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Deutsche Physikalische Gessellschaft IOP Institute of Physics

Specialization and herding behavior of trading firms in a financial market

Fabrizio Lillo1,2,3, Esteban Moro4, Gabriella Vaglica1,3 and Rosario N Mantegna1,3

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[1]

Identification of clusters of investors from their real trading activity in a financial market

Michele Tumminello et al  New Journal of Physics 2012  14 013041
IOPscience 
[2]

Market sentiment: a key factor of investors’ imitative behaviour

Natividad Blasco et al  Accounting and Finance 2011  no
CrossRef 
[3]

On the criticality of inferred models

Iacopo Mastromatteo and Matteo Marsili  Journal of Statistical Mechanics: Theory and Experiment 2011  2011 P10012
IOPscience 
[4]

High-Frequency Data

Fabrizio Lillo and Salvatore MiccichÈ  2010 
CrossRef 
[5]

Does herding affect volatility? Implications for the Spanish stock market

Natividad Blasco et al  Quantitative Finance 2010  1
CrossRef 
[6]

Order flow dynamics around extreme price changes on an emerging stock market

Guo-Hua Mu et al  New Journal of Physics 2010  12 075037
IOPscience 
[7]

Statistical identification with hidden Markov models of large order splitting strategies in an equity market

Gabriella Vaglica et al  New Journal of Physics 2010  12 075031
IOPscience 
[8]

Market impact and trading profile of hidden orders in stock markets

Esteban Moro et al  Physical Review E 2009  80 066102
CrossRef 
[9]

Econophysics and the challenge of efficiency

Martin Shubik et al  Complexity 2008  NA
CrossRef 
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  1. Specialization and herding behavior of trading firms in a financial market

    Fabrizio Lillo et al 2008 New J. Phys. 10 043019

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  9. Deflagration products from emulsion explosive unconventional nano-powders from ion reaction

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  10. Study of health effects in areas of high background radiation in China

    John D Boice, Jr 2002 J. Radiol. Prot. 22 102

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