Lillo, Fabrizio; Farmer, J. - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 3, pp. 1226-1226
For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation …-correlated fluctuations in transaction size and liquidity, which are also long-memory processes that act to make the returns whiter. We show … that some institutions display long-range memory and others don't. …