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During the COVID-19 pandemic, governments faced difficulties in implementing mobility restriction measures, as no clear quantitative relationship between human mobility and infection spread in large cities is known. We developed a model that enables quantitative estimations of the infection risk for individual places and activities by using smartphone GPS data for the Tokyo metropolitan area. The effective reproduction number is directly calculated from the number of infectious social contacts defined by the square of the population density at each location. The difference in the infection rate of daily activities is considered, where the `stay-out' activity, staying at someplace neither home nor workplace, is more than 28 times larger than other activities. Also, the contribution to the infection strongly depends on location. We imply that the effective reproduction number is sufficiently suppressed if the highest-risk locations or activities are restricted. We also discuss the effects of the Delta variant and vaccination., 8 figures, 1 supplementary note

Supplementary Information (DOCX 1.3 MB)

Waste reduction is a fundamental problem for sustainability. Methods for waste reduction with point-of-sales (POS) data are proposed, utilizing the knowledge of a recent econophysics study on a statistical property of POS data. Concretely, the non-stationary time series analysis method based on the Particle Filter is developed, which considers abnormal fluctuation scaling known as Taylor's law. This method is extended for handling incomplete sales data because of stock-outs by introducing maximum likelihood estimation for censored data. The way for optimal stock determination with pricing the cost of waste reduction is also proposed. This study focuses on the examination of the methods for large sales numbers where Taylor's law is obvious. Numerical analysis using aggregated POS data shows the effectiveness of the methods to reduce food waste maintaining a high profit for large sales numbers. Moreover, the way of pricing the cost of waste reduction reveals that a small profit loss realizes substantial waste reduction, especially in the case that the proportionality constant of Taylor’s law is small. Specifically, around 1% profit loss realizes half disposal at =0.12, which is the actual value of processed food items used in this research. The methods provide practical and effective solutions for waste reduction keeping a high profit, especially with large sales numbers.

Social media can be a double-edged sword for society, either as a convenient channel exchanging ideas or as an unexpected conduit circulating fake news through a large population. While existing studies of fake news focus on theoretical modeling of propagation or identification methods based on machine learning, it is important to understand the realistic mechanisms between theoretical models and black-box methods. Here we track large databases of fake news and real news in both, Weibo in China and Twitter in Japan from different culture, which include their complete traces of re-postings. We find in both online social networks that fake news spreads distinctively from real news even at early stages of propagation, e.g. five hours after the first re-postings. Our finding demonstrates collective structural signals that help to understand the different propagation evolution of fake news and real news. Different from earlier studies, identifying the topological properties of the information propagation at early stages may offer novel features for early detection of fake news in social media., Comment: 35pages, 6 groups of figures

Growth of business firms or companies has been a subject of intensive research over a century. However, there still remains controversy about the basic mechanisms of their growth. Inspired by previous work on scaling laws in other systems, here we extend the notion of size of firms from a scalar to a vector in order to characterize in more detail the mechanisms of growth and decay of firms. Based on a large scale dataset of Japanese firms covering over two million firms for two decades (1994-2015), we compile the dataset of vectors of three components, namely, annual sales, number of employee and number of trading partners. We find that the number of employees is more influential in determining firm sales compared to the number of trading partners. This asymmetry is validated by regressions of sales against these parameters and the analysis of growth rate correlations. We then explore multi-variate dynamics of firms by elaborating an evolutionary flow diagram of the averaged motion in the three-dimensional vector space. The flow diagram indicates that firms which deviate from the balanced scaling relation tend to return to this relation. We also find that firms with a chance of large sales growth suffer the risk of high disappearance rate. These results could serve for prediction and modeling of firms, and are relevant for theoretical understanding of the general principles governing complex systems., Comment: 12 pages, 7 figures, Supplementary Materials (38 pages, 10 figures)

To elucidate the non-trivial empirical statistical properties of fluctuations of a typical non-steady time series representing the appearance of words in blogs, we investigated approximately five billion Japanese blogs over a period of six years and analyse some corresponding mathematical models. First, we introduce a solvable non-steady extension of the random diffusion model, which can be deduced by modelling the behaviour of heterogeneous random bloggers. Next, we deduce theoretical expressions for both the temporal and ensemble fluctuation scalings of this model, and demonstrate that these expressions can reproduce all empirical scalings over eight orders of magnitude. Furthermore, we show that the model can reproduce other statistical properties of time series representing the appearance of words in blogs, such as functional forms of the probability density and correlations in the total number of blogs. As an application, we quantify the abnormality of special nationwide events by measuring the fluctuation scalings of 1771 basic adjectives.

この論文は国立情報学研究所の電子図書館事業により電子化されました。

We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy and sell) independently. The improved model builds on the time-averaged number of particles in the inner layer and its change per unit time, where the inner layer is revealed by the correlations between price velocity and change in the number of particles (limit orders). This allows us to introduce the Knudsen number of the financial Brownian particle motion and its asymmetric version (on the buy and sell sides). Not being considered previously, the asymmetric Knudsen numbers are crucial in finance in order to detect asymmetric price changes. The Knudsen numbers allows us to characterise the conditions for the market dynamics to be correctly described by a continuous stochastic process. Not questioned until now for large liquid markets such as the USD/JPY and EUR/USD exchange rates, we show that there are regimes when the Knudsen numbers are so high that discrete particle effects dominate, such as during market stresses and crashes. We document the presence of imbalances of particles depletion rates on the buy and sell sides that are associated with high Knudsen numbers and violent directional price changes. This indicator can detect the direction of the price motion at the early stage while the usual volatility risk measure is blind to the price direction.

We generalize the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting, and annihilating particles by presenting a model of the velocity on each side (buy and sell) independently. The improved model builds on the time-averaged number of particles in the inner layer and its change per unit time, where the inner layer is revealed by the correlations between price velocity and change in the number of particles (limit orders). This allows us to introduce the Knudsen number of the financial Brownian particle motion and its asymmetric version (on the buy and sell sides). Not being considered previously, the asymmetric Knudsen numbers are crucial in finance in order to detect asymmetric price changes. The Knudsen numbers allows us to characterize the conditions for the market dynamics to be correctly described by a continuous stochastic process. Not questioned until now for large liquid markets such as the USD-JPY and EUR-USD exchange rates, we show that there are regimes when the Knudsen numbers are so high that discrete particle effects dominate, such as during market stresses and crashes. We document the presence of imbalances of particles depletion rates on the buy and sell sides that are associated with high Knudsen numbers and violent directional price changes. This indicator can detect the direction of the price motion at the early stage while the usual volatility risk measure is blind to the price direction., Physical Review E, 92 (4), ISSN:1539-3755, ISSN:1063-651X, ISSN:1095-3787, ISSN:1550-2376

金融市場での価格の動きは、時間反転させても統計性は変わらないと仮定されることがあるが、実際には異なっている。我々は、時間方向の正しい外国為替レートと時間を反転させたレートを用いて、金融市場に潜む時間の矢の存在を示す。正しい時間方向のレートでは、急激な変動後に揺らぎが増加するが、時間反転したレートでは揺らぎが減少するという、統計性の違いを見出すことができる。, この論文は国立情報学研究所の電子図書館事業により電子化されました。, 研究会報告

市場が需給の均衡状態に近ければ近いほど価格の変動には臨界的な特性が付随することを避けることはできず、その結果として、ベキ分布に従うような大変動か高い頻度で発生し、事実上の裁定機会も生まれ、市場がより危険な投機に支配されるようになる。このような現状を根本的に変えるには、需給が均衡から外れたような市場を導入する必要がある。そのようなアプローチのひとつとして、複合通貨システムによって債券市場を構築するアイディアを導入する。, この論文は国立情報学研究所の電子図書館事業により電子化されました。

平均場近似のアイデアを用いて企業所得分布におけるPower-Law発生メカニズムを明らかにする。膨大な企業財務データから企業所得は物理学で用いられる乗算ノイズを持つ離散Langevin方程式によって記述されることを示す。Zipf則を30年間維持している日本企業では前年度の所得が統計的に今年度の所得に依存していないという経験則から所得分布のべき指数を理論的に示し、アメリカやイギリスの所得分布については数値計算により示す。, この論文は国立情報学研究所の電子図書館事業により電子化されました。

金沢大学融合研究域融合科学系

金沢大学融合研究域融合科学系 / 金沢大学大学院自然科学研究科情報システム / 金沢大学工学部, イメージセンサ上に情報処理機能の一部をとりこむVisionChipが広く研究されているが、ロボットビジョンなどで必要な画像の「意味」を抽出しようとするものはほとんどない。本稿では、画像の「意味」を出力とするイメージセンサとして、画像中の動く輝点の速度と方向を出力とするイメージセンサのための新規アーキテクチャの提案とその基礎的な検討を行なう。この輝点の方向検出の際に、画素を格子状に並べる通常の構成で問題となる方向の特異性を解消し、任意方向の検出が可能となるアーキテクチャの提案とその基礎的な検討を行なう。, The integration of signal processing circuit in imase sensor, so called 'Vision Chip' is widely studied, but most of them don't aim at extracting image's meaning, which is often useful for the application of robot vision. In this paper, we propose a novel architecture for image sensor detecting the speed and the direction of moving point on focal plain. This architecture has an possibility to solve the direction dependency problem derived from matrix placement of pixels, and we consider a basic architecture for arbitrarily directional motion detection.

この論文は国立情報学研究所の電子図書館事業により電子化されました。, サブゼミ

We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the motions of the Brownian particle and its surrounding fluid particles reflect specific layering interactions; in the inner layer the correlation is strong and with short memory, while in the outer layer it is weaker and with long memory. By interpreting and estimating the contribution from the outer layer as a drag resistance, we demonstrate the validity of the fluctuation-dissipation relation in this nonmaterial Brownian motion process., Physical Review Letters, 112 (9), ISSN:0031-9007, ISSN:1079-7114

This study proposes the segmentation procedure of univariate time series based on Fisher's exact test. We show that an adequate change point can be detected as the minimum value of p-value. It is shown that the proposed procedure can detect change points for an artificial time series. We apply the proposed method to find segments of the foreign exchange rates recursively. It is also applied to randomly shuffled time series. It concludes that the randomly shuffled data can be used as a level to determine the null hypothesis.

Interacting particle system[1,2]では、粒子がその空間配置により消滅、生成される。様々なモデルが吸収点に落ち込むか粒子の生成、消滅を持続するかにより相転移を起こす。(1+1)次元系において吸収点が1つ持つモデルは方向性を持ったパーコレーションモデルであるDirected Parcolation (以下DPと略)と同じuniversarity classに属すると予想されている(DP予想)。今回の研究会では、DP予想に関連した話題について発表を行った。, この論文は国立情報学研究所の電子図書館事業により電子化されました。

We investigate the general case of a nearest neighbor interacting particle system in 1-dimension by using a real space-time renormalization approach. Discrete time branching annihilation random walk and basic contact process are included as special cases. We present an evidence that all nearest neighbor interacting particle systems involving 2nd order extinction-survival dynamical phase transition converge to contact process in the large scale limit, which is consistent with numerical results for branching annihilating random walk., この論文は国立情報学研究所の電子図書館事業により電子化されました。

Preprint submitted to International Review of Financial Analysis November 16, 2010, We empirically investigate the nonstationarity property of the dollar-yen exchange rate by using an eight year span of high frequency data set. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov-Smirnov test for the absolute price changes, and the Pearson’s chi-square test for the number of successive price changes in the same direction, and find statistically significant evidence of nonstationarity. We further study the recurrence intervals between the days in which nonstationarity occurs, and find that the distribution of recurrence intervals is well-approximated by an exponential distribution. Also, we find that the mean conditional recurrence interval is independent of the previous recurrence interval T0. These findings indicate that the recurrence intervals is characterized by a Poisson process. We interpret this as reflecting the Poisson property regarding the arrival of news., 学術創成研究費 = Grant-in-Aid for Creative Scientific Research

The new science of econophysics has arisen out of the information age. As large-scale economic data are being increasingly generated by industries and enterprises worldwide, researchers from fields such as physics, mathematics, and information sciences are becoming involved. The vast number of transactions taking place, both in the financial markets and in the retail sector, is usually studied by economists and management and now by econophysicists. Using cutting-edge tools of computational analysis while searching for regularities and “laws” such as those found in the natural sciences, econophysicists have come up with intriguing results. The ultimate aim is to establish fundamental data collection and analysis techniques that embrace the expertise of a variety of academic disciplines. This book comprises selected papers from the international conference on novel analytical approaches to economic data held in Tokyo in March 2009. The papers include detailed reports on the market behavior during the financial crisis of 2008 and discussions on the mechanism of bubbles and crashes, with proposals for avoiding new crises. Filled with up-to-date research, this book will interest researchers and students, finance professionals, and scholars in diverse fields.

この論文は国立情報学研究所の電子図書館事業により電子化されました。

The velocity field in turbulence is analyzed by introducing a lattice model which is equvalent, to the vorticity equation in the infinite size limit of the lattice. In particular it conserves the total vorticity and therefore even in the small lattice of 24^3points it gives an inertial subrange in momentum space, a gaussian distribution for fluid velocity and exponential-like distribution for the spatial derivative of the velocity field, which previously have been obtained only in much larger sytems., この論文は国立情報学研究所の電子図書館事業により電子化されました。

地震現象は極めて複雑な現象であり、そのメカニズムを記述することは簡単ではない。しかし一方で、地震現象には様々な自己相似性が見られる。これは、地震現象がフラクタル的観点から記述できる可能性を示すものである。そこで、我々は単純な機械モデルを用いて地震現象に見られる自己相似性の説明を試みた。その結果、我々のモデルは地震現象に見られる種々の経験則をよく記述するものであるという結論に達した。, この論文は国立情報学研究所の電子図書館事業により電子化されました。

地震現象をよく記述する単純な2次元機械モデルを導入する。このモデルは力学的な相転移を起こし、臨界点において地震現象に見られる種々のフラクタル性を説明する。また、このモデルは相転移点からずれたときの挙動として、現実の地震現象に見られるようなGutenberg-Richter則からずれたマグニチュード分布なども説明する。, この論文は国立情報学研究所の電子図書館事業により電子化されました。

This version: June 10, 2008, Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in 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 started i.e., conditional probability of deal prices tend to move in the same direction as the last several times in a row is higher than 0.5. However, quote prices do not show such tendency of a run. Hence, a random walk hypothesis is refuted in a simple test of a run using the tick by tick data. In addition, a longer continuous increase of the price tends to be followed by 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 the exchange rate movement. Findings here also lend support to the momentum trading strategy., 日本学術振興会・科学研究費補助金（学術創成研究費） = JSPS Grant-in-Aid for Creative Scientific Research

In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the averaged rate about 1 yen per 1 dollar in an hour, and the rate change distribution becomes asymmetric for a few hours., 5 pages, 3 figures, 1 tabel: Proceedings of The Third Nikkei Econophysics Symposium

We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange market. These feedbacks are responsible for a power law distribution and characteristic autocorrelations of rate changes., 5 pages, 5 figures :Proceedings of The Third Nikkei Econophysics Symposium

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large time scales; however, their short time properties are approximated by abnormal diffusion with non-trivial exponents. A new data analysis method based on this model enables us to observe temporal changes of potential forces from high precision market data directly., Comment: 18 pages, 8 figures

For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there is a time delay of order less than a minute between two currency markets having a strong cross-correlation. The cross-correlation between exchange rates is lower in shorter time scale in any case. As a corollary we notice a kind of contradiction that the direct Yen-Dollar rate significantly differs from the indirect Yen-Dollar rate through Euro in short time scales. This result shows the existence of arbitrage opportunity among currency exchange markets., Comment: 6 pages, 5 figures, 1 table

この論文は国立情報学研究所の電子図書館事業により電子化されました。, ポスターセッション