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Financial Brownian particle in the layered order-book fluid and fluctuation-dissipation relations

Yoshihiro Yura1, Hideki Takayasu2, Didier Sornette3

  • 1Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology 4259 Nagatsuta-cho, Yokohama 226-8502, Japan and Department of Management, Technology, and Economics, ETH Zurich, Scheuchzerstrasse 7, 8092 Zurich, Switzerland.

Physical Review Letters
|March 25, 2014
PubMed

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