48 citations · 176 across the 7 of their papers we have counts for
7 papers
Random matrix approach to the dynamics of stock inventory variations
W. -X. Zhou, G. -H. Mu, J. Kertész
We study the cross-correlation matrix of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of…
Strategies used as spectroscopy of financial markets reveal new stylized facts
Wei-Xing Zhou, Guo-Hua Mu, Wei Chen +1
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in o…
Nonuniversal distributions of stock returns in an emerging market
Guo-Hua Mu, Wei-Xing Zhou
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform…
Order flow dynamics around extreme price changes on an emerging stock market
Guo-Hua Mu, Wei-Xing Zhou, Wei Chen +1
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price f…
Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Guo-Hua Mu, Wei Chen, János Kertész +1
We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volum…
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…