18 citations · 23 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…
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,…
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…