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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 a 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 thedoi:10.1103/physrevlett.112.098703 pmid:24655287 fatcat:i2a3ux5qrnfdhfnhlbjopmecwi