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

Quantitative Finance

Volumn 6, Issue 2, 2006, Pages 107-112

  Farmer, J Doyne ^a   Gerig, Austin ^a,b   Lillo, Fabrizio ^a,c   Mike, Szabolcs ^a,d  

^a SANTA FE INSTITUTE   (United States)

^b United States of America   (United States)

^c INFM   (Italy)

^d BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646573319     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680600668048     Document Type: Article

References (11)

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3. Bouchaud, J.-P., Kockelkoren, J. and Potters, M., Random walks, liquidity molasses and critical response in financial markets. Quant. Finance, 2006, 6(2), 115-123.
4. Farmer, J.D. and Lillo, F., On the origin of power laws in financial markets. Quant. Finance, 2004, 314, 7-10.
5. Farmer, J.D., Gerig, A., Lillo, F. and Mike, S., Reconciling market efficiency with the long-memory of supply and demand, 2006, unpublished.
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7. Gillemot, L., Farmer, J.D. and Lillo, F., There's more to volatility than volume, 2005, e-print physics/0510007.
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10. Lillo, F., Mike, S. and Farmer, J.D., Theory for long memory in supply and demand. Phys. Rev. E, 2005, 7106(6 pt 2), 287-297.
11. Weber, P. and Rosenow, B., Large stock price changes: volume or liquidity? Quant. Finance. 2006, 6(1), 7-14.