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Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
10 references·4 citing·39 second hop
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? (2006)Market efficiency and the long-memory of …Random walks, liquidity molasses and critical response in financial markets (2006)Random walks, liquidity molas…Large stock price changes: volume or liquidity? (2006)Large stock price changes: vo…Theory for long memory in supply and demand (2005)Theory for long memory in sup…What really causes large price changes? (2004)What really causes large pric…The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…On the origin of power-law tails in price fluctuations (2004)On the origin of power-law ta…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …What really causes large price changes? (2003)What really causes large pric…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book (2016)Queue Imbalance as a One-Tick…How Efficiency Shapes Market Impact (2013)How Efficiency Shapes Market …Determinants of immediate price impacts at the trade level in an emerging order-driven market (2012)Determinants of immediate pri…A Mathematical Approach to Order Book Modeling (2011)A Mathematical Approach to Or…Inferring Trade Direction from Intraday Data (1991)Size matters: some stylized facts of the stock market revisited (2006)A statistical physics view of financial fluctuations: Evidence for scaling and universality (2008)Patterns in high-frequency FX data: discovery of 12 empirical scaling laws (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Some comments on Hurst exponent and the long memory processes on capital markets (2008)Correlation of financial markets in times of crisis (2011)Econophysics review: I. Empirical facts (2011)The Econometrics of Financial Markets (2012)A long memory property of stock market returns and a new model (1993)Modelling Extremal Events (1997)Long-memory in an order-driven market (2007)Universal price impact functions of individual trades in an order-driven market (2010)Agent-based models for latent liquidity and concave price impact (2014)The Economy as an Evolving Complex System II (2018)Continuous Auctions and Insider Trading (1985)The Econometrics of Financial Markets (1997)Financial power laws: Empirical evidence, models, and mechanisms (2016)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)An empirical behavioral model of liquidity and volatility (2007)The impact of heterogeneous trading rules on the limit order book and order flows (2008)Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Measuring the Information Content of Stock Trades (1991)Empirical properties of asset returns: stylized facts and statistical issues (2001)Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? (1985)Does herding affect volatility? Implications for the Spanish stock market (2010)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks (2006)Scaling properties of extreme price fluctuations in Bitcoin markets (2018)Scaling of the distribution of fluctuations of financial market indices (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)
this work references cited by second hop

References

  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 2004The Long Memory of the Efficient Market365 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2004What really causes large price changes?276 cited
  • 2006Random walks, liquidity molasses and critical response in financial markets155 cited
  • 2004On the origin of power-law tails in price fluctuations150 cited
  • 2005Theory for long memory in supply and demand132 cited
  • 2003What really causes large price changes?129 cited
  • 2006Large stock price changes: volume or liquidity?96 cited

Cited by

  • 2016Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book38 cited
  • 2012Determinants of immediate price impacts at the trade level in an emerging order-driven market32 cited
  • 2013How Efficiency Shapes Market Impact30 cited
  • 2011A Mathematical Approach to Order Book Modeling26 cited

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