Liquid markets and market liquids

G. Cuniberti and L. Matassini
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G. Cuniberti: Max-Planck-Institut für Physik komplexer Systeme, Nöthnitzer Straße 38, 01187 Dresden, Germany
L. Matassini: Max-Planck-Institut für Physik komplexer Systeme, Nöthnitzer Straße 38, 01187 Dresden, Germany

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 561-564

Abstract: Abstract: We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset 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.

Keywords: PACS.; 02.50.Sk; Multivariate; analysis; –; 89.90.+n; Other; topics; in; areas; of; applied; and; interdisciplinary; physics (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/s100510170240

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