27 citations · 30 across the 2 of their papers we have counts for
3 papers
q-fin.ST2019★ 27 cited
Direct determination approach for the multifractal detrending moving average analysis
Hai-Chuan Xu, Gao-Feng Gu, Wei-Xing Zhou
In the canonical framework, we propose an alternative approach for the multifractal analysis based on the detrending moving average method (MF-DMA). We define a canonical measure s…
q-fin.ST2018
Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
Hai-Chuan Xu, Wei-Xing Zhou, Didier Sornette
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For…
q-fin.ST2017★ 3 cited
Power-law tails in the distribution of order imbalance
T. Zhang, G. -F. Gu, H. -C. Xu +3
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of or…