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cond-mat.other2004
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…
cond-mat.other2003
What really causes large price changes?
J. Doyne Farmer, Laszlo Gillemot, Fabrizio Lillo +2
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or canc…