38 citations · 127 across the 5 of their papers we have counts for
4 papers · 1 filter
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…
Multiscaling behavior in the volatility return intervals of Chinese indices
Fei Ren, Wei-Xing Zhou
We investigate the probability distribution of the return intervals between successive 1-min volatilities of two Chinese indices exceeding a certain threshold . The Kolmogor…
Statistical properties of volatility return intervals of Chinese stocks
Fei Ren, Liang Guo, Wei-Xing Zhou
The statistical properties of the return intervals between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold are carefully studied.…