arXiv subjects

Kiyoshi Kanazawa

Publications and source records attributed to Kiyoshi Kanazawa.

27 records · Page 2Linked to original sources

arXiv2018

Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders

A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furthermore, a theoretical framework parallel to molecular kinetic theory is developed for the systematic description of the financial market from microscopic dynamics of HFTs. We report first on a microscopic empirical law of traders' trend-following behavior by tracking the trajectories of all individuals, which quantifies the collective motion of HFTs but has not been captured in conventional order-book models. We next introduce the corresponding microscopic model of HFTs and present its theoretical solution paralleling molecular kinetic theory: Boltzmann-like and Langevin-like equations are derived from the microscopic dynamics via the Bogoliubov-Born-Green-Kirkwood-Yvon hierarchy. Our model is the first microscopic model that has been directly validated through data analysis of the microscopic dynamics, exhibiting quantitative agreements with mesoscopic and macroscopic empirical results.

q-fin.TR↗

arXiv2018

Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics

Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Brownian motion has played the key role as in physics. In our previous report (arXiv:1703.06739; to appear in Phys. Rev. Lett.), we have presented a microscopic model of trend-following high-frequency traders (HFTs) and its theoretical relation to the dynamics of financial Brownian motion, directly supported by a data analysis of tracking trajectories of individual HFTs in a financial market. Here we show the mathematical foundation for the HFT model paralleling to the traditional kinetic theory in statistical physics. We first derive the time-evolution equation for the phase-space distribution for the HFT model exactly, which corresponds to the Liouville equation in conventional analytical mechanics. By a systematic reduction of the Liouville equation for the HFT model, the Bogoliubov-Born-Green-Kirkwood-Yvon hierarchal equations are derived for financial Brownian motion. We then derive the Boltzmann-like and Langevin-like equations for the order-book and the price dynamics by making the assumption of molecular chaos. The qualitative behavior of the model is asymptotically studied by solving the Boltzmann-like and Langevin-like equations for the large number of HFTs, which is numerically validated through the Monte-Carlo simulation. Our kinetic description highlights the parallel mathematical structure between the financial Brownian motion and the physical Brownian motion.

q-fin.TR↗

arXiv2016

Granular rotor as a probe for a non-equilibrium bath

This study numerically and analytically investigates the dynamics of a rotor under viscous or dry friction as a non-equilibrium probe of a granular gas. In order to demonstrate the role of the rotor as a probe for a non-equilibrium bath, the molecular dynamics (MD) simulation of the rotor is performed under viscous or dry friction surrounded by a steady granular gas under gravity. A one- to-one map between the velocity distribution function (VDF) of the granular gas and the angular distribution function for the rotor is theoretically derived. The MD simulation demonstrates that the one-to-one map accurately infers the local VDF of the granular gas from the angular VDF of the rotor, and vice versa.

cond-mat.stat-mech↗

arXiv2015

Minimal Model of Stochastic Athermal Systems: Origin of Non-Gaussian Noise

For a wide class of stochastic athermal systems, we derive Langevin-like equations driven by non-Gaussian noise, starting from master equations and developing a new asymptotic expansion. We found an explicit condition whereby the non-Gaussian properties of the athermal noise become dominant for tracer particles associated with both thermal and athermal environments. Furthermore, we derive an inverse formula to infer microscopic properties of the athermal bath from the statistics of the tracer particle. We apply our formulation to a granular motor under viscous friction, and analytically obtain the angular velocity distribution function. Our theory demonstrates that the non-Gaussian Langevin equation is the minimal model of athermal systems.

cond-mat.stat-mech↗

arXiv2014

Asymptotic derivation of Langevin-like equation with non-Gaussian noise and its analytical solution

We asymptotically derive a non-linear Langevin-like equation with non-Gaussian white noise for a wide class of stochastic systems associated with multiple stochastic environments, by developing the expansion method in our previous paper [K. Kanazawa et al., arXiv: 1407.5267 (2014)]. We further obtain a full-order asymptotic formula of the steady distribution function in terms of a large friction coefficient for a non-Gaussian Langevin equation with an arbitrary non-linear frictional force. The first-order truncation of our formula leads to the independent-kick model and the higher-order correction terms directly correspond to the multiple-kicks effect during relaxation. We introduce a diagrammatic representation to illustrate the physical meaning of the high-order correction terms. As a demonstration, we apply our formula to a granular motor under Coulombic friction and get good agreement with our numerical simulations.

cond-mat.stat-mech↗

arXiv2014

Energy pumping in electrical circuits under avalanche noise

We theoretically study energy pumping processes in an electrical circuit with avalanche diodes, where non-Gaussian athermal noise plays a crucial role. We show that a positive amount of energy (work) can be extracted by an external manipulation of the circuit in a cyclic way, even when the system is spatially symmetric. We discuss the properties of the energy pumping process for both quasi-static and fnite-time cases, and analytically obtain formulas for the amounts of the work and the power. Our results demonstrate the significance of the non-Gaussianity in energetics of electrical circuits.

cond-mat.stat-mech↗

arXiv2014

Energetics of active fluctuations in living cells

The nonequilibrium activity taking place in a living cell can be monitored with a tracer embedded in the medium. While microrheology experiments based on optical manipulation of such probes have become increasingly standard, we put forward a number of experiments with alternative protocols that, we claim, will provide new insight into the energetics of active fluctuations. These are based on either performing thermodynamic--like cycles in control-parameter space, or on determining response to external perturbations of the confining trap beyond simple translation. We illustrate our proposals on an active itinerant Brownian oscillator modeling the dynamics of a probe embedded in a living medium.

cond-mat.soft↗

arXiv2013

Heat conduction induced by non-Gaussian athermal fluctuations

We study the properties of heat conduction induced by non-Gaussian noises from athermal environments. We find that new terms should be added to the conventional Fourier law and the fluctuation theorem for the heat current, where its average and fluctuation are determined not only by the noise intensities but also by the non-Gaussian nature of the noises. Our results explicitly show the absence of the zeroth law of thermodynamics in athermal systems.

cond-mat.stat-mech↗

arXiv2012

Stochastic Energetics for Non-Gaussian Processes

By introducing a new stochastic integral, we investigate the energetics of classical stochastic systems driven by non-Gaussian white noises. In particular, we introduce a decomposition of the total-energy difference into the work and the heat for each trajectory, and derive a formula to calculate the heat from experimental data on the dynamics. We apply our formulation and results to a Langevin system driven by a Poisson noise.

cond-mat.stat-mech↗