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

  • 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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  1. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
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  4. Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
  5. anonymous, 2003. "EconSouth outlook: Economy on the road to recovery," Financial Update, Federal Reserve Bank of Atlanta, issue Q 1.
  6. 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.
  7. Koide, Hideo & Zoltan, Denes & Galante, Peter & 鄭, 成春 & 阿部, 新, 2003. "Recent Development in Environmental Economics 2003," Discussion Paper Series b28, Institute of Economic Research, Hitotsubashi University.
  8. anonymous, 1991. "Regional economic development and public policy," Monograph, Federal Reserve Bank of Kansas City, number 1991redap, April.
  9. Anonymous, 2003. "MINNESOTA APPLIED ECONOMIST 708, Winter 2003," Minnesota Applied Economist/Minnesota Agricultural Economist 13213, University of Minnesota, Department of Applied Economics.
  10. Anonymous, 1991. "Economic forecasts," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 54, march.
  11. Anonymous, 2003. "Economics in the Farm Bill Conservation Title?," Amber Waves, United States Department of Agriculture, Economic Research Service, February.
  12. anonymous, 2003. "Economy on the upswing in the Twelfth District," Western economic developments, Federal Reserve Bank of San Francisco, issue Dec, pages 1-4.
  13. Т. Ozernikova., 2003. "Labor Enforcement in the Transitional Economy," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 9.
  14. 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.
  15. anonymous, 2003. "District economy on hold in first quarter," Western economic developments, Federal Reserve Bank of San Francisco, issue Mar, pages 2.
  16. Anonymous, 1991. "New Zealand economic chronology 1990," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 54, june.
  17. ., 1995. "Public finances and the cycle," Occasional Papers 4, The Public Enquiries Unit, HM Treasury.
  18. Anonymous, 2003. "Minnesota Applied Economist 710, Fall 2003," Minnesota Applied Economist/Minnesota Agricultural Economist 13188, University of Minnesota, Department of Applied Economics.
  19. anonymous, 2003. "Economic recovery gains ground in the Southeast," EconSouth, Federal Reserve Bank of Atlanta, issue Q4.
  20. anonymous, 2003. "Less than great expectations for District economy," Western economic developments, Federal Reserve Bank of San Francisco, issue Jun, pages 2.
  21. anonymous, 2003. "The global economy heats up," EconSouth, Federal Reserve Bank of Atlanta, issue Q4.
  22. Álvarez Alvarado, Marcos Tulio, 2003. "Ética y Economía," Observatorio de la Economía Latinoamericana, Grupo Eumed.net (Universidad de Málaga), issue 16, November.
  23. anonymous, 1995. "Economist examines financial derivatives risk," Financial Update, Federal Reserve Bank of Atlanta, issue Jan, pages 4.
  24. Anonymous, 2003. "Contents of Agricultural Economics, Vol. 29," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 29(3), December.
  25. anonymous, 2003. "Shaping the economy: innovation, productivity," Annual Report, Federal Reserve Bank of San Francisco, pages 8-13.
  26. Anonymous, 1991. "Economic Forecasts," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 54, september.
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