Abstract
We have recently carried out empirical studies on collective phenomena as encountered in economics systems, including stock market behavior, business cycles, and inflation/deflation. A new methodology, the complex Hilbert principal component analysis combined with the random matrix theory or the rotational random shuffling, which we have developed, was so successful in demonstrating the existence of collective behaviors of entities in the economic systems. We take this opportunity to review some of those works with new additional results for missing the loss of Professor Masanao Aoki. In fact, we have been led by his insightful question of “what about interactions among agents?” against the central dogma of the current mainstream economics.
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Notes
- 1.
In this paragraph, the eigenvectors of the CHPCA are designated as \(\boldsymbol {\widetilde {V}}^{(\ell )}\) to distinguish them from those of the ordinary PCA.
- 2.
In this analysis, we stationalized all of the time series by taking difference between consecutive observations.
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Acknowledgements
This study has been conducted as a part of the project “Large-scale Simulation and Analysis of Economic Network for Macro Prudential Policy” undertaken at the Research Institute of Economy, Trade and Industry (RIETI). It was also supported by MEXT as Exploratory Challenges on Post-K computer (Studies of Multilevel Spatiotemporal Simulation of Socioeconomic Phenomena). I highly appreciate continual collaboration with my colleagues, Hideaki Aoyama, Yuji Aruka, Yuta Arai, Yoshi Fujiwara, Ryohei Hisano, Yuichi Ikeda, Yuichi Kichikawa, Wataru Souma, Irena Vodenska, Hiroshi Yoshikawa, Takeo Yoshikawa, and Tsutomu Watanabe, on this and related topics in econophysics.
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Iyetomi, H. (2020). Collective Phenomena in Economic Systems. In: Aoyama, H., Aruka, Y., Yoshikawa, H. (eds) Complexity, Heterogeneity, and the Methods of Statistical Physics in Economics. Evolutionary Economics and Social Complexity Science, vol 22. Springer, Singapore. https://doi.org/10.1007/978-981-15-4806-2_9
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