440 citations · 1.7k across the 27 of their papers we have counts for
12 papers · 1 filter
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…
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…
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…
Empirical properties of inter-cancellation durations in the Chinese stock market
Gao-Feng Gu, Xiong Xiong, Wei Zhang +2
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computationa…
Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
Hao Meng, Fei Ren, Gao-Feng Gu +4
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions an…
Detrending moving average algorithm for multifractals
Gao-Feng Gu, Wei-Xing Zhou
The detrending moving average (DMA) algorithm is a widely used technique to quantify the long-term correlations of non-stationary time series and the long-range correlations of fra…
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 distributions of Chinese stock returns at different microscopic timescales
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of…