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I already know that romaji is the conversion from those to the roman alphabet, so which are the differences or characteristics between those?

Are they used on a different context? Is one of them more formal than the others? Do they have something in common?

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I think the Wikipedia article on the Japanese writing system explains it pretty well, but to summarize:

  • Hiragana and katakana (collectively referred to as kana) are syllabic writing, that is, each character represents a syllable such as "ta" or "o". They're purely phonetic so they don't have direct connotations like kanji do, and both have the same set of syllables. In modern writing:
    • Hiragana is generally used for Japanese words when they're not written in kanji, and for all the grammatical "glue" such as conjugations and particles.
    • Katakana is usually used for loanwords and onomatopoeia. There's no strict rule though, so you will see katakana used for other purposes as well, such as emphasis.
  • Kanji is ideographic writing, that is, each character represents a concept or an idea. For example, 水 means "water" while 朝 means "morning". Each character also has one or more readings, and the correct one depends on which word the kanji is part of. Many kanji (such as my two examples) can also act as stand-alone words.
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Katakana and hiragana are both forms of kana. They are a phonetic syllabary for Japanese, as in each kana character represents a phoneme. No, one is not more formal than the other. The main differences are that hiragana is used for phonetically spelling out Japanese words, and katakana is for foreign words. Katakana character strokes tend to be more straight while hiragana is more curvilinear.

Kanji is not a phonetic syllabary. Instead it is a set of characters that represent whole words. They are mostly borrowed from Chinese hanzi.

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Technically they are syllabaries rather than alphabets. Each represents a syllable which in Japanese is almost always a pair of phonetic sounds or phonemes: a consonant followed by a vowel. –  hippietrail Jun 2 '11 at 4:01
    
You are right. I will correct it. –  awesomeguy Jun 2 '11 at 23:30
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Kanji is literally "Chinese character". They are ideograph; each letter represents a meaning. A select number of characters were used to represent the syllables in Japanese (known as gojūon). They evolved into what is known today as hiragana and katakana (both of them we group as kana).

  • Hiragana: forms the basis of Japanese grammar particles, which may include prepositions and conjunctions, etc. Words of local origin are usually written in hiragana.
  • Katakana: Is used mainly for non-Han (Chinese) loanwords, like words introduced from English, Dutch, German, Korean, etc. Also sometimes used to denote emphasis. Is also used for showing the reading of kanji, esp. for proper nouns (like to denote how your kanji name is pronounced).
  • Kanji: is mostly used for words of Han origin, these make up most of the Japanese lexicon. May also be used for ateji: representation of words using ideographs.

The qualities make Japanese writing system somewhat unique from many other languages.

If used outside of the above context, hiragana usually has a softer nuance than katakana, so sometimes parents name their daughters using only hiragana. Using katakana for something usually written in kanji/hiragana may give it some impact. Road gangsters like to use kanji with violent meanings to replace kana of similar sound. For example, the word よろしく (yoroshiku) is often found in graffitis as 四露死苦 (ideographs for four, mist, death, and suffering. Note that four has a meaning of death in east Asian superstition)

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