Eur. Phys. J. B 20, 561-564 (2001)
https://doi.org/10.1007/s100510170240

Liquid markets and market liquids

Collective and single-asset dynamics in financial markets

Max-Planck-Institut für Physik komplexer Systeme, Nöthnitzer Straße 38, 01187 Dresden, Germany

Corresponding author: ^a cunibert@mpipks-dresden.mpg.de

Received: 1 September 2000
Published online: 15 April 2001

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.