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Correlations and response: absence of detailed balance on the stock market

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Publication:1873935
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DOI10.1016/S0378-4371(02)01914-3zbMath1057.91030OpenAlexW2000083338MaRDI QIDQ1873935

L. Kullmann, Kimmo Kaski, R. Karádi, A. G. Zawadowski, János Kertész

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01914-3


zbMATH Keywords

fluctuation dissipation theoremthermal equilibrium microscopic reversibilitytime dependent cross correlation functions


Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)


Related Items (2)

Productivity and costs for firms in presence of technology renewal processes ⋮ Co-Evolutive Models for Firms Dynamics




Cites Work

  • VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
  • High-frequency cross-correlation in a set of stocks




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