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q-fin.TR2011★ 106 cited
Why is order flow so persistent?
Bence Toth, Imon Palit, Fabrizio Lillo +1
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders,…
q-fin.TR2011
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…