Fluctuations and Market Friction in Financial Trading
Condensed Matter
2009-11-07 v2
Abstract
We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.
Cite
@article{arxiv.cond-mat/0107018,
title = {Fluctuations and Market Friction in Financial Trading},
author = {Bernd Rosenow},
journal= {arXiv preprint arXiv:cond-mat/0107018},
year = {2009}
}
Comments
Acknowledges the authors of cond-mat/0106657 for generous support and for making their results available prior to publication