Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

Author

Farmer, J

Gerig, A

Lillo, F

Mike, S

Journal title

Quantitative Finance

Issue

2

Volume

6

Last updated

2021-10-19T13:20:25.27+01:00

Page

107-112

Symplectic ID

387712

Submitted to ORA

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Publication type

Journal Article

Publication date

2006