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

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  • R. Yamamoto

    ()

  • B. LeBaron

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File URL: http://hdl.handle.net/10.1140/epjb/e2009-00392-y
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Bibliographic Info

Article provided by Springer in its journal The European Physical Journal B.

Volume (Year): 73 (2010)
Issue (Month): 1 (January)
Pages: 51-57

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Handle: RePEc:spr:eurphb:v:73:y:2010:i:1:p:51-57

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Web page: http://www.springer.com/economics/journal/10051

Order Information:
Web: http://link.springer.de/orders.htm

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  11. Т. Ozernikova., 2003. "Labor Enforcement in the Transitional Economy," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 9.
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Cited by:
  1. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org.
  2. Ryuichi Yamamoto, 2011. "Volatility clustering and herding agents: does it matter what they observe?," Journal of Economic Interaction and Coordination, Springer, vol. 6(1), pages 41-59, May.
  3. Yamamoto, Ryuichi, 2011. "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(11), pages 1938-1963.

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