5 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.TR2023★ 5 cited
Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years
Yuki Sato, Kiyoshi Kanazawa
In this research, we focus on the order-splitting behavior. The order splitting is a trading strategy to execute their large potential metaorder into small pieces to reduce transac…
q-fin.TR2023★ 2 cited
Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
Yuki Sato, Kiyoshi Kanazawa
The Lillo-Mike-Farmer (LMF) model is an established econophysics model describing the order-splitting behaviour of institutional investors in financial markets. In the original art…