Theory for long memory in supply and demand
Theory for long memory in supply and demand
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [J.-P. Bouchaud, Y. Gefen, M. Potters, and M. Wyart, Quant. Finance 4, 176 (2004); F. Lillo and J. D. Farmer Dyn. Syst. Appl. 8, 3 (2004)]. We show how this can be …