649 citations · 1.6k across the 50 of their papers we have counts for
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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…
The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
Alberto Ciacci, Takumi Sueshige, Hideki Takayasu +2
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme…
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…
Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information
Yoshihiro Yura, Hideki Takayasu, Didier Sornette +1
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating parti…
Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
Yoshihiro Yura, Hideki Takayasu, Didier Sornette +1
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysi…