Statistical pairwise interaction model of stock market
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- Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1998. "Noise dressing of financial correlation matrices," Science & Finance (CFM) working paper archive 500051, Science & Finance, Capital Fund Management.
- William A. Brock & Steven N. Durlauf, 2001. "Discrete Choice with Social Interactions," Review of Economic Studies, Oxford University Press, vol. 68(2), pages 235-260.
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- Hongli Zeng & R'emi Lemoy & Mikko Alava, 2013. "Financial interaction networks inferred from traded volumes," Papers 1311.3871, arXiv.org.
- Thomas Bury, 2013. "A statistical physics perspective on criticality in financial markets," Papers 1310.2446, arXiv.org, revised Jan 2014.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
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