440 citations · 5k across the 111 of their papers we have counts for
7 papers · 1 filter
The position profiles of order cancellations in an emerging stock market
Gao-Feng Gu, Xiong Xiong, Fei Ren +2
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for differe…
Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
Didier Sornette, Ryan Woodard, Wanfeng Yan +1
The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbl…
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…
Evolution of worldwide stock markets, correlation structure and correlation based graphs
Dong-Ming Song, Michele Tumminello, Wei-Xing Zhou +1
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correla…
Multifractal detrending moving average cross-correlation analysis
Zhi-Qiang Jiang, Wei-Xing Zhou
There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal det…
Analysis of trade packages in Chinese stock market
Fei Ren, Wei-Xing Zhou
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the prob…
The US stock market leads the Federal funds rate and Treasury bond yields
Kun Guo, Wei-Xing Zhou, Si-Wei Cheng +1
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundament…