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20232026
most citedCan we infer microscopic financial information from the long memory in market-order flow?: a quantitative test of the Lillo-Mike-Farmer model

18 citations · 23 across the 4 of their papers we have counts for

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q-fin.TR2024★ 5 cited

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,…