The Long Memory of the Efficient Market

Fabrizio Lillo, J. Doyne Farmer · 2004 · Studies in Nonlinear Dynamics & Econometrics

IntermediateHFTIntradayEmpiricalFree to read

The signs of market orders are strongly long-memory (large orders get split). Any order-flow signal has to account for this.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT, Intraday
Data needed: Trades Set what data you have
Themes: Order-flow alpha Price impact
Assets: Equities
Market: Europe

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Cite

@article{lillo2004long,
  author = {Lillo, Fabrizio and Farmer, J. Doyne},
  title = {{The Long Memory of the Efficient Market}},
  journal = {Studies in Nonlinear Dynamics \& Econometrics},
  year = {2004},
  doi = {10.2202/1558-3708.1226}
}

Lillo, F., & Farmer, J. D. (2004). The Long Memory of the Efficient Market. Studies in Nonlinear Dynamics & Econometrics. https://doi.org/10.2202/1558-3708.1226