ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00288-4.

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2022Agent-based model generating stylized facts of fixed income markets. (2022). Sornette, Didier ; Westphal, Rebecca ; Kopp, Antoine. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:17:y:2022:i:4:d:10.1007_s11403-022-00355-8.

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2022Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods. (2022). Sahiner, Mehmet. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:10:d:10.1007_s43546-022-00329-9.

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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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2022Employee Number Dependence in Labor Productivity Distribution. (2022). Ishikawa, Atushi ; Mizuno, Takayuki ; Fujimoto, Shouji. In: The Review of Socionetwork Strategies. RePEc:spr:trosos:v:16:y:2022:i:2:d:10.1007_s12626-022-00121-z.

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2022Copula-Based Synthetic Data Generation in Firm-Size Variables. (2022). Fujimoto, Shouji ; Ishikawa, Atushi ; Mizuno, Takayuki. In: The Review of Socionetwork Strategies. RePEc:spr:trosos:v:16:y:2022:i:2:d:10.1007_s12626-022-00128-6.

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2022Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs. (2022). , Chen. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:12:y:2022:i:6:f:12_6_6.

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2022Time?frequency analysis of risk spillovers from oil to BRICS stock markets: A long?memory Copula?CoVaR?MODWT method. (2022). Wu, Lanxin ; Nie, HE ; Mu, Jinqi ; Jiang, Yonghong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3386-3404.

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2021Estimation of Heuristic Switching in Behavioral Macroeconomic Models. (2021). Sacht, Stephen ; Kukacka, Jiri. In: Economics Working Papers. RePEc:zbw:cauewp:202101.

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Taisei Kaizoji has edited the books:


YearTitleTypeCited

Works by Taisei Kaizoji:


YearTitleTypeCited
2017REGIME CHANGE AND TREND PREDICTION FOR BITCOIN TIME SERIES DATA In: CBU International Conference Proceedings.
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article0
2018ANALYSIS OF BITCOIN MARKET EFFICIENCY BY USING MACHINE LEARNING In: CBU International Conference Proceedings.
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article1
2001On Dynamics in An Asset Pricing Model with Heterogeneous Expectations In: CeNDEF Workshop Papers, January 2001.
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paper0
2007Group dynamics of the Japanese market In: Papers.
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paper14
2008Group dynamics of the Japanese market.(2008) In: Physica A: Statistical Mechanics and its Applications.
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2007Volatility return intervals analysis of the Japanese market In: Papers.
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paper9
2008Volatility return intervals analysis of the Japanese market.(2008) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2009Effect of changing data size on eigenvalues in the Korean and Japanese stock markets In: Papers.
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paper7
2009Effect of changing data size on eigenvalues in the Korean and Japanese stock markets.(2009) In: Physica A: Statistical Mechanics and its Applications.
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2008Market bubbles and crashes In: Papers.
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2008Market Bubbles and Chrashes.(2008) In: MPRA Paper.
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2009The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets In: Papers.
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2011Full characterization of the fractional Poisson process In: Papers.
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paper8
2014Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders In: Papers.
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paper1
2013Modeling of Stock Returns and Trading Volume In: Papers.
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2016Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals In: Papers.
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2016Toward Economics as a New Complex System In: Papers.
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2017Zipfs law for share price and company fundamentals In: Papers.
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paper1
2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market In: Papers.
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2000Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity In: Papers.
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2000Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity.(2000) In: Physica A: Statistical Mechanics and its Applications.
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2002Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents In: Papers.
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2002Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents.(2002) In: Physica A: Statistical Mechanics and its Applications.
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2002Growth and Fluctuations of Personal Income In: Papers.
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2003Growth and fluctuations of personal income.(2003) In: Physica A: Statistical Mechanics and its Applications.
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2006Scaling Law for the Distribution of Fluctuations of Share Volume In: Papers.
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2006Scaling behavior in land markets In: Papers.
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2003Scaling behavior in land markets.(2003) In: Physica A: Statistical Mechanics and its Applications.
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2006A mechanism leading bubbles to crashes: the case of Japans land markets In: Papers.
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2006Power law for ensembles of stock prices In: Papers.
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2004Power law for ensembles of stock prices.(2004) In: Physica A: Statistical Mechanics and its Applications.
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2006Power law for the calm-time interval of price changes In: Papers.
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2004Power law for the calm-time interval of price changes.(2004) In: Physica A: Statistical Mechanics and its Applications.
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2006Inflation and deflation in stock markets In: Papers.
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2003Speculative bubbles and fat tail phenomena in a heterogeneous agent model In: Papers.
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2003Intermittent chaos in a model of financial markets with heterogeneous agents In: Papers.
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2005Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices In: Papers.
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2006A Precursor of Market Crashes In: Papers.
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2005Grouping in the stock markets of Japan and Korea In: Papers.
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2006Re-examination of the size distribution of firms In: Papers.
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2006An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics In: Papers.
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2006An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics.(2006) In: Physica A: Statistical Mechanics and its Applications.
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