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"au:"J. Doyne Farmer"" — arXiv2 Search
Showing 1–4 of 4 results
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Dec 5, 2014
Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
Aug 3, 2009
Market impact and trading profile of large trading orders in stock markets
Feb 2, 2006
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
Nov 4, 2003
The long memory of the efficient market