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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
An empirical behavioral model of price formation
Szabolcs Mike, J. Doyne Farmer
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models o…