Switching Frictions, Heterogeneous Trading Horizons, and Long-Memory Order Flow
Updated
Updated · arxiv.org · Sep 2
Switching Frictions, Heterogeneous Trading Horizons, and Long-Memory Order Flow
1 articles · Updated · arxiv.org · Sep 2
Summary
A new research paper explores how costly changes in portfolio representations contribute to persistent signed order flow in financial markets.
The study links switching frictions, heterogeneous trading horizons, and execution timing to observable order-flow persistence and spell-duration tails.
Findings suggest that representation-based portfolio inaction can be empirically distinguished from order splitting, with implications for execution-cost models.