Inferring microscopic financial information from the long memory in market-order flow: A quantitative test of the Lillo-Mike-Farmer model
Y Sato, K Kanazawa - Physical Review Letters, 2023 - APS
In financial markets, the market-order sign exhibits strong persistence, widely known as the
long-range correlation (LRC) of order flow; specifically, the sign autocorrelation function …
long-range correlation (LRC) of order flow; specifically, the sign autocorrelation function …
Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years
Y Sato, K Kanazawa - arXiv preprint arXiv:2308.01112, 2023 - arxiv.org
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 transaction …
strategy to execute their large potential metaorder into small pieces to reduce transaction …
Online learning of order flow and market impact with Bayesian change-point detection methods
IY Tsaknaki, F Lillo, P Mazzarisi - Quantitative Finance, 2024 - Taylor & Francis
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are
often followed by subsequent buy (sell) trades over extended periods. This persistence can …
often followed by subsequent buy (sell) trades over extended periods. This persistence can …
Can we infer microscopic financial information from the long memory in market-order flow?: a quantitative test of the Lillo-Mike-Farmer model
Y Sato, K Kanazawa - arXiv preprint arXiv:2301.13505, 2023 - arxiv.org
In financial markets, the market order sign exhibits strong persistence, widely known as the
long-range correlation (LRC) of order flow; specifically, the sign correlation function displays …
long-range correlation (LRC) of order flow; specifically, the sign correlation function displays …
Discrete q-Exponential Limit Order Cancellation Time Distribution
V Gontis - Fractal and Fractional, 2023 - mdpi.com
Modeling financial markets based on empirical data poses challenges in selecting the most
appropriate models. Despite the abundance of empirical data available, researchers often …
appropriate models. Despite the abundance of empirical data available, researchers often …
成行注文の長期記憶性の起源についての理論的考察: 一般化Lillo-Mike-Farmer モデルの厳密解
金澤輝代士， 佐藤優輝 - 人工知能学会第二種研究会資料, 2023 - jstage.jst.go.jp
抄録 成行注文は一般的に長期的な予測可能性をもつ. 買い注文を+ 1, 売り注文を-1
として定式化すると, その符号自己相関関数はゼロではなく, 非常にゆっくり減衰していく …
として定式化すると, その符号自己相関関数はゼロではなく, 非常にゆっくり減衰していく …
対数尤度比検定を用いた東京証券取引所における注文分割取引者のクラスタリング解析
金澤輝代士 - 人工知能学会第二種研究会資料, 2024 - jstage.jst.go.jp
抄録 金融市場で観測される成行注文流は長期相関を持つことが知られている.
成行注文流の長期相関とは, 一度買い (売り) 注文が観測されるしばらく連続して買い (売り) …
成行注文流の長期相関とは, 一度買い (売り) 注文が観測されるしばらく連続して買い (売り) …