3 papers
q-fin.TR2020
The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
Alberto Ciacci, Takumi Sueshige, Hideki Takayasu +2
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme…
q-fin.TR2018
Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics
Kiyoshi Kanazawa, Takumi Sueshige, Hideki Takayasu +1
Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Br…
q-fin.TR2017
Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders
Kiyoshi Kanazawa, Takumi Sueshige, Hideki Takayasu +1
A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furtherm…