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/0602015MaRDI 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
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
91B24: Microeconomic theory (price theory and economic markets)
91B26: Auctions, bargaining, bidding and selling, and other market models
91B42: Consumer behavior, demand theory
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