440 citations · 5k across the 111 of their papers we have counts for
9 papers · 1 filter
Quantifying immediate price impact of trades based on the -shell decomposition of stock trading networks
Wen-Jie Xie, Ming-Xia Li, Hai-Chuan Xu +3
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We c…
Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
Hai-Chuan Xu, Zhi-Qiang Jiang, Wei-Xing Zhou
Based on the order flow data of a stock and its warrant, the immediate price impacts of market orders are estimated by two competitive models, the power-law model (PL model) and th…
Time-varying return predictability in the Chinese stock market
Huai-Long Shi, Zhi-Qiang Jiang, Wei-Xing Zhou
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear…
Joint multifractal analysis based on wavelet leaders
Zhi-Qiang Jiang, Yan-Hong Yang, Gang-Jin Wang +1
Mutually interacting components form complex systems and the outputs of these components are usually long-range cross-correlated. Using wavelet leaders, we propose a method of char…
Short term prediction of extreme returns based on the recurrence interval analysis
Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro +4
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecu…
Taylor's Law of temporal fluctuation scaling in stock illiquidity
Qing Cai, Hai-Chuan Xu, Wei-Xing Zhou
Taylor's law of temporal fluctuation scaling, variance mean, is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a sol…
Multifractal cross wavelet analysis
Zhi-Qiang Jiang, Xing-Lu Gao, Wei-Xing Zhou +1
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characteri…
Limit-order book resiliency after effective market orders: Spread, depth and intensity
Hai-Chuan Xu, Wei Chen, Xiong Xiong +3
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an esse…
Market correlation structure changes around the Great Crash
Rui-Qi Han, Wen-Jie Xie, Xiong Xiong +2
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 s…