Financial Brownian Particle in the Layered Order-Book Fluid and Fluctuation-Dissipation Relations

Yoshihiro Yura, Hideki Takayasu, Didier Sornette, Misako Takayasu
2014 Physical Review Letters  
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 the
more » ... 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 (FDR) in this non-material Brownian motion process.
doi:10.1103/physrevlett.112.098703 pmid:24655287 fatcat:i2a3ux5qrnfdhfnhlbjopmecwi