Fluctuations and market friction in financial trading

被引：20

作者：

Rosenow, B ^{[1
]}

机构：

[1] Univ Cologne, Inst Theoret Phys, D-50937 Cologne, Germany

来源：

INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2002年 / 13卷 / 03期

关键词：

price impact function; Langevin equation; dissipation-fluctuation theorem;

D O I：

10.1142/S012918310200322X

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We study the relation between stock price changes and the difference in the volume 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.

引用

页码：419 / 425

页数：7

共 35 条

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