94 citations · 605 across the 22 of their papers we have counts for
22 papers
New volatility evolution model after extreme events
Mei-Ling Cai, Zhang-HangJian Chen, Sai-Ping Li +4
In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme e…
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Peng-Fei Dai, Xiong Xiong, Zhifeng Liu +2
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH wi…
Visibility graph analysis of economy policy uncertainty indices
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
Uncertainty plays an important role in the global economy. In this paper, the economic policy uncertainty (EPU) indices of the United States and China are selected as the proxy var…
The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single…
The impact of economic policy uncertainties on the volatility of European carbon market
Peng-Fei Dai, Xiong Xiong, Toan Luu Duc Huynh +1
The European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction targets. The amount of carbon emission cau…
A global economic policy uncertainty index from principal component analysis
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies ar…
Power-law tails in the distribution of order imbalance
T. Zhang, G. -F. Gu, H. -C. Xu +3
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of or…
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…
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…
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…
Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
Wen-Jie Xie, Zhi-Qiang Jiang, Gao-Feng Gu +2
Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these l…
Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
Yu-Lei Wan, Wen-Jie Xie, Gao-Feng Gu +5
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase mar…
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…
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…
Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang +4
Social and economic systems are complex adaptive systems, in which heterogenous agents interact and evolve in a self-organized manner, and macroscopic laws emerge from microscopic…
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…
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…
Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
Ming-Xia Li, Zhi-Qiang Jiang, Wen-Jie Xie +3
Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading n…
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…
The position profiles of order cancellations in an emerging stock market
Gao-Feng Gu, Xiong Xiong, Fei Ren +2
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for differe…