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...

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Vydané v:	Quantitative finance Ročník 4; číslo 2; s. 176 - 190
Hlavní autori:	Bouchaud, Jean-Philippe, Gefen, Yuval, Potters, Marc, Wyart, Matthieu
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	IOP Publishing Ltd 01.04.2004 Taylor and Francis Journals
Edícia:	Quantitative Finance
ISSN:	1469-7688, 1469-7696
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