94 citations · 288 across the 14 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…
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…