5 citations · 5 across the 4 of their papers we have counts for
4 papers
Exactly solvable model for the diffusive price-dynamics paradox under long-range correlated market-order flow
Yuki Sato, Shunta Fujiwara, Kiyoshi Kanazawa
We develop an exactly solvable nonlinear time-series model by incorporating the square-root price-impact law into the Lillo--Mike--Farmer (LMF) model to resolve the diffusive price…
Why do financial prices exhibit Brownian motion despite predictable order flow?
Yuki Sato, Kiyoshi Kanazawa
In financial market microstructure, there are two enigmatic empirical laws: (i) the market-order flow has predictable persistence due to metaorder splitters by institutional invest…
The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data
Guillaume Maitrier, Grégoire Loeper, Kiyoshi Kanazawa +1
Understanding the impact of trades on prices is a crucial question for both academic research and industry practice. It is well established that impact follows a square-root impact…
Strict universality of the square-root law in price impact across stocks: a complete survey of the Tokyo stock exchange
Yuki Sato, Kiyoshi Kanazawa
Universal power laws have been scrutinised in physics and beyond, and a long-standing debate exists in econophysics regarding the strict universality of the nonlinear price impact,…