31 citations · 72 across the 3 of their papers we have counts for
3 papers
q-fin.ST2020★ 28 cited
Information flow networks of Chinese stock market sectors
Peng Yue, Qing Cai, Wanfeng Yan +1
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and ident…
q-fin.ST2020★ 31 cited
Information transfer between stock market sectors: A comparison between the USA and China
Peng Yue, Yaodong Fan, Jonathan A. Batten +1
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis o…
q-fin.ST2017★ 13 cited
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…