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...
| Main Authors: | , , |
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| Format: | Journal article |
| Izdano: |
2004
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