55 citations · 101 across the 2 of their papers we have counts for
2 papers
q-fin.ST2008★ 55 cited
On the probability distribution of stock returns in the Mike-Farmer model
Gao-Feng Gu, Wei-Xing Zhou
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities…
physics.soc-ph2007★ 46 cited
Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three…