Why is equity order flow so persistent?

DOI10.1016/J.JEDC.2014.10.007zbMath1402.91179arXiv1108.1632OpenAlexW2092448650MaRDI QIDQ1623998

Fabrizio Lillo, Bence Tóth, J. Doyne Farmer, Imon Palit

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.1632

zbMATH Keywords

market microstructureprice impactbehavioral financeherdingorder splittingorder flow

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (13)

A continuous and efficient fundamental price on the discrete order book grid ⋮ Linear models for the impact of order flow on prices. I. History dependent impact models ⋮ Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model ⋮ Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows ⋮ Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data ⋮ Statistical characteristics of price impact in high-frequency trading ⋮ The effects of trade size and market depth on immediate price impact in a limit order book market ⋮ The information content of high-frequency traders aggressive orders: recent evidence ⋮ Order flow in the financial markets from the perspective of the fractional Lévy stable motion ⋮ Deep learning for limit order books ⋮ A stationary Kyle setup: microfounding propagator models ⋮ Long-range memory test by the burst and inter-burst duration distribution ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• The role of communication and imitation in limit order markets
• No-dynamic-arbitrage and market impact
• How efficiency shapes market impact
• The price impact of order book events: market orders, limit orders and cancellations
• ON A CLASS OF SKEW DISTRIBUTION FUNCTIONS
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• The Long Memory of the Efficient Market
• Continuous Auctions and Insider Trading
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• The Economics of Rumours
• Price Manipulation and Quasi-Arbitrage
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Random walks, liquidity molasses and critical response in financial markets

This page was built for publication: Why is equity order flow so persistent?