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J-GLOBAL ID:201801007986258747
Update date: Feb. 12, 2025 Kanazawa Kiyoshi
カナザワ キヨシ | Kanazawa Kiyoshi
Affiliation and department: Job title:
Associate professor
Homepage URL (1): https://kanazawa.scphys.kyoto-u.ac.jp/ Research field (1):
Mathematical physics and basic theory
Research keywords (10):
Nonequilibrium statistical mechanics
, 生物物理学
, アクティブマター
, Thermodynamics
, Statistical Mechanics
, Data science
, Econophysics
, Market Microstructure
, Stochastic process
, Statistical Physics
Research theme for competitive and other funds (15): - 2023 - 2028 ゆらぎの熱力学に基づく確率的コンピューティング基盤の創出
- 2024 - 2027 Pioneering and realizing innovative methods to improve the efficiency of energy gene ration/utilization through quantum effects
- 2022 - 2027 Seeking universal principle for nonequilibrium thermodynamics based on differential geometry
- 2024 - 2027 非マルコフ古典確率過程の熱力学限界の探求
- 2022 - 2027 Seeking universal principle for nonequilibrium thermodynamics based on differential geometry
- 2021 - 2026 Microscopic financial data analysis for investigating high-frequency traders' dynamics and modelling liquidity simulators
- 2021 - 2026 Microscopic financial data analysis for investigating high-frequency traders' dynamics and modelling liquidity simulators
- 2022 - 2024 Development of stochastic methods and microscopic theory for non-Markovian anomalous diffusion in active systems
- 2020 - 2024 Reduction theory of multi-agent stochastic processes for fast social simulators
- 2020 - 2022 Development of mathematical formulation to describe anomalous diffusion in active-matter systems from microscopic dynamics
- 2016 - 2020 エージェントモデルに基づく外国為替市場の安定性解析
- 2018 - 2019 実データ解析・理論解析に基づく外国為替市場のミクロ動力学の解明
- 2014 - 2019 Mathematical foundation of stress test simulation based on business transaction network
- 2015 - 2018 外国為替市場のオーダーブック解析と確率過程に基づくミクロモデルの構築
- 2012 - 2015 揺らぎのエネルギー論の非ガウス確率過程への拡張
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Papers (41): -
Kiyoshi Kanazawa, Didier Sornette. Standard form of master equations for general non-Markovian jump processes: The Laplace-space embedding framework and asymptotic solution. Physical Review Research. 2024. 6. 023270
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Yuki Sato, Kiyoshi Kanazawa. Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies. Journal of Statistical Physics. 2024. 191. 58
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Yuki Sato, Kiyoshi Kanazawa. Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years. Physical Review Research. 2023. 5. 043131
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Yuki Sato, 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. 2023. 131. 197401
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Yuki Sato, Kiyoshi Kanazawa. 価格インパクトの平方根則は普遍スケーリング則か?. 人工知能学会第二種研究会資料(第30回 人工知能学会 金融情報学研究会,SIG-FIN). 2023
more... MISC (5): Books (1): - Statistical Mechanics for Athermal Fluctuation: Non-Gaussian Noise in Physics
2017 ISBN:9789811063305
Lectures and oral presentations (114): -
Master equations for general non-Markovian processes: the Hawkes process and beyond
(Riken iTHEMS/BDR seminar 2025)
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東京証券取引所におけるミクロデータ分析:機関投資家の注文分割行動とその影響
(金融工学・数理計量ファイナンスの諸問題 2024 2024)
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フーリエ変換を用いた非マルコフ過程の埋め込みと詳細釣り合い条件
(日本物理学会第79回年次大会 2024)
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Macroscopic effect of large metaorder splitting on financial markets: predictability of the order flow and market resilience
(2024)
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Stochastic thermodynamics for general non-Markovian processes
(Long-term Workshop on Frontiers in Non-equilibrium Physics 2024 2024)
more... Education (4): - 2012 - 2015 Kyoto university
- 2010 - 2012 Kyoto university
- 2008 - 2010 The university of Tokyo Faculty of science Department of Physics
- 2006 - 2008 The university of Tokyo
Professional career (1): - PhD. (Science) (Kyoto University)
Work history (6): - 2023/03 - 現在 Kyoto University Graduate School of Science Division of Physics and Astronomy Associate professor
- 2019/04 - 2023/03 The university of Tsukuba
- 2020/11 - 2023/03 JSTさきがけ兼任(革新的コンピューティング技術の開拓)
- 2016/04 - 2019/03 Tokyo Institute of Technology
- 2015/04 - 2016/03 Tokyo Institute of Technology JSPS Fellowship (PD)
- 2012/04 - 2015/03 Yukawa Institute for Theoretical Physics, Kyoto University JSPS Fellowship (DC1)
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Committee career (1): - 2017/10 - 2018/09 一般社団法人日本物理学会 領域運営委員(領域11)
Awards (7): - 2022/10 - 7th workshop on Complexity in Economics and Finance Best Presentation Award Statistical analysis of a microscopic financial dataset for the long-range correlation of the order flow
- 2020/12 - University of Tsukuba 2020 Best Faculty Member, University of Tsukuba
- 2020/11 - University of Tsukuba Young Scientist Award, University of Tsukuba
- 2018/10 - 2017年度 優秀論文賞 外国為替市場の個々のトレーダのトラッキング解析:ミクロモデルの提案とその平均場理論
- 2018/09 - Challenging Research President's Honorary Award 実データ解析・理論解析に基づく外国為替市場のミクロ動力学の解明
- 2016/03 - Physical Society of Japan Young Scientist Award of the Physical Society of Japan
- 2015/03 - Springer Theses Award
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