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Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

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APA Style

Farmer, J., Gerig, A., Lillo, F., & Mike, S. (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), 107–112.

MLA Style

Farmer, J., et al. “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, 2006, pp. 107–12.

Chicago Style

Farmer, J, A Gerig, F Lillo, and S Mike. 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): 107–12.
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Authors

+ Farmer, J More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author

+ Gerig, A More by this author

Role:: Author

+ Lillo, F More by this author

Role:: Author

+ Mike, S More by this author

Role:: Author

Journal:: Quantitative Finance More from this journal
Volume:: 6
Issue:: 2
Pages:: 107-112
Publication date:: 2006-01-01

Pubs id:: pubs:387712
UUID:: uuid:22e07735-6fdc-4203-866d-347617ea107c
Local pid:: pubs:387712
Source identifiers:: 387712
Deposit date:: 2013-11-16

Terms of use

Copyright date:: 2006

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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