Liquid markets and market liquids - Collective and single-asset dynamics in financial markets

Authors
Cuniberti, G Matassini, L
Citation
G. Cuniberti et L. Matassini, Liquid markets and market liquids - Collective and single-asset dynamics in financial markets, EUR PHY J B, 20(4), 2001, pp. 561-564
Citations number
18
Categorie Soggetti
Apllied Physucs/Condensed Matter/Materiales Science
Journal title
EUROPEAN PHYSICAL JOURNAL B
ISSN journal
14346028 → ACNP
Volume
20
Issue
4
Year of publication
2001
Pages
561 - 564
Database
ISI
SICI code
1434-6028(200104)20:4<561:LMAML->2.0.ZU;2-W
Abstract
We characterize the collective phenomena of a liquid market. By interpretin g the behavior of a no-arbitrage N asset market in terms of a particle syst em scenario, (thermo)dynamical-like properties can be extracted from the as set 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.