Lost in Diversification
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- L'eo Touzo & Matteo Marsili & Don Zagier, 2020. "Information thermodynamics of financial markets: the Glosten-Milgrom model," Papers 2010.01905, arXiv.org, revised Jan 2021.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2019-02-04 (Risk Management)
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