440 citations · 5k across the 111 of their papers we have counts for
11 papers · 1 filter
Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou +1
We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the prev…
Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
Hai-Chuan Xu, Wei Zhang, Xiong Xiong +1
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility functi…
Correlation structure and principal components in global crude oil market
Yue-Hua Dai, Wen-Jie Xie, Zhi-Qiang Jiang +2
This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identi…
Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
Gao-Feng Gu, Xiong Xiong, Yong-Jie Zhang +3
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market dept…
Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang +4
Social and economic systems are complex adaptive systems, in which heterogenous agents interact and evolve in a self-organized manner, and macroscopic laws emerge from microscopic…
Triadic motifs in the dependence networks of virtual societies
Wen-Jie Xie, Ming-Xia Li, Zhi-Qiang Jiang +1
In friendship networks, individuals have different numbers of friends, and the closeness or intimacy between an individual and her friends is heterogeneous. Using a statistical fil…
An agent-based computational model for China's stock market and stock index futures market
Hai-Chuan Xu, Wei Zhang, Xiong Xiong +1
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we des…
Statistically validated mobile communication networks: Evolution of motifs in European and Chinese data
Ming-Xia Li, Vasyl Palchykov, Zhi-Qiang Jiang +6
Big data open up unprecedented opportunities to investigate complex systems including the society. In particular, communication data serve as major sources for computational social…
Empirical properties of inter-cancellation durations in the Chinese stock market
Gao-Feng Gu, Xiong Xiong, Wei Zhang +2
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computationa…
A comparative analysis of the statistical properties of large mobile phone calling networks
Ming-Xia Li, Zhi-Qiang Jiang, Wen-Jie Xie +4
Mobile phone calling is one of the most widely used communication methods in modern society. The records of calls among mobile phone users provide us a valuable proxy for the under…
Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
B. Podobnik, A. Majdandzic, C. Curme +4
In order to model volatile real-world network behavior, we analyze phase-flipping dynamical scale-free network in which nodes and links fail and recover. We investigate how stochas…