Financial Brownian particle in the critical order book fluid and Fluctuation-Dissipation theorems
Open access
Date
2014-03-07Type
- Journal Article
Abstract
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the motions of the Brownian particle and its surrounding fluid particles reflect specific layering interactions; in the inner layer the correlation is strong and with short memory, while in the outer layer it is weaker and with long memory. By interpreting and estimating the contribution from the outer layer as a drag resistance, we demonstrate the validity of the fluctuation-dissipation relation in this nonmaterial Brownian motion process. Show more
Permanent link
https://doi.org/10.3929/ethz-b-000081444Publication status
publishedExternal links
Journal / series
Physical Review LettersVolume
Pages / Article No.
Publisher
American Physical SocietyOrganisational unit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
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