Lillo, Fabrizio; Farmer, J. Doyne - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 3
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...