2 papers
q-fin.TR2015
Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information
Yoshihiro Yura, Hideki Takayasu, Didier Sornette +1
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating parti…
q-fin.TR2014
Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations
Yoshihiro Yura, Hideki Takayasu, Didier Sornette +1
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysi…