The long memory of order flow in the foreign exchange spot market

Martin D. Gould, Mason A. Porter, Sam D. Howison

Year of publication:	June 2016
Authors:	Gould, Martin ; Porter, Mason A. ; Howison, Sam
Published in:	Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 2.2016, 1, p. 1-40
Subject:	Long memory \| autocorrelation \| foreign exchange market \| order flow \| market microstructure \| Marktmikrostruktur \| Market microstructure \| Devisenmarkt \| Foreign exchange market \| Theorie \| Theory \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis \| Handelsvolumen der Börse \| Trading volume \| Autokorrelation \| Autocorrelation \| Wechselkurs \| Exchange rate

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