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Fluctuations and Market Friction in Financial Trading

Bernd Rosenow
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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.

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Bernd Rosenow. 2001-07-06. Fluctuations and Market Friction in Financial Trading. https://doi.org/10.1142/s012918310200322x

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