The Long Memory of the Efficient Market
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| 024 | 7 | 0 | |a 10.2202/1558-3708.1226 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1226 | ||
| 245 | 0 | 4 | |a The Long Memory of the Efficient Market |h [Elektronische Daten] |c [Fabrizio Lillo, J. Doyne Farmer] |
| 520 | 3 | |a For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as a power law with an exponent of 0.6, corresponding to a Hurst exponent H = 0.7. This implies that the signs of future orders are quite predictable from the signs of past orders; all else being equal, this would suggest a very strong market inefficiency. We demonstrate, however, that fluctuations in order signs are compensated for by anti-correlated fluctuations in transaction size and liquidity, which are also long-memory processes that act to make the returns whiter. We show that some institutions display long-range memory and others dont. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 690 | 7 | |a G1 |2 nationallicence | |
| 700 | 1 | |a Lillo |D Fabrizio |u Santa Fe Institute and Istituto Nazionale per la Fisica della Materia, Unita di Palermo, lillo@santafe.edu |4 aut | |
| 700 | 1 | |a Farmer |D J. Doyne |u Santa Fe Institute, jdf@santafe.edu |4 aut | |
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/3(2004-09-16) |q 8:3 |1 2004 |2 8 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1226 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1226 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Lillo |D Fabrizio |u Santa Fe Institute and Istituto Nazionale per la Fisica della Materia, Unita di Palermo, lillo@santafe.edu |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Farmer |D J. Doyne |u Santa Fe Institute, jdf@santafe.edu |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/3(2004-09-16) |q 8:3 |1 2004 |2 8 |o snde | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||