440 citations · 1.7k across the 27 of their papers we have counts for
5 papers · 1 filter
Scaling and memory in the non-poisson process of limit order cancelation
Xiao-Hui Ni, Zhi-Qiang Jiang, Gao-Feng Gu +3
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancela…
Modified detrended fluctuation analysis based on empirical mode decomposition
Xi-Yuan Qian, Wei-Xing Zhou, Gao-Feng Gu
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrendi…
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…
Statistical properties of online avatar numbers in a massive multiplayer online role-playing game
Zhi-Qiang Jiang, Fei Ren, Gao-Feng Gu +2
Massive multiplayer online role-playing games (MMORPGs) are very popular in past few years. The profit of an MMORPG company is proportional to how many users registered, and the in…
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…