52 citations · 205 across the 16 of their papers we have counts for
4 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…
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…