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...
Збережено в:
| Автори: | , , , |
|---|---|
| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
MDPI AG
2023-12-01
|
| Серія: | Entropy |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/1099-4300/26/1/24 |
| Теги: |
Немає тегів, Будьте першим, хто поставить тег для цього запису!
|