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

DOI10.1140/EPJB/E2009-00392-YzbMATH Open1188.91177OpenAlexW2057921318MaRDI QIDQ977582FDOQ977582

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

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

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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 (6)

• Price dynamics in an order-driven market with Bayesian learning
• Staggered updating in an artificial financial market
• DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• Stock price process and long memory in trade signs
• Switching processes in financial markets

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)