persistence of the order flow and market impact
Topic: persistence of the order flow and market impact
Q1:What are the statistical properties of the order flow? What can be empirical features can be observed by studying the time series of trade signs?
You may describe the type of data and analysis performed as well as the conclusions that can be drawn from it. See Ref. [1]
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Order Paper NowQ2:What are the two possible explanations for the empirically observed properties of the order flow? What type of data can be used to disentangle the two effects? What conclusions can be drawn? See Ref. [1,2]
Q3: What is shown to be the dominant cause for the emergence of the statistical properties of the order flow and how is it related to market impact?
Q4:How can the statistical properties of the order flow be reconciled with the concept of marketefficiency? Which hypotheses can be formulated? See Ref. [1]
For a general review you may refer to Ref. [3], in particular the section on Large fluctuations and long-memory of order flow.
Reports need to include: title, abstract, introduction, main section, conclusion, references (at least 10 appropriate references, only from peer-reviewed journals, books and other reputable published venues).
