- Abstract:
-
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a result order flow is a highly persistent long-memory process. Maintaining co...
Expand abstract - Publisher copy:
- 10.1016/B978-012374258-2.50006-3
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- Publisher:
- Elsevier Inc.
- Pages:
- 57-160
- Publication date:
- 2008-09-04
- DOI:
- URN:
-
uuid:5d0bfc86-a1f2-4bca-9e1e-8ab792c2cb81
- Source identifiers:
-
387671
- Local pid:
- pubs:387671
- Language:
- English
- Keywords:
- Copyright date:
- 2008
- Notes:
- 111 pages, 24 figures
Journal article
How markets slowly digest changes in supply and demand
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