arXiv (OAI Expanded)
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Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact. The point is not to propose new empirical laws, but to separate the clocks on which existing laws are defined. The sign-memory law is an event-time statement abo
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