Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
- 1 April 2006
- journal article
- research article
- Published by Taylor & Francis in Quantitative Finance
- Vol. 6 (2) , 107-112
- https://doi.org/10.1080/14697680600668048
Abstract
(2006). Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? Quantitative Finance: Vol. 6, No. 2, pp. 107-112.Keywords
All Related Versions
This publication has 6 references indexed in Scilit:
- Random walks, liquidity molasses and critical response in financial marketsQuantitative Finance, 2006
- Large stock price changes: volume or liquidity?Quantitative Finance, 2006
- THE KEY ROLE OF LIQUIDITY FLUCTUATIONS IN DETERMINING LARGE PRICE CHANGESFluctuation and Noise Letters, 2005
- What really causes large price changes?Quantitative Finance, 2004
- Fluctuations and response in financial markets: the subtle nature of ‘random’ price changesQuantitative Finance, 2004
- On the origin of power-law tails in price fluctuationsQuantitative Finance, 2004