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

DOI10.1080/14697680600668048zbMath1136.91565arXivphysics/0602015OpenAlexW2102233357MaRDI QIDQ5484635

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

Publication date: 21 August 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0602015

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Consumer behavior, demand theory (91B42)

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Uses Software

• longmemo

Cites Work

• Large stock price changes: volume or liquidity?
• Random walks, liquidity molasses and critical response in financial markets