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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.TR2025

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…