The long memory of order flow in the foreign exchange spot market
Year of publication: |
June 2016
|
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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
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Subject: | Long memory | autocorrelation | foreign exchange market | order flow | market microstructure | Devisenmarkt | Foreign exchange market | Marktmikrostruktur | Market microstructure | Wechselkurs | Exchange rate | Theorie | Theory | Volatilität | Volatility | Autokorrelation | Autocorrelation |
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