Fluctuations and response in financial markets: the subtle nature of 'random' price changes
Using trades and quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delilcated interplay between two opposite tendencies: long-range correlated market orders that lead to super-diffusion (or persistence), and mean revrting limit orders t...
Saved in:
| Published in: | Quantitative finance Vol. 4; no. 2; pp. 176 - 190 |
|---|---|
| Main Authors: | , , , |
| Format: | Journal Article |
| Language: | English |
| Published: |
IOP Publishing Ltd
01.04.2004
Taylor and Francis Journals |
| Series: | Quantitative Finance |
| ISSN: | 1469-7688, 1469-7696 |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!