94 citations · 288 across the 14 of their papers we have counts for
14 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…
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…
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…
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…
Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu, Wei Zhang, Chao Xu +2
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed…
Short-term Market Reaction after Trading Halts in Chinese Stock Market
Hai-Chuan Xu, Wei Zhang, Yi-Fang Liu
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We de…
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…
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…