Long-memory in an order-driven market
- 1 May 2007
- journal article
- Published by Elsevier in Physica A: Statistical Mechanics and its Applications
- Vol. 383 (1) , 85-89
- https://doi.org/10.1016/j.physa.2007.04.090
Abstract
No abstract availableKeywords
This publication has 6 references indexed in Scilit:
- The predictive power of zero intelligence in financial marketsProceedings of the National Academy of Sciences, 2005
- A simulation analysis of the microstructure of double auction markets*Quantitative Finance, 2002
- Long Memory in Stock-Market Trading VolumeJournal of Business & Economic Statistics, 2000
- A long memory property of stock market returns and a new modelJournal of Empirical Finance, 1993
- Long-Term Memory in Stock Market PricesEconometrica, 1991
- The Price Variability-Volume Relationship on Speculative MarketsEconometrica, 1983