82 citations · 384 across the 8 of their papers we have counts for
4 papers · 1 filter
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…
Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
Guo-Hua Mu, Wei Chen, János Kertész +1
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the who…
Scaling in the distribution of intertrade durations of Chinese stocks
Zhi-Qiang Jiang, Wei Chen, Wei-Xing Zhou
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chine…
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…