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We introduce a novel description of the dynamics of the order book offinancial markets as that of an effective colloidal Brownian particle embeddedin fluid particles. The analysis of a comprehensive market data enables us toidentify all motions of the fluid particles. Correlations between the motionsof the Brownian particle and its surrounding fluid particles reflect specificlayering interactions; in the inner-layer, the correlation is strong and withshort memory while, in the outer-layer, it is weaker and with long memory. Byinterpreting and estimating the contribution from the outer-layer as a dragresistance, we demonstrate the validity of the fluctuation-dissipation relation(FDR) in this non-material Brownian motion process.

Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations