Thermodynamic Analysis of Financial Markets: Measuring Order Book Dynamics with Temperature and Entropy
This study bridges finance and physics by applying thermodynamic concepts to model the limit order book (LOB) with high-frequency trading data on the Bitcoin spot. We derive the measures of Market Temperature and Market Entropy from the kinetic and potential energies in the LOB to provide a deeper u...
Na minha lista:
| Principais autores: | , , , |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2023-12-01
|
| coleção: | Entropy |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/1099-4300/26/1/24 |
| Tags: |
Sem tags, seja o primeiro a adicionar uma tag!
|