The Influence of Signed Order Volume on Stock Prices

Gerig, Austin, Farmer, Doyne, Lillo, Fabrizio and Mike, Szabolcs (2007) The Influence of Signed Order Volume on Stock Prices. In: Annual American Physical Society March Meeting, March 2007, Denver, Colorado. (Unpublished)

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Abstract

Using data from the London Stock Exchange we investigate the influence of signed transaction order volume on current and future price changes. (Buy orders are given a positive sign, sell orders a negative sign). Empirical studies have shown that transaction order signs display long memory. Because buying tends to move the price up and selling tends to move the price down, this creates a puzzle regarding efficiency -- if transaction order signs are highly predictable, why aren't prices predictable? We show that efficiency is maintained by correlated fluctuations in the response of prices to orders. We also study whether or not this is an important effect causing clustered volatility in price changes, i.e. the tendency of the magnitude of price changes to be temporally correlated.

Item Type: Conference or Workshop Item (Paper)
Keywords: Stocks and shares; Price changes
Subject(s): Complexity
Centre: CABDyN Complexity Centre
Date Deposited: 05 Mar 2012 20:06
Last Modified: 23 Oct 2015 14:07
URI: http://eureka.sbs.ox.ac.uk/id/eprint/2739

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