The total duration of drawdowns is shown to be an efficient and robust estimator of Sharpe ratios. Its properties are distribution-dependent: the expected total drawdown duration is smaller for heavy-tailed returns than for Gaussian ones. As a consequence, in leptokurtic market conditions, the...

Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the well-established long memory of market order signs is markedly...

Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the...