Before revision:  Members typically act as brokers for other investors, so that it is not clear whether patterns we observe in brokerage data also reflect patterns in the behavior of single investors. 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.
After revision:  By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to order splitting by single investors.