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20032007
most citedMarket efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?

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q-fin.ST2007

An empirical behavioral model of liquidity and volatility

Szabolcs Mike, J. Doyne Farmer

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple a…