Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
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Publication:5484635
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
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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