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Quantifying and understanding the economics of large financial movements

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  • Gabaix, Xavier
  • Gopikrishnan, Parameswaran
  • Plerou, Vasiliki
  • Eugene Stanley, H.

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  • Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
    • Handle: RePEc:eee:dyncon:v:32:y:2008:i:1:p:303-319
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    Cited by:

    1. Wei-Xing Zhou, 2012. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance, Taylor & Francis Journals, vol. 12(8), pages 1253-1263, June.
    2. Steven N. Durlauf, 2012. "Complexity, economics, and public policy," Politics, Philosophy & Economics, , vol. 11(1), pages 45-75, February.
    3. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
    4. Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Immediate price impact of a stock and its warrant: Power-law or logarithmic model?," Papers 1611.04091, arXiv.org.

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