440 citations · 5k across the 111 of their papers we have counts for
13 papers · 1 filter
Finite-size effect and the components of multifractality in financial volatility
Wei-Xing Zhou
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distr…
Superfamily classification of nonstationary time series based on DFA scaling exponents
Chuang Liu, Wei-Xing Zhou
The superfamily phenomenon of time series with different dynamics can be characterized by the motif rank patterns observed in the nearest-neighbor networks of the time series in ph…
The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
Didier Sornette, Ryan Woodard, Maxim Fedorovsky +3
On 2 November 2009, the Financial Bubble Experiment was launched within the Financial Crisis Observatory (FCO) at ETH Zurich (\url{http://www.er.ethz.ch/fco/}). In that initial rep…
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…
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette +3
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and stati…
Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
Meng-Cen Qian, Zhi-Qiang Jiang, Wei-Xing Zhou
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial…
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 …
The components of empirical multifractality in financial returns
Wei-Xing Zhou
We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896…
Online-offline activities and game-playing behaviors of avatars in a massive multiplayer online role-playing game
Zhi-Qiang Jiang, Wei-Xing Zhou, Qun-Zhao Tan
Massive multiplayer online role-playing games (MMORPGs) are very popular in China, which provides a potential platform for scientific research. We study the online-offline activiti…
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…
Statistical properties of visibility graph of energy dissipation rates in three-dimensional fully developed turbulence
Chuang Liu, Wei-Xing Zhou, Wei-Kang Yuan
We study the statistical properties of the network constructed from the energy dissipation rate time series in the three dimensional developed turbulence using the visibility algor…
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…
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…