440 citations · 1.7k across the 27 of their papers we have counts for
27 papers
Direct determination approach for the multifractal detrending moving average analysis
Hai-Chuan Xu, Gao-Feng Gu, Wei-Xing Zhou
In the canonical framework, we propose an alternative approach for the multifractal analysis based on the detrending moving average method (MF-DMA). We define a canonical measure s…
Power-law tails in the distribution of order imbalance
T. Zhang, G. -F. Gu, H. -C. Xu +3
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of or…
An empirical behavioural order-driven model with price limit rules
Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu +4
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in t…
Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
Wen-Jie Xie, Zhi-Qiang Jiang, Gao-Feng Gu +2
Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these l…
Effects of polynomial trends on detrending moving average analysis
Ying-Hui Shao, Gao-Feng Gu, Zhi-Qiang Jiang +1
The detrending moving average (DMA) algorithm is one of the best performing methods to quantify the long-term correlations in nonstationary time series. Many long-term correlated t…
Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
Yu-Lei Wan, Wen-Jie Xie, Gao-Feng Gu +5
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase mar…