242 citations · 651 across the 10 of their papers we have counts for
10 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…
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…
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…