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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…
physics.soc-ph2006★ 23 cited
Statistical properties of daily ensemble variables in the Chinese stock markets
Gao-Feng Gu, Wei-Xing Zhou
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and th…