18 citations · 20 across the 2 of their papers we have counts for
4 papers
The non-random walk of stock prices: The long-term correlation between signs and sizes
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (vo…
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo +1
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that effi…
There's more to volatility than volume
Laszlo Gillemot, J. Doyne Farmer, Fabrizio Lillo
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatil…
A theory for long-memory in supply and demand
F. Lillo, Szabolcs Mike, J. Doyne Farmer
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market cleari…