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Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
Click to increase image sizeClick to decrease image size Acknowledgments We would like to thank Barclay's Bank for supporting this research. Fabrizio Lillo acknowledges partial support from MIUR research project 'Dinamica di altissima frequenza nei mercati finanziari', MIUR-FIRB research project RBNE01CW3M and NEST-DYSONET 12911 EU project. We would also like …