772 citations · 5.5k across the 80 of their papers we have counts for
27 papers · 1 filter
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…
Direct determination approach for the multifractal detrending moving average analysis
Hai-Chuan Xu, Gao-Feng Gu, Wei-Xing Zhou
In the canonical framework, we propose an alternative approach for the multifractal analysis based on the detrending moving average method (MF-DMA). We define a canonical measure s…
Multifractal characteristics and return predictability in the Chinese stock markets
Xin-Lan Fu, Xing-Lu Gao, Zheng Shan +2
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock…
Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
Hai-Chuan Xu, Wei-Xing Zhou, Didier Sornette
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For…