The long memory of the efficient market Export

@article{citeulike:5793337, abstract = {For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as τ− with α  0.6, corresponding to a Hurst exponent H  0.7. This implies that the signs of future orders are quite predictable from the signs of past orders; all else being equal, this would suggest a very strong market inefficiency. We demonstrate, however, that fluctuations in order signs are compensated for by anti-correlated fluctuations in transaction size and liquidity, which are also long-memory processes. This tends to make the returns whiter. We show that some institutions display long-range memory and others don't.}, author = {Lillo1, Fabrizio and Farmer1, J. Doyne}, citeulike-article-id = {5793337}, posted-at = {2009-09-16 21:42:03}, priority = {2}, title = {The long memory of the efficient market} }

TY - JOUR ID - citeulike:5793337 L3 - citeulike-article-id:5793337 N2 - For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as τ− with α  0.6, corresponding to a Hurst exponent H  0.7. This implies that the signs of future orders are quite predictable from the signs of past orders; all else being equal, this would suggest a very strong market inefficiency. We demonstrate, however, that fluctuations in order signs are compensated for by anti-correlated fluctuations in transaction size and liquidity, which are also long-memory processes. This tends to make the returns whiter. We show that some institutions display long-range memory and others don’t. TI - The long memory of the efficient market AU - Lillo1, Fabrizio AU - Farmer1, Doyne ER -