772 citations · 5.5k across the 80 of their papers we have counts for
80 papers
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…
Information flow networks of Chinese stock market sectors
Peng Yue, Qing Cai, Wanfeng Yan +1
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and ident…
Information transfer between stock market sectors: A comparison between the USA and China
Peng Yue, Yaodong Fan, Jonathan A. Batten +1
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis o…
Predicting tail events in a RIA-EVT-Copula framework
Wei-Zhen Li, Jin-Rui Zhai, Zhi-Qiang Jiang +2
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extreme…
Sector connectedness in the Chinese stock markets
Ying-Ying Shen, Zhi-Qiang Jiang, Jun-Chao Ma +2
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situa…
Statistical properties of user activity fluctuations in virtual worlds
Yan-Hong Yang, Wen-Jie Xie, Ming-Xia Li +2
User activity fluctuations reflect the performance of online society. We investigate the statistical properties of 1-min user activity time series of simultaneously online users in…