649 citations · 1.2k across the 23 of their papers we have counts for
23 papers
Markovian thermodynamics of non-Markovian Langevin equations
Andreas Dechant, Kiyoshi Kanazawa
We develop the thermodynamics of non-Markovian generalized Langevin equations by embedding them in a high-dimensional Markovian representation involving auxiliary degrees of freedo…
Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model
Taiki Wakatsuki, Kiyoshi Kanazawa
The Santa Fe model is an established econophysics model for describing stochastic dynamics of the limit order book from the viewpoint of the zero-intelligence approach. While its f…
Stochastic thermodynamics for classical non-Markov jump processes
Kiyoshi Kanazawa, Andreas Dechant
Stochastic thermodynamics investigates energetic and entropic bounds in small systems, but its foundational results rely on the Markov (memoryless) assumption. Although the Markov…
A standard form of master equations for general non-Markovian jump processes: the Laplace-space embedding framework and asymptotic solution
Kiyoshi Kanazawa, Didier Sornette
We present a standard form of master equations (ME) for general one-dimensional non-Markovian (history-dependent) jump processes, complemented by an asymptotic solution derived fro…
Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years
Yuki Sato, Kiyoshi Kanazawa
In this research, we focus on the order-splitting behavior. The order splitting is a trading strategy to execute their large potential metaorder into small pieces to reduce transac…
Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
Yuki Sato, Kiyoshi Kanazawa
The Lillo-Mike-Farmer (LMF) model is an established econophysics model describing the order-splitting behaviour of institutional investors in financial markets. In the original art…
Can we infer microscopic financial information from the long memory in market-order flow?: a quantitative test of the Lillo-Mike-Farmer model
Yuki Sato, Kiyoshi Kanazawa
In financial markets, the market order sign exhibits strong persistence, widely known as the long-range correlation (LRC) of order flow; specifically, the sign correlation function…
Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory
Kiyoshi Kanazawa, Hideki Takayasu, Misako Takayasu
The two-body stochastic dealer model is revisited to provide an exact solution to the average order-book profile using the kinetic approach. The dealer model is a microscopic finan…
Social physics
Marko Jusup, Petter Holme, Kiyoshi Kanazawa +12
Recent decades have seen a rise in the use of physics methods to study different societal phenomena. This development has been due to physicists venturing outside of their traditio…
Exact asymptotic solutions to nonlinear Hawkes processes: a systematic classification of the steady-state solutions
Kiyoshi Kanazawa, Didier Sornette
Hawkes point processes are first-order non-Markovian stochastic models of intermittent bursty dynamics with applications to physical, seismic, epidemic, biological, financial, and…
Ubiquitous power law scaling in nonlinear self-excited Hawkes processes
Kiyoshi Kanazawa, Didier Sornette
The origin(s) of the ubiquity of probability distribution functions (PDF) with power law tails is still a matter of fascination and investigation in many scientific fields from lin…
Field master equation theory of the self-excited Hawkes process
Kiyoshi Kanazawa, Didier Sornette
A field theoretical framework is developed for the Hawkes self-excited point process with arbitrary memory kernels by embedding the original non-Markovian one-dimensional dynamics…
Non-universal power law distribution of intensities of the self-excited Hawkes process: a field-theoretical approach
Kiyoshi Kanazawa, Didier Sornette
The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By exp…
Loopy Lévy flights enhance tracer diffusion in active suspensions
Kiyoshi Kanazawa, Tomohiko G. Sano, Andrea Cairoli +1
Brownian motion is widely used as a paradigmatic model of diffusion in equilibrium media throughout the physical, chemical, and biological sciences. However, many real world system…
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…
Granular rotor as a probe for a non-equilibrium bath
Tomohiko G. Sano, Kiyoshi Kanazawa, Hisao Hayakawa
This study numerically and analytically investigates the dynamics of a rotor under viscous or dry friction as a non-equilibrium probe of a granular gas. In order to demonstrate the…
Asymptotic derivation of Langevin-like equation with non-Gaussian noise and its analytical solution
Kiyoshi Kanazawa, Tomohiko G. Sano, Takahiro Sagawa +1
We asymptotically derive a non-linear Langevin-like equation with non-Gaussian white noise for a wide class of stochastic systems associated with multiple stochastic environments,…
Minimal Model of Stochastic Athermal Systems: Origin of Non-Gaussian Noise
Kiyoshi Kanazawa, Tomohiko G. Sano, Takahiro Sagawa +1
For a wide class of stochastic athermal systems, we derive Langevin-like equations driven by non-Gaussian noise, starting from master equations and developing a new asymptotic expa…
Energetics of active fluctuations in living cells
Étienne Fodor, Kiyoshi Kanazawa, Hisao Hayakawa +2
The nonequilibrium activity taking place in a living cell can be monitored with a tracer embedded in the medium. While microrheology experiments based on optical manipulation of su…
Energy pumping in electrical circuits under avalanche noise
Kiyoshi Kanazawa, Takahiro Sagawa, Hisao Hayakawa
We theoretically study energy pumping processes in an electrical circuit with avalanche diodes, where non-Gaussian athermal noise plays a crucial role. We show that a positive amou…
Heat conduction induced by non-Gaussian athermal fluctuations
Kiyoshi Kanazawa, Takahiro Sagawa, Hisao Hayakawa
We study the properties of heat conduction induced by non-Gaussian noises from athermal environments. We find that new terms should be added to the conventional Fourier law and the…
Stochastic Energetics for Non-Gaussian Processes
Kiyoshi Kanazawa, Takahiro Sagawa, Hisao Hayakawa
By introducing a new stochastic integral, we investigate the energetics of classical stochastic systems driven by non-Gaussian white noises. In particular, we introduce a decomposi…