39 citations · 85 across the 3 of their papers we have counts for
3 papers
q-fin.GN2015★ 37 cited
Agent-based model with multi-level herding for complex financial systems
Jun-Jie Chen, Lei Tan, Bo Zheng
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic…
q-fin.GN2015★ 9 cited
How volatilities nonlocal in time affect the price dynamics in complex financial systems
Lei Tan, Bo Zheng, Jun-Jie Chen +1
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement d…
q-fin.ST2014★ 39 cited
Agent-based model with asymmetric trading and herding for complex financial systems
Jun-jie Chen, Bo Zheng, Lei Tan
Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly import…