Dynamical change of Pareto index in Japanese land prices

2006/07/14 by Atushi Ishikawa, Ishikawa, Atushi
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #General Finance (q-fin.GN) #Physics and Society (physics.soc-ph) #physics.soc-ph #q-fin.GN

paper · pdf · doi:10.48550/arxiv.physics/0607131

11 pages, 11 figures, presented in Applications of Physics in Financial Analysis (APFA5), Torino, Italy, June 29 to July 1, 2006

arxiv created 2006/07/14 · arxiv updated 2009/12/01

Abstract

We investigate the dynamical behavior in the large scale region of non-equilibrium systems, by employing data on the assessed value of land in 1983 -- 2006 Japan. In the system we find the detailed quasi-balance, which has the symmetry: x₁ -> a x₂^θ (x₁ and x₂ are two successive land prices). By using the detailed quasi-balance and Gibrat's law, we derive Pareto's law with varying Pareto index annually. The parameter θcorresponds with the ratio of Pareto indices (μ₁ + 1)/(μ₂ + 1), and the relation is confirmed in the empirical data nicely.

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