45 citations · 76 across the 3 of their papers we have counts for
3 papers
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…
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…
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…