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)

Related Items (18)

The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books ⋮ The inelastic market hypothesis: a microstructural interpretation ⋮ Why is equity order flow so persistent? ⋮ Extension and verification of the asymmetric autoregressive conditional duration models ⋮ A continuous and efficient fundamental price on the discrete order book grid ⋮ Bridging stylized facts in finance and data non-stationarities ⋮ Do fundamentals shape the price response? A critical assessment of linear impact models ⋮ Limit-order book resiliency after effective market orders: spread, depth and intensity ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns ⋮ Particle-scale modelling of financial price dynamics ⋮ The non-random walk of stock prices: the long-term correlation between signs and sizes ⋮ Mechanical vs. informational components of price impact ⋮ No-dynamic-arbitrage and market impact ⋮ Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders ⋮ Optimal Execution in a Market with Small Investors ⋮ A MATHEMATICAL APPROACH TO ORDER BOOK MODELING ⋮ How efficiency shapes market impact ⋮ The price impact of order book events: market orders, limit orders and cancellations

Uses Software

• longmemo

Cites Work

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

This page was built for publication: Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?