A theory for long-memory in supply and demand

A theory for long-memory in supply and demand

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If...

書誌詳細
主要な著者:	Lillo, F, Mike, S, Farmer, J
フォーマット:	Journal article
出版事項:	2004

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