Journal article

Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary

Abstract:: The article focuses on the market efficiency and the long-memory of supply and demand. The long-memory of supply and demand implies that there are waves of buyer-initiated transactions that are highly foreseeable with the use of simple linear algorithm. The authors stressed that the total price impact can be summed up with bare propagators associated with each transaction.

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APA Style

Gerig, A., Farmer, J., 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.

MLA Style

Gerig, A., et al. Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary. 2006.

Chicago Style

Gerig, A, J Farmer, 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.”
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Authors

+ Gerig, A More by this author

Role:: Author

+ Farmer, J More by this author

Role:: Author

+ Lillo, F More by this author

Role:: Author

+ Mike, S More by this author

Role:: Author

Publication date:: 2006-01-01

UUID:: uuid:6cb8dadc-ffee-4549-aaad-d7908c69f4c0
Local pid:: oai:eureka.sbs.ox.ac.uk:2730
Deposit date:: 2012-01-19

Terms of use

Copyright date:: 2006

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

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