Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory

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 $N\gg 1$.

The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets

no code implementations • 7 Feb 2020 • Alberto Ciacci, Takumi Sueshige, Hideki Takayasu, Kim Christensen, Misako Takayasu

Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales.