The first link is a very accurate instructional video, the second is a variation to make with printed paper that actually comes out to be a globe. Any paper can be used, keeping in mind how long you want it to hold water: thin paper like newspaper pops easily but leaks water very quickly, most coated magazine pages will hold the water for a long time but don't pop easily until the water soaks through for a while.
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None. Water contains no fibres and so no amount of water can make paper.
Paper and very thin plastic.
The paper is probably negatively charged, polar too, hence absorbs water.
As long as it can displace a volume of water equal to its mass (ie its density is less than that of the water) it will float. Most paper will have a density less than that of water (or can be so folded) so will float.
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