772 citations · 3.5k across the 42 of their papers we have counts for
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The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations, Volume III
Ryan Woodard, Didier Sornette, Maxim Fedorovsky
This is the third installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 27 bubbles in 27 different…
The Chinese Equity Bubble: Ready to Burst
K. Bastiaensen, P. Cauwels, D. Sornette +2
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures…
Empirical regularities of opening call auction in Chinese stock market
Gao-Feng Gu, Fei Ren, Xiao-Hui Ni +2
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distributio…
Scaling and memory in the return intervals of realized volatility
Fei Ren, Gao-Feng Gu, Wei-Xing Zhou
We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Ind…
Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
Guo-Hua Mu, Wei Chen, János Kertész +1
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the who…
Multiscaling behavior in the volatility return intervals of Chinese indices
Fei Ren, Wei-Xing Zhou
We investigate the probability distribution of the return intervals between successive 1-min volatilities of two Chinese indices exceeding a certain threshold . The Kolmogor…