72 citations · 451 across the 25 of their papers we have counts for
11 papers · 1 filter
New volatility evolution model after extreme events
Mei-Ling Cai, Zhang-HangJian Chen, Sai-Ping Li +4
In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme e…
Dynamic portfolio strategy using clustering approach
Fei Ren, Ya-Nan Lu, Sai-Ping Li +3
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying struct…
Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li +2
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study t…
Dynamic evolution of cross-correlations in the Chinese stock market
Fei Ren, Wei-Xing Zhou
We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the retur…
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…
Recurrence interval analysis of trading volumes
Fei Ren, Wei-Xing Zhou
We study the statistical properties of the recurrence intervals between successive trading volumes exceeding a certain threshold . The recurrence interval analysis is carrie…
Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
Fei Ren, Wei-Xing Zhou
We investigate the probability distributions of the recurrence intervals between consecutive 1-min returns above a positive threshold or below a negative threshold …
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…
Multiscaling behavior in the volatility return intervals of Chinese indices
Fei Ren, Wei-Xing Zhou
We investigate the probability distribution of the return intervals between successive 1-min volatilities of two Chinese indices exceeding a certain threshold . The Kolmogor…
Statistical properties of volatility return intervals of Chinese stocks
Fei Ren, Liang Guo, Wei-Xing Zhou
The statistical properties of the return intervals between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold are carefully studied.…