no code implementations • 2 Aug 2023 • Yuki Sato, Kiyoshi Kanazawa
However, no solid support has been presented yet on the quantitative prediction by the LMF model in the lack of large microscopic datasets.
no code implementations • 23 Jun 2023 • 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.
no code implementations • 31 Jan 2023 • Yuki Sato, Kiyoshi Kanazawa
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 memory with power-law exponent $\gamma$, such that $C(\tau) \propto \tau^{-\gamma}$ for large time-lag $\tau$.
no code implementations • 31 May 2022 • Kiyoshi Kanazawa, Hideki Takayasu, Misako Takayasu
In the literature, this model was solved for several cases: an exact solution for two-body traders $N=2$ and a mean-field solution for many traders $N\gg 1$.