242 citations · 651 across the 10 of their papers we have counts for
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q-fin.ST2008★ 90 cited
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…
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…
q-fin.TR2008★ 41 cited
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…