94 citations
- East China University of Science and TechnologyCN20 papers
- Tianjin UniversityCN7 papers
- Budapest University of Technology and EconomicsHU3 papers
- Boston UniversityUS2 papers
- Chinese Academy of SciencesCN2 papers
- University of Chinese Academy of SciencesCN2 papers
- China Southern Power Grid (China)CN1 paper
- China University of Science and TechnologyTW1 paper
- ETH ZurichCH1 paper
- Montavid Thermodynamic Research GroupHU1 paper
- Swiss Finance InstituteCH1 paper
- Tsinghua–Berkeley Shenzhen InstituteCN1 paper
9 papers · 1 filter
Quantifying immediate price impact of trades based on the -shell decomposition of stock trading networks
Wen-Jie Xie, Ming-Xia Li, Hai-Chuan Xu +3
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We c…
Limit-order book resiliency after effective market orders: Spread, depth and intensity
Hai-Chuan Xu, Wei Chen, Xiong Xiong +3
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an esse…
Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
Gao-Feng Gu, Xiong Xiong, Yong-Jie Zhang +3
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market dept…
Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang +4
Social and economic systems are complex adaptive systems, in which heterogenous agents interact and evolve in a self-organized manner, and macroscopic laws emerge from microscopic…
Order flow dynamics around extreme price changes on an emerging stock market
Guo-Hua Mu, Wei-Xing Zhou, Wei Chen +1
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price f…
Scaling and memory in the non-poisson process of limit order cancelation
Xiao-Hui Ni, Zhi-Qiang Jiang, Gao-Feng Gu +3
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancela…