440 citations · 5k across the 111 of their papers we have counts for
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3 papers · 1 filter
q-fin.ST2017★ 13 cited
Linear and nonlinear correlations in order aggressiveness of Chinese stocks
Peng Yue, Hai-Chuan Xu, Wei Chen +2
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the…
q-fin.CP2017★ 1 cited
An empirical behavioural order-driven model with price limit rules
Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu +4
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in t…
q-fin.ST2017★ 34 cited
Time series momentum and contrarian effects in the Chinese stock market
Huai-Long Shi, Wei-Xing Zhou
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to m…