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1、Econophysics on Real Economy The First Decade of the Kyoto Econophysics Group Hideaki Aoyama Department of Physics, Kyoto University, Kyoto 606-8501, Japan Yoshi Fujiwara ATR Laboratories, Kyoto 619-0288, Japan Yuichi Ikeda Hitachi Ltd, Hitachi Research Laboratory, Ibaraki 319-1221, Japan and Intern
2、ational Energy Agency, 75739 Paris Cedex 15, France Hiroshi Iyetomi Department of Physics, Niigata University, Niigata 950-2181, Japan Wataru Souma College of Science and Technology, Nihon University, Chiba 274-8501, Japan and Institute of Economic Research, Hitotsubashi University, Tokyo 186-8603,
3、Japan (Dated: June 29th, 2010: KUNS-2275) Research activities of Kyoto Econophysics Group is reviewed. Strong emphasis has been placed on real economy. While the initial stage of research was a fi rst high-defi nition data analysis on personal income, it soon progressed to fi rm dynamics, growth rat
4、e distribution and establishment of Paretos law and Gibrats law. It then led to analysis and simulation of fi rm dynamics on economic network. Currently it covers a wide range of dynamics of fi rms and fi nancial institutions on complex network, using Japanese large-scale network data, some of which
5、 are not available in other countries. Activities of this group for publicising and promoting understanding of econophysics is also reviewed. INTRODUCTION Physics community in Japan has been blessed with open-mindedness about application of physics methods and attitudes to other areas of research. O
6、ne of the earliest expression of such an ideal was by Torahiko Terada, a leading physicist and a well-respected writer of that time, who wrote the following defence of bringing physics into biology in 1933 1: When making a statistical analysis of a large number of human individuals we may prop- erly
7、 regard it as a mere conglomeration of in- organic material, and altogether neglect indi- vidual free will. Indeed, it is now clear that pure physical problems, such as the density of particles in a colloidal matter, may with pro- priety be compared to statistics of a purely physical nature, such as
8、 the “density” or “av- erage speed” of persons walking along street. . It is sheer folly to dismiss such insights as heresy simply because they are incompatible with the dogma that “living creatures cannot be understood by Physics”. Such absurdities remind us that no ignorant amateur poses so seriou
9、s a threat to progress as a scientist un- aware of the nature and goal of their disci- pline. Hideki Yukawa, who won a Nobel Prize in Physics for his meson theory in 1949 for the fi rst time in Japan, encouraged his disciples to spread the physics research to various areas, including biology and cos
10、mology, which all blossomed in the following years. One of his favorite quote from Kyogen (Japanese traditional comedies, in the style of Noh) is the following 2: A patient mind looks everywhere for signs of thoughts and things of worth; The shallowest stream runs sparkling over secrets far beneath
11、the earth. Econophysics was introduced to Japanese physics com- munity by Hideki Takayasu (Sony CSL), whose pioneer- ing work may be, the very fi rst mathematical modeling and simulation of stock market in 1992 3, and applica- tion of the Langevin equation to the stochastic process and the derivatio
12、n of the power law 4, among others. He also publicised the approach and fruits of econophysics widely in physics community through lectures and orga- nization of conferences. The present authors, who stud- ied various areas of physics; elementary particle physics (H.A. and W.S.), cosmology (Y.F.), c
13、ondensed matter physics (H.I.) and high-energy and nuclear physics (Y.I.), met econophysics under his infl uence. Since then, Kyoto Econophysics Group has been conducting research with emphasis on real economy, and has published two books in Japanese 5, 6, and a book in English is forthcoming arXiv:
14、1006.5587v3 q-fin.GN 2 Jul 2010 2 in August 2010 7. In the following, we shall review our research activities of the last decade and will conclude it with the future prospect. PARETOS LAW AND GIBRATS LAW The beginning of the econophysics research at Kyoto may be the empirical study of the personal i
15、ncome in 2000 8, which is the fi rst high-defi nition study, cover- ing some eighty thousand top income-earners in Japan. It came about as a result of a chance fi nding of a data CD that contained the list of the income, address, phone numbers, etc. of those people by one of the authors (H.A.) at a
16、PC shop in Akihabara, Tokyo. (Such information were posted at the tax offi ces scattered all over in Japan and were collected by a database company at that time, but is no longer available for the protection of personal information.) This resulted in clear identifi cation of the Paretos (power) law,
17、 followed by several related works 9, 10, earned its position as a logo of a conference 11 12 Y. Fujiwara joined this group in the midst of this line of work, after working on stock markets: some of which were on self-similarity and multifractality in stock price fl uctuations 13 and a spin model of
18、 stock market 14. The research thus started soon lead to study of the growth rate, the ratio of the income of a year and the income of the next year for each person, which was a col- laborative work with economists, Masanao Aoki (UCLA) and Taisei Kaizoji (ICU) 15, as we recognized impor- tance of co
19、llaboration between physicists and economists. It may be noteworthy that H.A. knew that when physi- cists enter areas outside physics such a collaboration with experts is almost a must for fruitful results, from his ear- lier work with John Constable, a Cambridge-educated English critic/poet, on lin
20、guistics 1618. Soon, it fl ourished to various research covering fi rms as well:establishment of the Gibrats law in high- defi nition data 19, 20, study of European fi rms, with Italian economists, Corrado di Guilmi and Mauro Gal- legati 21, 22, further study of the fi rm-size distri- bution 23, stu
21、dy of small-to-medium fi rms using the Credit Risk Database (CRD) in Japan 24, study of fi rm bankruptcy, the life-time distribution and a simulation model (Delli Gatti-Gallegati-Palestrini) 25, and two- factor stochastic model, with economist Nirei, to explain personal income distribution in Japan
22、and U.S. 2628. In the meantime, Y. Ikeda had been studying ap- plying the real-option theories in fi nancial engineering and game theoretical approach for risk assessment in multiple-business environment 2931, which motivated him to join collaborative work with the other authors. He brought research
23、 funding from Hitachi to us, which was a key ingredient for the formation of the Kyoto group. He also continued his own line of research, which was connected to his companys interest, including a study of project risk using Bloomberg data 32, and a work on correlation between R Masanao Aoki (Los Ang
24、eles), John Constable (London), the late Hirokazu Fujisaka, Mauro Gallegati (Ancona), Corrado Di Guilmi (Ancona), Shigeru Hikuma (Tokyo), Yasuyuki Kuratsu (Tokyo), Hiroyasu Inoue (Osaka), Taisei Kaizoji (Tokyo), Makoto Nirei (Tokyo), Makoto Nukaga (Tokyo), Hideki Takayasu (Tokyo), Misako Takayasu (T
25、okyo), Schumpeter Tamada (Hyogo), Hiwon Yoon (Tokyo), and Hiroshi Yoshikawa (Tokyo).The present work is sup- ported in part by the Program for Promoting Method- ological Innovation in Humanities and Social Sciences by Cross-Disciplinary Fusing of the Japan Society for the Promotion of Science, Grant
26、-in-Aid for Scientifi c Research (B) 20330060 (2008-10) and 22300080 (2010- 12), Invitation Fellowship Program for Research in Japan (Short term) ID No.S-09132 of the Ministry of Educa- tion, Science, Sports and Culture, Japan, Hitachi, Ltd., Hitachi Research Institute, and The Research Institute of
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