Article2006

Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

J. Doyne Farmer · Austin Gerig · Fabrizio Lillo · Szabolcs Mike

95 citations0/0 files storedQuantitative Finance

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

The fact that supply and demand fluctuations have long-memory, which was independently discovered by Lillo and Farmer (2004) and Bouchaud et al. (2004), raises an apparent paradox about compatibili...

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1996Statistics for Long-Memory Processes.1996Statistics for Long-Memory Processes.2004The Long Memory of the Efficient Market 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes 2004What really causes large price changes?2006Random walks, liquidity molasses and critical response in financial markets 2004On the origin of power-law tails in price fluctuations 2005Theory for long memory in supply and demand

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2016Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book 2012Determinants of immediate price impacts at the trade level in an emerging order-driven market 2013How Efficiency Shapes Market Impact 2011A Mathematical Approach to Order Book Modeling

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