440 citations · 5k across the 111 of their papers we have counts for
6 papers · 1 filter
Trading networks, abnormal motifs and stock manipulation
Zhi-Qiang Jiang, Wen-Jie Xie, Xiong Xiong +3
We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network cons…
Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Wen-Jie Xie, Zhi-Qiang Jiang, Wei-Xing Zhou
Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily vol…
Testing the weak-form efficiency of the WTI crude oil futures market
Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou
We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We furth…
Determinants of immediate price impacts at the trade level in an emerging order-driven market
Wei-Xing Zhou
The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the tra…
Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
Hao Meng, Fei Ren, Gao-Feng Gu +4
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions an…
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…