Financial interaction networks inferred from traded volumes

DOI10.1088/1742-5468/2014/07/P07008zbMath1456.91126arXiv1311.3871MaRDI QIDQ3301995

Rémi Lemoy, Mikko J. Alava, Hongli Zeng

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.3871

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

The appropriateness of ignorance in the inverse kinetic Ising model

Cites Work

• The effect of nonstationarity on models inferred from neural data
• Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Theory of Financial Risk and Derivative Pricing
• Fast unfolding of communities in large networks

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