90 citations · 285 across the 6 of their papers we have counts for
6 papers
Empirical regularities of opening call auction in Chinese stock market
Gao-Feng Gu, Fei Ren, Xiao-Hui Ni +2
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distributio…
Scaling and memory in the return intervals of realized volatility
Fei Ren, Gao-Feng Gu, Wei-Xing Zhou
We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Ind…
Emergence of long memory in stock volatility from a modified Mike-Farmer model
Gao-Feng Gu, Wei-Xing Zhou
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of…
Empirical shape function of limit-order books in the Chinese stock market
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the She…
Empirical regularities of order placement in the Chinese stock market
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the ope…
Empirical distributions of Chinese stock returns at different microscopic timescales
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of…