Why is equity order flow so persistent?

Journal of Economic Dynamics and Control

Volumn 51, Issue , 2015, Pages 218-239

  Tóth, Bence ^a,b   Palit, Imon ^c   Lillo, Fabrizio ^b,d,e   Farmer, J Doyne ^b,f  

^a Capital Fund Management   (France)

^b SANTA FE INSTITUTE   (United States)

^c MONASH UNIVERSITY   (Australia)

^d UNIVERSITY OF PALERMO   (Italy)

^e SCUOLA NORMALE SUPERIORE   (Italy)

^f UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Behavioral finance; Herding; Market microstructure; Order flow; Order splitting; Price impact

Indexed keywords

EID: 84920266531     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2014.10.007     Document Type: Article

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