18 citations · 20 across the 2 of their papers we have counts for
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physics.soc-ph2006★ 2 cited
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…
physics.soc-ph2005
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…