Liquid markets and market liquids: collective and single-asset dynamics in financial markets

Details Liquid markets and market liquids: collective and single-asset dynamics in financial markets Liquid markets and market liquids: collective and single-asset dynamics in financial markets

2001-01-10

arxiv.org/abs/cond-mat/0101143v1

Eur. Phys. J. B 20, 561-564 (2001)

Physics

Condensed Matter

Disordered Systems and Neural Networks

4 pages, svjour.cls, 3 figures, to appear in The European Physical Journal B

Scientific paper

10.1007/s100510170240

We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investigated. We test the verisimilitude of our construction on two-decade stock market daily data (DAX30) and show the result obtained for the interaction potential among asset pairs.

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