Why is order flow so persistent?
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2011
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