Código QR (código de barras bidimensional)

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...

Fuld beskrivelse

Na minha lista:
Principais autores: Haochen Li, Yue Xiao, Maria Polukarov, Carmine Ventre
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2023-12-01
Serier:Entropy
Fag:
econophysics
market temperature
market entropy
liquidity
volatility
limit order book
Online adgang:https://www.mdpi.com/1099-4300/26/1/24
Tags: Tilføj Tag
Ingen Tags, Vær først til at tagge denne postø!

Lignende værker