Tetsuya Takaishi - Academia.edu (original) (raw)

Papers by Tetsuya Takaishi

Nuclear physics, Feb 1, 1997

We study a coupling flow of pure QCD gauge system by using the Monte Carlo Renormalization Group ... more We study a coupling flow of pure QCD gauge system by using the Monte Carlo Renormalization Group method. A rough location of the renormalized trajectory in two coupling space is obtained. Also we compare 4 different actions; (a)standard Wilson, (b)Symanzik's, (c)Iwasaki's and (d)QCDTARO's. The rotational symmetry is restored better as an action gets close to the renormalized trajectory.

Nuclear physics, Apr 1, 1994

Results of our autocorrelation measurement performed on Fujitsu AP1000 are reported. We analyze (... more Results of our autocorrelation measurement performed on Fujitsu AP1000 are reported. We analyze (i) typical autocorrelation time, (ii) optimal mixing ratio between overrelaxation and pseudo-heatbath and (iii) critical behavior of autocorrelation time around cross-over region with high statistic in wide range of β for pure SU(3) lattice gauge theory on 8 4 , 16 4 and 32 4 lattices. For the mixing ratio K, small value (3-7) looks optimal in the confined region, and reduces the integrated autocorrelation time by a factor 2-4 compared to the pseudo-heatbath. On the other hand in the deconfined phase, correlation times are short, and overrelaxation does not seem to matter For a fixed value of K(=9 in this paper), the dynamical exponent of overrelaxation is consistent with 2 Autocorrelation measurement of the topological charge on 32 3 × 64 lattice at β = 6.0 is also briefly mentioned.

Nuclear physics, Mar 1, 2001

We study the response of meson masses to the chemical potential (∂m/∂µ) at high temperature and a... more We study the response of meson masses to the chemical potential (∂m/∂µ) at high temperature and at zero chemical potential on N f = 2 lattice with staggered fermions. Preliminary results for the meson composed of different quarks show that ∂m/∂µ|µ=0 is negative in the confinement phase and positive in the deconfinement phase.

Nuclear physics, Mar 1, 1999

We study the effects of the chemical potential on the ρ meson mass at finite temperature. Our pre... more We study the effects of the chemical potential on the ρ meson mass at finite temperature. Our preliminary results show that some effects are seen in the vicinity of the phase transition point. Although the signal is still too noisy to obtain conclusive physical results within limited statistics, the mass susceptibility is consistent with zero.

Progress of Theoretical Physics Supplement, 1996

We present the Japanese-European QCD-TARO collaboration. We discuss the hardware basis and the co... more We present the Japanese-European QCD-TARO collaboration. We discuss the hardware basis and the concept of analyses and present selected results. We comment on the chances and bottlenecks connected to the non-local, international character of the collaboration. § 1. The collaboration structure and hardware basis

Nuclear Physics B - Proceedings Supplements, 1998

We present our new results on the renormalization group coupling flow obtained in 3 dimensional c... more We present our new results on the renormalization group coupling flow obtained in 3 dimensional coupling space (β11, β12, βtwist). The value of βtwist turns out to be small and the coupling flow projected on (β11, β12) plane is very similar with the previous result obtained in the 2 dimensional coupling space.

Nuclear Physics B - Proceedings Supplements, 2002

Responses to chemical potential of the pseudoscalar meson screening mass and the chiral condensat... more Responses to chemical potential of the pseudoscalar meson screening mass and the chiral condensate in lattice QCD are investigated. On a 16 × 8 2 ×4 lattice with two flavors of staggered quarks the first and second responses below and above Tc are evaluated. Different behavior in the low and the high temperature phases are observed, which may be explained as a consequence of the chiral symmetry breaking and restoration.

Nuclear Physics B - Proceedings Supplements, 2001

$Research paper thumbnail of Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study$

Asia-pacific Financial Markets, Oct 4, 2019

This letter investigates the dynamic relationship between market efficiency, liquidity, and multi... more This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.

Finance Research Letters, 2019

Recent studies have found that the log-volatility of asset returns exhibit roughness. This study ... more Recent studies have found that the log-volatility of asset returns exhibit roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using the multifractal detrended fluctuation analysis, we obtain the generalized Hurst exponent of the log-volatility increments and find that the generalized Hurst exponent is less than 1/2, which indicates log-volatility increments that are rough. Furthermore, we find that the generalized Hurst exponent is not constant. This observation indicates that the log-volatility has multifractal property. Using shuffled time series of the log-volatility increments, we infer that the source of multifractality partly comes from the distributional property.

Proceedings of the 12th Asia Pacific Physics Conference (APPC12), 2014

We calculate the realized volatility in the spin model of financial markets and examine the retur... more We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin financial market is consistent with the view of the mixture-of-distribution hypothesis that also holds in the real financial markets.

Economics Letters, 2018

We find that the Taylor effect is present in Bitcoin time series.  The power d that maximizes th... more We find that the Taylor effect is present in Bitcoin time series.  The power d that maximizes the autocorrelation is time lag dependent.  Exchange rate returns show a daily seasonality in the Taylor effect.  No seasonality is seen in the Taylor effect of Bitcoin time series. Highlights (for review)

We study truncation effects in the SU(3) gauge actions obtained by the Monte Carlo renormalizatio... more We study truncation effects in the SU(3) gauge actions obtained by the Monte Carlo renormalization group method. By measuring the heavy quark potential we find that the truncation effects in the actions coarsen the lattice by 40-50 % from the original blocked lattice. On the other hand, we find that rotational symmetry of the heavy quark potentials is well recovered on such coarse lattices, which may indicate that rotational symmetry breaking terms are easily cancelled out by adding a short distance operator. We also discuss the possibility of reducing Recently a lot of attention has been devoted to improvements of lattice discretized actions. There exist two approaches to improving actions. One is the perturbative improvement program suggested by Symanzik[1] and the other the renormalization group improvement program by Wilson[2]. Early attempts at the perturbative improvement program did not appear practical for Monte Carlo

$Research paper thumbnail of Time Evolution of Market Efficiency and Multifractality of the Japanese Stock Market$

Journal of Risk and Financial Management

This study investigates the time evolution of market efficiency in the Japanese stock markets, co... more This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their early stages and improve gradually. TOPIX and TOPIX-Small showed an anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not show that the Japanese markets are permanently efficient. The multifractal properties of the Japanese markets changed considerably around the year 2000; this may have been caused by the complete migration from the stock trading floor to the Tokyo Stock Exchange’s computer trading system and the financial system reform, also known as the “Japanese Big Bang”.

Abstract. We propose a method to construct a proposal density for the Metropolis-Hastings algorit... more Abstract. We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the MCMC method itself. It turns out that autocorrelations between the data generated with our adaptive proposal density are greatly reduced. Thus it is concluded that the adaptive construction method is very efficient and works well for the MCMC simulations of the GARCH model.

The comparison between unquenched SU(3) lattice QCD with chemical potential and random matrix the... more The comparison between unquenched SU(3) lattice QCD with chemical potential and random matrix theory can provide information on the pion decay constant Fπ. We calculated eigenvalue distributions of the Dirac operator on a 83×4 lattice using N f = 2 Kogut-Susskind fermions. We performed fits between the spectral density computed from random matrix theory and lattice data at coupling β = 5.30 for fixed quark mass ma = 0.05 and iso-vector chemical potential μa = 0.0, 0.004773, 0.1 and 0.2, finding good agreement. In particular our data indicate that Fπ decreases as the iso-vector chemical potential increases. For a more precise fit of the rescaled parameter μ2F2 πV we also compare to the first eigenvalue distribution from random matrix theory.

ABSTRACT 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。 Bornholdtによって提唱された経済市場モデルを利用してさまざまなパラメータについて研究を行なった。磁化... more ABSTRACT 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。 Bornholdtによって提唱された経済市場モデルを利用してさまざまなパラメータについて研究を行なった。磁化の時間差によって提議されたリターンのヒストグラムはファットテイルとなっており、そのテイルは小さな格子サイズほど顕著である。また、リターンの絶対値の自動相関関数は長時間相関を示す一方、リターン自身の相関は短時間相関でしかも負の相関となっていることがわかった。

$Research paper thumbnail of Time-varying properties of asymmetric volatility and multifractality in Bitcoin$

PLOS ONE

This study investigates the volatility of daily Bitcoin returns and multifractal properties of th... more This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoin, its magnitude changes over time, and recently, it has become small. This asymmetric pattern of volatility also exists in higher frequency returns. Other measurements, such as kurtosis, skewness, average, serial correlation, and multifractal degree, also change over time. Thus, we argue that properties of the Bitcoin market are mostly time dependent. We examine efficiency-related measures: the Hurst exponent, multifractal degree, and kurtosis. We find that when these measures represent that the market is more efficient, the volatility asymmetry weakens. For the recent Bitcoin market, both efficiency-related measures and the volatility asymmetry prove that the market becomes more efficient.