Profile

• My name is Yuki Sato, PhD student in Kyoto university.
• My research topic is market microstructure, particularly liquidity taker modelling.
• If you are interested in my work, you can check my Google Scholar.

Current interest

• Market microstructure
• High frequency finance and trading
• Financial economics
• Computational social science

My works

If you are interested in my works, please visit following articles

• Empirical analysis on the order-splitting behaviour, published from Physical Review letters
• Theoretical analysis on the Lillo-Mike-Farmer model, published from Journal of Statistical Physics
• Empirical analysis on the price impact, arXiv preprint
• Theoretical analysis on the order-splitting behaviour incorporating the non-linear price impact, arXiv preprint

Publications

Published

• Yuki Sato and Kiyoshi Kanazawa, ``Inferring microscopic financial information from the long memory in market-order flow: A quantitative test of the Lillo-Mike-Farmer model'', Physical Review Letters 131, 197401 (2023).
• Yuki Sato and Kiyoshi Kanazawa, ``Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years'', Physical Review Research 5, 043131 (2023).
• Yuki Sato and Kiyoshi Kanazawa, ``Exact Solution to a Generalised Lillo–Mike–Farmer Model with Heterogeneous Order-Splitting Strategies'', Journal of Statistical Physics 191, 58 (2024).

Under review

• Yuki Sato and Kiyoshi Kanazawa, ``Does the square-root price impact law belong to the strict universal scalings?: quantitative support by a complete survey of the Tokyo stock exchange market'', arXiv:2411.13965 (2024).
• Yuki Sato and Kiyoshi Kanazawa, ``Exactly solvable model of the square-root price impact dynamics under the long-range market-order correlation'', arXiv:2502.17906 (2025).

• Contributors
  • Yuki Sato