13 citations · 43 across the 4 of their papers we have counts for
4 papers
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…
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…
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…
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…