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We study the relation between stock price changes and the difference in thenumber of sell and buy orders. Using a soft spin model, we describe the priceimpact of order imbalances and find an analogy to the fluctuation-dissipationtheorem in physical systems. We empirically investigate fluctuations and marketfriction for a major US stock and find support for our model calculations.Comment: Acknowledges the authors of cond-mat/0106657 for generous support and  for making their results available prior to publicatio

FLUCTUATIONS AND MARKET FRICTION IN FINANCIAL TRADING