Order-splitting and long-memory in an order-driven market

DOI10.1140/EPJB/E2009-00392-YMaRDI QIDQ977582zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 22 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2009-00392-y

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• Stock price process and long memory in trade signs
• Why is equity order flow so persistent?
• The Long Memory of the Efficient Market
• Technical trading can induce long-run memory in financial markets

Cites work

• Long-Term Memory in Stock Market Prices
• Rescaled variance and related tests for long memory in volatility and levels
• The impact of heterogeneous trading rules on the limit order book and order flows

Cited in

(8)

• Price dynamics in an order-driven market with Bayesian learning
• Staggered updating in an artificial financial market
• Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• Why is equity order flow so persistent?
• Stock price process and long memory in trade signs
• Switching processes in financial markets
• Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders

This page was built for publication: Order-splitting and long-memory in an order-driven market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q977582)