796 citations · 5.3k across the 118 of their papers we have counts for
5 papers · 1 filter
Criticality and finite size effects in a simple realistic model of stock market
Damien Challet, Matteo Marsili
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in…
Dissecting financial markets: Sectors and states
Matteo Marsili
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size…
Algorithms of maximum likelihood data clustering with applications
Lorenzo Giada, Matteo Marsili
We address the problem of data clustering by introducing an unsupervised, parameter free approach based on maximum likelihood principle. Starting from the observation that data set…
Colored minority games
Matteo Marsili, Maurizio Piai
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic…
Diffusion, peer pressure and tailed distributions
Fabio Cecconi, Matteo Marsili, Jayanth R. Banavar +1
We present a general, physically motivated non-linear and non-local advection equation in which the diffusion of interacting random walkers competes with a local drift arising from…