Equity order flow is persistent in the sense that buy orders tend to be
followed by buy orders and sell orders tend to be followed by sell orders. For
equity order flow this persistence is extremely long-ranged, with positive
correlations spanning thousands of orders, over time intervals of up to several
days. Such persistence in supply and demand is economically important because
it influences the market impact as a function of both time and size and because
it indicates that the market is in a sense out of equilibrium.