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科研費基盤(B)「システミック・リスクと社会経済システムのレジリエンスに関する研究」(課題番号26282089)プロジェクト
http://amech.amp.i.kyoto-u.ac.jp/26282089/doku.php?id=english
主催、非線形問題研究部会共催で、下記のワークショップを開催いたします。万障お繰り合わせの上、ご参加いただけますと幸いでございます。なお、会議の使用言語は英語といたします。

日時 201年11月29日(火)11:00-17:00
場所 中央大学駿河台記念館220号室[12人収容]
アクセス http://www.chuo-u.ac.jp/access/surugadai/

<<科研費基盤(B)「システミック・リスクと社会経済システムのレジリエンスに関する研究」(課題番号26282089)研究報告会1>>
* 研究報告会2も後日予定しております。

Program on 29th November, 2016: 11:00-17:00

The collection of abstract
アブストラクトは下記より入手できます。
http://c-faculty.tamacc.chuo-u.ac.jp/~aruka/activities.html

Morning session 11:00-12:00

講師 Aki-Hiro Sato, Kyoto University
論題 Analyzing relationships among financial items of bank’s balance sheet

Afternoon session 13:00-17:00

講師 Kiyoshi Izumi, University of Tokyo
論題 Artificial Market Simulation of Flash Crash and Systemic Risk

講師 Kien Trung Tran, National Defense Academy
論題 A Complex Network Approach to Find Critical Industrial Sectors in the World Economy

講師 Anirban Chakraborti, Jawaharlal Nehru University, New Delhi
論題 Sectoral co-movements in the Indian stock: market: a mesoscopic network analysis

以上。

有賀裕二 拝

The collection of abstracts

The first workshop of our final report for JSPS grant: no. 26282089 (A study on resilience from systemic risks in the socio-economic system)

11:00-17:00
Nov 29 2016
Room 220
Surugadai Memorial Hall

Morning Session 11:00-12:00
1. Aki-Hiro Sato, Kyoto University
Lecture title: Analyzing relationships among financial items of bank’s balance sheet
Abstract
We realized that in a chain reaction the bankruptcy of a big bank had pro-vided a huge impact on other sectors in the Lehman shock. Such an event is called systemic risk which a main subject of this study. In this report by using real data extracted from balance sheets reported by banks listed in the first section of Tokyo Stock Exchange the relationships among financial items of banks are analyzed. It is shown that there is a power-law relationship between equity and debt for each bank following the Cobb-Douglas production function approach. Furthermore we con-duct two variable regression analysis about the power-law relationship. It is shown that there are possibilities that we can use the parameter estimate as an index measuring macroeconomic condition. In addition it is found that there is no correlation between the capital adequacy ratio and the return on equity which is known as indicators to characterize bank properties in a quantitative manner. This method enables us to easily understand macroeconomic conditions of banking sector from a comprehensive point of view.

Afternoon session 13:00-17:00
2. Kiyoshi Izumi, University of Tokyo
Lecture title: Artificial Market Simulation of Flash Crash and Systemic Risk
Abstract
In this talk we introduce our financial market simulation platform Plham (platform for large-scale and high-frequency artificial market). We apply computer simulation to support design of market regulations in Tokyo Stock Exchange. (a) Tick-size reduction: We applied the simulation to support decision making of changes of tick sizes for a stock in two competitive markets. Exhaustive simulations of various tick size combinations tell us conditions that a market survives in competitions among markets. (b) Shock transfer by HFT arbitrage: To find the conditions that a sudden price down of one stock spreads over the markets we conducted exhaustive simulations for combinations of various agent types. (c) VaR shock simulation: We introduced traders with Value-at-Risk management and analyzed its effects on the market stability.

3. Kien Trung Tran M.D, National Defense Academy of Japan
Lecture title: A Complex Network Approach to Find Critical Industrial Sectors in the World Economy
Abstract
The usual way of identifying critical sectors in an economy in Input-output analysis is using Leontief inverse Matrix to measure the backward linkages and the forward linkages of each sector. Alternatively to evaluate the role of sectors by means of its centrality and degree assessment we use an modified alpha-centrality method -amplification index and vulnerability index - to the weighted network. It is used to identify both how a sector could be affected by other sectors and how it could affect the others in the whole economy. The used data is the world input-output table part of the world input-output database (WIOD) funded by European Commission in the period of17 years from 1995 to 2011 but mainly focus on the data of year 2011. Having analyzed these results the trend of these sectors in that range of time will be used to reveal how the world economy changed in the last decade.

4. Anirban Chakraborti, Jawaharlal Nehru University New Delhi
Lecture title: Sectoral co-movements in the Indian stock: market: a mesoscopic network analysis
Abstract
In this article we review several techniques to extract information from large scale stock market data. We discuss recurrence analysis of time series decomposition of aggregate correlation matrices to study co-movements in financial data stock level partial correlations with market indices multi-dimensional scaling and minimum spanning tree. We apply these techniques to daily return time series from the Indian stock market. The analysis allows us to construct networks based on correlation matrices of individual stocks in one hand and on the other we discuss dynamics of market indices. Thus both micro level and macro level dynamics can be analyzed using such tools. We use the multi-dimensional scaling methods to visualize the sectoral structure of the stock market and analyze the co-movements among the sectoral stocks. Finally we construct a mesoscopic network based on sectoral indices. Minimum spanning tree technique is seen to be extremely useful in order to group technologically related sectors and the mapping corresponds to actual production relationship to a reasonable extent.

======================
JAFEE20th video uploaded
on YouTube, July 2016
https://youtu.be/v2ECXrLyLjA
======================

Professor Dr. Yuji ARUKA
Faculty of Commerce, CHUO UNIVERSITY
Higashinakano Hachioji-shi
Tokyo 192-0393 JAPAN
Tel: 81+(0)426-74-3617
Fax: 81+(0)426-74-3651
e-mail: aruka@tamacc.chuo-u.ac.jp
http://c-faculty.chuo-u.ac.jp/~aruka
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President, Japan Association for Evolutionary Economics
http://www.jafee.org/diary.cgi
Coordinating Editor, Evolutionary and Institutional Economics Review (Springer Series form 2015)
http://www.springer.com/economics/economic+theory/journal/40844
Editor-in-Chief, Evolutionary Economics and Social Complexity Science (Springer Monograph Series)
http://www.springer.com/series/11930
Editorial Board Member, Journal of Economic Interaction and Coordination
http://www.springer.com/economics/economic+theory/journal/11403
Editorial Board Member, Translational Systems Sciences (Springer Monograph Series)
http://www.springer.com/series/11213