94 citations · 94 across the 2 of their papers we have counts for
3 papers
q-fin.ST2022
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…
q-fin.CP2017
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…
q-fin.ST2015★ 94 cited
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…