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

Listed author(s):
  • R. Yamamoto

    ()

  • B. LeBaron

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File URL: http://hdl.handle.net/10.1140/epjb/e2009-00392-y
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Article provided by Springer & EDP Sciences 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
DOI: 10.1140/epjb/e2009-00392-y
Contact details of provider: Web page: http://www.springer.com

Web page: http://publications.edpsciences.org/

Order Information: Web: http://www.springer.com/economics/journal/10051

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  4. Chiarella, C. & Iori, G. & Perello, J., 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers 08/04, Department of Economics, City University London.
  5. anonymous, 2003. "District economy on hold in first quarter," Western economic developments, Federal Reserve Bank of San Francisco, issue Mar, pages 1-2.
  6. Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
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  10. Bengt-Åke Lundvall, 2004. "Why the New Economy is a Learning Economy," DRUID Working Papers 04-01, DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies.
  11. Anonymous, 2003. "Minnesota Applied Economist 710, Fall 2003," Minnesota Applied Economist/Minnesota Agricultural Economist 13188, University of Minnesota, Department of Applied Economics.
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  16. Anonymous, 2003. "Economics in the Farm Bill Conservation Title?," Amber Waves, United States Department of Agriculture, Economic Research Service, February.
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  19. Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
  20. anonymous, 2003. "Economy on the upswing in the Twelfth District," Western economic developments, Federal Reserve Bank of San Francisco, issue Dec, pages 1-4.
  21. Álvarez Alvarado, Marcos Tulio, 2003. "Ética y Economía," Observatorio de la Economía Latinoamericana, Grupo Eumed.net (Universidad de Málaga), issue 16, November.
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