Work

Financial Brownian particle in the critical order book fluid and Fluctuation-Dissipation theorems

Year: 2014

Type: 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.

Source: Repository for Publications and Research Data (ETH Zurich)

DOI: 10.3929/ethz-b-000081444

Authors: Yura, Yoshihiro, Takayasu, Hideki, Sornette, Didier, Takayasu, Misako

Institutions: Tokyo Institute of Technology, ETH Zurich, Meiji University, Sony Computer Science Laboratories, Meiji Institute for Advanced Study of Mathematical Sciences

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3125354532

FWCI: 22.36

Cites: 37

Cited by: 60

Related to: 10