Before revision:  To address this problem we develop models for the distortion caused by brokerageand demonstrate that persistence in order flow is overwhelmingly due to order splitting by single investors. At longer time scales we observe that different investors' behavior is anti-correlated. We show that this is due to differences in the response to price-changing vs. non-price-changing market orders .
After revision:  To address this problem we develop models for the distortion caused by brokerageand demonstrate that persistence in order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally .