Correlations and clustering in the trading of members of the London Stock Exchange
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- Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2012.
"Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 517-530, November.
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- J. Doyne Farmer & John Geanakoplos, 2008.
"The Virtues and Vices of Equilibrium and the Future of Financial Economics,"
Levine's Working Paper Archive
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"Statistically validated lead-lag networks and inventory prediction in the foreign exchange market,"
1609.04640, arXiv.org, revised Jul 2018.
- Damien Challet & Rémy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2018. "Statistically validated leadlag networks and inventory prediction in the foreign exchange market," Post-Print hal-01705087, HAL.
- Horváth, Lajos & Rice, Gregory, 2019. "Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 138-165.
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"Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6528-6542.
- Fricke, Daniel, 2012. "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Kiel Working Papers 1766, Kiel Institute for the World Economy (IfW).
- Federico Musciotto & Luca Marotta & Salvatore Miccich`e & Jyrki Piilo & Rosario N. Mantegna, 2015. "Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach," Papers 1511.06873, arXiv.org.
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