Before revision:  This model includes a novel empirical law quantifying traders' trend-following behaviour that can create the inertial motion in market prices over short durations. We present a systematic solution paralleling molecular kinetic theory to reveal mesoscopic and macroscopic dynamics of our model .
After revision:  This model includes a novel empirical law quantifying traders' trend-following behavior by tracking the trajectories of all individuals, which quantifies the collective motion of HFTs but has not been captured in conventional order-book models. We next introduce the corresponding microscopic model of HFTs and present its theoretical solution paralleling molecular kinetic theory to reveal mesoscopic and macroscopic dynamics of our model .