Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary

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.

Abstract

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.

Item Type: Article
Keywords: supply and demand; microeconomics; markets
Subject(s): Complexity
Centre: CABDyN Complexity Centre
Date Deposited: 18 Jan 2012 11:05
Last Modified: 23 Oct 2015 14:07
URI: http://eureka.sbs.ox.ac.uk/id/eprint/2730

Actions (login required)

Edit View Edit View