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...
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| Main Authors: | , , , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
MDPI AG
2023-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/26/1/24 |
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