45 citations · 92 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
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…
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…