116 citations · 149 across the 4 of their papers we have counts for
4 papers
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…
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…
Degree distribution of the visibility graphs mapped from fractional Brownian motions and multifractal random walks
Xiao-Hui Ni, Zhi-Qiang Jiang, Wei-Xing Zhou
The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigat…
Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
Xiao-Hui Ni, Wei-Xing Zhou
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spre…