52 citations · 205 across the 16 of their papers we have counts for
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q-fin.TR2013★ 9 cited
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…
q-fin.TR2013★ 19 cited
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…