Farmer, Doyne, Gerig, Austin, Lillo, Fabrizio and Mike, Szabolcs (2006) Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary. Quantitative Finance, 6 (2). pp. 102-112.
The article focuses on the market efficiency and the long-memory of supply and demand. The long-memory of supply and demand implies that there are waves of buyer-initiated transactions that are highly foreseeable with the use of simple linear algorithm. The authors stressed that the total price impact can be summed up with bare propagators associated with each transaction.
|Keywords:||supply and demand; microeconomics; markets|
|Centre:||CABDyN Complexity Centre|
|Date Deposited:||18 Jan 2012 11:05|
|Last Modified:||23 Oct 2015 14:07|
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