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Dissecting cross-impact on stock markets: an empirical analysis
Benzaquen, M, Mastromatteo, I, Eisler, Z, Bouchaud, J-PVolume:
2017
Language:
english
Journal:
Journal of Statistical Mechanics: Theory and Experiment
DOI:
10.1088/1742-5468/aa53f7
Date:
February, 2017
File:
PDF, 3.72 MB
english, 2017