Long-memory in an order-driven market

Physica A: Statistical Mechanics and its Applications

Volumn 383, Issue 1 SPEC. ISS., 2007, Pages 85-89

  LeBaron, Blake ^a   Yamamoto, Ryuichi ^b  

^a BRANDEIS UNIVERSITY   (United States)

^b NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

Agent based; Long memory; Microstructure; Order flow

Indexed keywords

COMPUTER SIMULATION; INFORMATION ANALYSIS; INTELLIGENT AGENTS; LEARNING SYSTEMS; MARKETING;

HETEROGENEOUS INVESTORS; MARKET ORDERS; ORDER RIVEN MARKET;

FINANCIAL DATA PROCESSING;

EID: 34347366363     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.04.090     Document Type: Article

References (7)

1. Lobato I., and Velasco C. Long memory in stock-market trading volume. J. Bus. Econ. Stat. 18 (2000) 410-426
2. Ding, Zhuanxin, Granger C.W.J., and Engle R.F. A long memory property of stock market returns and a new model. J. Empir. Finance 1 (1993) 83-106
3. Tauchen G.E., and Pitts M. The price variability-volume relationship on speculative markets. Econometrica 51 2 (1983) 485-505
4. Lillo F., and Farmer J.D. The long memory of the efficient market. Stud. Nonlinear Dyn. Econom. 8 3 (2004)
5. Chiarella C., and Iori G. A simple microstructure model of double auction markets. Quant. Finance 2 5 (2002) 346-353
6. Farmer J.D., Patelli P., and Zovko I.I. The predicitive power of zero intelligence in financial markets. PNAS USA 102 11 (2005) 2254-2259
7. Lo A.W. Long-term memory in stock market prices. Econometrica 59 (1991) 1279-1313