Random walks, liquidity molasses and critical response in financial markets

Stock prices are observed to be random walks in time despite a strong, long-term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long-ranged fluctuations in liquidity, with an otherwise permanent market impac...

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Bibliographic Details
Published in:	Quantitative finance Vol. 6; no. 2; pp. 115 - 123
Main Authors:	Bouchaud, Jean-Philippe, Kockelkoren, Julien, Potters, Marc
Format:	Journal Article
Language:	English
Published:	Bristol Routledge 01.04.2006 Taylor and Francis Journals Taylor & Francis Ltd
Series:	Quantitative Finance
Subjects:	Correlation analysis Impact analysis Liquidity Random walk theory Stock prices Studies Syrups & sweeteners Volatility
ISSN:	1469-7688, 1469-7696
Online Access:	Get full text
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