Lien, Donald; Xiang, Ju - In: International Journal of Financial Markets and Derivatives 1 (2010) 3, pp. 243-257
We conduct efficiency test using the conventional method in Chordia et al. (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about ten minutes for the market to converge...