Order-splitting and long-memory in an order-driven market

DOI10.1140/epjb/e2009-00392-yzbMath1188.91177OpenAlexW2057921318MaRDI QIDQ977582

J. Martínez

Publication date: 22 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1140/epjb/e2009-00392-y

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

Staggered updating in an artificial financial market ⋮ Price dynamics in an order-driven market with Bayesian learning ⋮ Order aggressiveness, pre-trade transparency, and long memory in an order-driven market ⋮ Switching processes in financial markets ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS

Cites Work

• Rescaled variance and related tests for long memory in volatility and levels
• The impact of heterogeneous trading rules on the limit order book and order flows
• Long-Term Memory in Stock Market Prices