52 citations · 205 across the 16 of their papers we have counts for
17 papers
The impact of external uncertainties on the extreme return connectedness between food, fossil energy, and clean energy markets
Ting Zhang, Hai-Chuan Xu, Wei-Xing Zhou
We investigate the extreme return connectedness between the food, fossil energy, and clean energy markets using the quantile connectedness approach, which combines the traditional…
Hierarchical contagions in the interdependent financial network
William A. Barnett, Xue Wang, Hai-Chuan Xu +1
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but…
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…
Modeling aggressive market order placements with Hawkes factor models
Hai-Chuan Xu, Wei-Xing Zhou
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructur…
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…
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…
Linear and nonlinear correlations in order aggressiveness of Chinese stocks
Peng Yue, Hai-Chuan Xu, Wei Chen +2
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the…
An empirical behavioural order-driven model with price limit rules
Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu +4
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in t…
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…
Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
Hai-Chuan Xu, Zhi-Qiang Jiang, Wei-Xing Zhou
Based on the order flow data of a stock and its warrant, the immediate price impacts of market orders are estimated by two competitive models, the power-law model (PL model) and th…
Taylor's Law of temporal fluctuation scaling in stock illiquidity
Qing Cai, Hai-Chuan Xu, Wei-Xing Zhou
Taylor's law of temporal fluctuation scaling, variance mean, is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a sol…
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…
Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou +1
We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the prev…
Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
Hai-Chuan Xu, Wei Zhang, Xiong Xiong +1
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility functi…
An agent-based computational model for China's stock market and stock index futures market
Hai-Chuan Xu, Wei Zhang, Xiong Xiong +1
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we des…
Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu, Wei Zhang, Chao Xu +2
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed…
Short-term Market Reaction after Trading Halts in Chinese Stock Market
Hai-Chuan Xu, Wei Zhang, Yi-Fang Liu
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We de…