Biomedical subjects

Kazuko Yamasaki

Publications and source records attributed to Kazuko Yamasaki.

4 recordsLinked to original sources

PubMed2006

Preferential attachment and growth dynamics in complex systems.

Complex systems can be characterized by classes of equivalency of their elements defined according to system specific rules. We propose a generalized preferential attachment model to describe the class size distribution. The model postulates preferential growth of the existing classes and the steady influx of new classes. According to the model, the distribution changes from a pure exponential form for zero influx of new classes to a power law with an exponential cut-off form when the influx of new classes is substantial. Predictions of the model are tested through the analysis of a unique industrial database, which covers both elementary units (products) and classes (markets, firms) in a given industry (pharmaceuticals), covering the entire size distribution. The model's predictions are in good agreement with the data. The paper sheds light on the emergence of the exponent tau approximately 2 observed as a universal feature of many biological, social and economic problems.

Journal Article↗

PubMed2006

Scaling and memory of intraday volatility return intervals in stock markets.

We study the return interval tau between price volatilities that are above a certain threshold q for 31 intraday data sets, including the Standard and Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index. For different threshold q, the probability density function Pq(tau)scales with the mean interval tau as [Formula: see text], similar to that found in daily volatilities. Since the intraday records have significantly more data points compared to the daily records, we could probe for much higher thresholds and still obtain good statistics. We find that the scaling function f(x)is consistent for all 31 intraday data sets in various time resolutions, and the function is well-approximated by the stretched exponential, f(x) similar to e(-ax)(gamma), with gamma=0.38+/-0.05 and a=3.9+/-0.5, which indicates the existence of correlations. We analyze the conditional probability distribution Pq(tau/tau0) for tau following a certain interval tau0, and find Pq(tau/tau0) depends on tau0, which demonstrates memory in intraday return intervals. Also, we find that the mean conditional interval (tau/tau0) increases with tau0, consistent with the memory found for Pq(tau/tau0). Moreover, we find that return interval records, in addition to having short-term correlations as demonstrated by Pq(tau/tau0), have long-term correlations with correlation exponents similar to that of volatility records.

Journal Article↗

PubMed2005

The growth of business firms: theoretical framework and empirical evidence.

We introduce a model of proportional growth to explain the distribution P(g)(g) of business-firm growth rates. The model predicts that P(g)(g) is exponential in the central part and depicts an asymptotic power-law behavior in the tails with an exponent zeta = 3. Because of data limitations, previous studies in this field have been focusing exclusively on the Laplace shape of the body of the distribution. In this article, we test the model at different levels of aggregation in the economy, from products to firms to countries, and we find that the predictions of the model agree with empirical growth distributions and size-variance relationships.

Commerce↗

PubMed2005

Scaling and memory in volatility return intervals in financial markets.

For both stock and currency markets, we study the return intervals tau between the daily volatilities of the price changes that are above a certain threshold q. We find that the distribution function Pq(tau) scales with the mean return interval tau as Pq(tau)=tau(-1)f(tau/tau). The scaling function fx is similar in form for all seven stocks and for all seven currency databases analyzed, and fx is consistent with a power-law form, fx approximately x(-gamma) with gamma approximately 2. We also quantify how the conditional distribution Pq(tau/tau0) depends on the previous return interval tau0 and find that small (or large) return intervals are more likely to be followed by small (or large) return intervals. This "clustering" of the volatility return intervals is a previously unrecognized phenomenon that we relate to the long-term correlations known to be present in the volatility.

Journal Article↗