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…
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,…
The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data
Guillaume Maitrier, Grégoire Loeper, Kiyoshi Kanazawa +1
Understanding the impact of trades on prices is a crucial question for both academic research and industry practice. It is well established that impact follows a square-root impact…
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…