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

Fabrizio Lillo, Austin Gerig, J. Doyne Farmer, Fabrizio Lillo, Szabolcs Mike

Risultato della ricerca: Articlepeer review

50 Citazioni (Scopus)

Abstract

The fact that supply and demand fluctuations have longmemory,which was independently discovered by Lilloand Farmer (2004) and Bouchaud et al. (2004), raisesan apparent paradox about compatibility with marketefficiency. The adage that buying drives the price upand selling drives it down is one of the least controversialstatements in finance. The long-memory of supplyand demand implies that there are waves of buyerinitiatedor seller-initiated transactions that are highlypredictable using a simple linear algorithm. All elsebeing equal, this suggests that price movements shouldalso be highly predictable
Lingua originaleEnglish
pagine (da-a)107-112
Numero di pagine6
RivistaQuantitative Finance
Volume6
Stato di pubblicazionePublished - 2006

All Science Journal Classification (ASJC) codes

  • Finance
  • ???subjectarea.asjc.2000.2000???

Fingerprint Entra nei temi di ricerca di 'Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?'. Insieme formano una fingerprint unica.

Cita questo