Unveiling the relation between herding and liquidity with trader lead-lag networks

DOI10.1080/14697688.2020.1763442zbMath1471.91605arXiv1909.10807OpenAlexW3047493760MaRDI QIDQ4957237

Carlo Campajola, Daniele Tantari, Fabrizio Lillo

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.10807

zbMATH Keywords

time series analysisstatistical mechanicseconophysicsherdingestimation of stochastic systemscomplexity in finance

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Financial networks (including contagion, systemic risk, regulation) (91G45)

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