52 citations · 205 across the 16 of their papers we have counts for
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q-fin.TR2018★ 2 cited
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…
q-fin.ST2018★ 52 cited
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…