IDEAS home Printed from https://ideas.repec.org/r/arx/papers/cond-mat-0311053.html
   My bibliography  Save this item

The long memory of the efficient market

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2009. "Smart predictors in the heterogeneous agent model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 163-172, November.
  2. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
  3. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
  4. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
  5. Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
  6. 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.
  7. Mike, Szabolcs & Farmer, J. Doyne, 2008. "An empirical behavioral model of liquidity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 200-234, January.
  8. Zaitsev, Sergey & Zaitsev, Alexander & Leonidov, Andrei & Trainin, Vladimir, 2009. "Market mill dependence pattern in the stock market: Multiscale conditional dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4624-4634.
  9. Jiang, J. & Ma, K. & Cai, X., 2007. "Non-linear characteristics and long-range correlations in Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 399-407.
  10. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
  11. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
  12. Noemi Nava & T. Di Matteo & Tomaso Aste, 2015. "Anomalous volatility scaling in high frequency financial data," Papers 1503.08465, arXiv.org, revised Dec 2015.
  13. Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, University Library of Munich, Germany.
  14. Takaaki Ohnishi & Hideki Takayasu & Takatoshi Ito & Yuko Hashimoto & Tsutomu Watanabe & Misako Takayasu, 2008. "Dynamics of quote and deal prices in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 99-106, June.
  15. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
  16. Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.
  17. Federico Garzarelli & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero, 2011. "Memory effects in stock price dynamics: evidences of technical trading," Papers 1110.5197, arXiv.org.
  18. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  19. Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016. "Statistically validated lead-lag networks and inventory prediction in the foreign exchange market," Papers 1609.04640, arXiv.org, revised Jul 2018.
  20. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  21. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
  22. Li, Wen & Yu, Cindy & Carriquiry, Alicia & Kliemann, Wolfgang, 2011. "The asymptotic behavior of the R/S statistic for fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 83-91, January.
  23. Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, University Library of Munich, Germany.
  24. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  25. Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
  26. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 115-123.
  27. Steve Phelps & Wing Lon Ng, 2014. "A Simulation Analysis Of Herding And Unifractal Scaling Behaviour," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(1), pages 39-58, January.
  28. Theodore Simos & Mike Tsionas, 2018. "Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme," Computational Statistics, Springer, vol. 33(4), pages 1687-1713, December.
  29. Ladislav Krištoufek, 2010. "Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009
    [Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009]
    ," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 471-487.
  30. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2010. "Complex stock trading network among investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4929-4941.
  31. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  32. Jamdee, Sutthisit & Los, Cornelis A., 2007. "Long memory options: LM evidence and simulations," Research in International Business and Finance, Elsevier, vol. 21(2), pages 260-280, June.
  33. Steffen Bohn, 2011. "The slippage paradox," Papers 1103.2214, arXiv.org.
  34. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
  35. Enzo Busseti & Fabrizio Lillo, 2012. "Calibration of optimal execution of financial transactions in the presence of transient market impact," Papers 1206.0682, arXiv.org.
  36. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  37. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
  38. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
  39. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  40. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
  41. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
  42. Luis A. Gil-Alana & Yun Cao, 2011. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers 12/11, School of Economics and Business Administration, University of Navarra.
  43. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
  44. Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
  45. Steffen Bohn, 2011. "The slippage paradox," Working Papers hal-00574268, HAL.
  46. Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2012. "Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 893-905, March.
  47. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management.
  48. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
  49. Kristoufek, Ladislav, 2009. "Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range," MPRA Paper 16424, University Library of Munich, Germany.
  50. Bonart, Julius & Lillo, Fabrizio, 2018. "A continuous and efficient fundamental price on the discrete order book grid," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 698-713.
  51. Kristoufek, Ladislav, 2009. "R/S analysis and DFA: finite sample properties and confidence intervals," MPRA Paper 16446, University Library of Munich, Germany.
  52. Nava, Noemi & Di Matteo, T. & Aste, Tomaso, 2016. "Anomalous volatility scaling in high frequency financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 434-445.
  53. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  54. Khalil al Dayri & Emmanuel Bacry & Jean-Francois Muzy, 2010. "The nature of price returns during periods of high market activity," Papers 1010.4226, arXiv.org, revised Oct 2010.
  55. A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers 0906.1387, arXiv.org, revised May 2010.
  56. Christian Oesch & Dietmar Maringer, 2017. "Low-latency liquidity inefficiency strategies," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 717-727, May.
  57. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
  58. Kristoufek, Ladislav, 2009. "Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
    [Long-term memory and its evolution in returns of PX between 1999 and 2009]
    ," MPRA Paper 16435, University Library of Munich, Germany.
  59. Mitra, Subrata Kumar & Bawa, Jaslene & Kannadhasan, M. & Goyal, Vinay & Chattopadhyay, Manojit, 2017. "Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?," Finance Research Letters, Elsevier, vol. 20(C), pages 269-273.
  60. Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers 2011-32, Kiel Institute for the World Economy (IfW).
  61. Lallouache, Mehdi & Abergel, Frédéric, 2014. "Tick size reduction and price clustering in a FX order book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 488-498.
  62. Sexton, M.B. & Hardiman, S.J. & Möbius, M.E. & Hutzler, S., 2014. "Sheared disk packings as a model system for complex dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 312-319.
  63. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
  64. Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182, arXiv.org, revised Oct 2010.
  65. Withanawasam, R.M. & Whigham, P.A. & Crack, Timothy Falcon, 2013. "Characterizing limit order prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5346-5355.
  66. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
  67. LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 85-89.
  68. Kristoufek, Ladislav, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4252-4260.
  69. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
  70. Joao Sousa Andrade & Irina Syssoyeva-Masson, 2016. "Investigating the presence of long memory in debt series and its relation with growth," EcoMod2016 9627, EcoMod.
  71. Bruce Mizrach, 2008. "The next tick on Nasdaq," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 19-40.
  72. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
  73. repec:wsi:acsxxx:v:21:y:2018:i:08:n:s0219525918500194 is not listed on IDEAS
  74. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  75. Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud, 2017. "The short-term price impact of trades is universal," Papers 1702.08029, arXiv.org, revised Jan 2018.
  76. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
  77. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
  78. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  79. Alexander Smirnov, 2016. "A Simple Model of Credit Expansion," Papers 1609.05055, arXiv.org.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.