Fluctuations and Market Friction in Financial Trading

Details Fluctuations and Market Friction in Financial Trading Fluctuations and Market Friction in Financial Trading

2001-07-01

arxiv.org/abs/cond-mat/0107018v2

Physics

Condensed Matter

Acknowledges the authors of cond-mat/0106657 for generous support and for making their results available prior to publication

Scientific paper

10.1142/S012918310200322X

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.

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