Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary
The article focuses on the market efficiency and the long-memory of supply and demand. The long-memory of supply and demand implies that there are waves of buyer-initiated transactions that are highly foreseeable with the use of simple linear algorithm. The authors stressed that the total price impa...
| Main Authors: | , , , |
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| 格式: | Journal article |
| 出版: |
2006
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