  We introduce a novel description of the dynamics of the order book of
financial markets as that of an effective colloidal Brownian particle embedded
in fluid particles. The analysis of a comprehensive market data enables us to
identify all motions of the fluid particles. Correlations between the motions
of the Brownian particle and its surrounding fluid particles reflect specific
layering interactions; in the inner-layer, the correlation is strong and with
short memory while, in the outer-layer, it is weaker and with long memory. By
interpreting and estimating the contribution from the outer-layer as a drag
resistance, we demonstrate the validity of the fluctuation-dissipation relation
(FDR) in this non-material Brownian motion process.
