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 function decays roughly as a power law with an exponent of 0.6, corresponding to a Hurst exponent H = 0.7. This implies that the signs of future orders are quite predictable from...