772 citations · 5.5k across the 80 of their papers we have counts for
15 papers · 1 filter
Scaling and memory in the return intervals of energy dissipation rate in three-dimensional fully developed turbulence
Chuang Liu, Zhi-Qiang Jiang, Fei Ren +1
We study the statistical properties of return intervals between successive energy dissipation rates above a certain threshold in three-dimensional fully developed turbulenc…
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…
Degree distribution of the visibility graphs mapped from fractional Brownian motions and multifractal random walks
Xiao-Hui Ni, Zhi-Qiang Jiang, Wei-Xing Zhou
The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigat…
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…
Statistical properties of world investment networks
Dong-Ming Song, Zhi-Qiang Jiang, Wei-Xing Zhou
We have performed a detailed investigation on the world investment networks constructed from the Coordinated Portfolio Investment Survey (CPIS) data of the International Monetary F…
Multifractal analysis of the fracture surfaces of foamed polypropylene/polyethylene blends
Chuang Liu, Xiu-Lei Jiang, Tao Liu +3
The two-dimensional multifractal detrended fluctuation analysis is applied to reveal the multifractal properties of the fracture surfaces of foamed polypropylene/polyethylene blend…
Statistical properties of volatility return intervals of Chinese stocks
Fei Ren, Liang Guo, Wei-Xing Zhou
The statistical properties of the return intervals between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold are carefully studied.…
Emergence of long memory in stock volatility from a modified Mike-Farmer model
Gao-Feng Gu, Wei-Xing Zhou
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of…
Detrended fluctuation analysis of intertrade durations
Zhi-Qiang Jiang, Wei Chen, Wei-Xing Zhou
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigate…
On the probability distribution of stock returns in the Mike-Farmer model
Gao-Feng Gu, Wei-Xing Zhou
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities…
Scaling in the distribution of intertrade durations of Chinese stocks
Zhi-Qiang Jiang, Wei Chen, Wei-Xing Zhou
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chine…
Multifractal detrended cross-correlation analysis for two nonstationary signals
Wei-Xing Zhou
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We…
Multifractal analysis of Chinese stock volatilities based on partition function approach
Zhi-Qiang Jiang, Wei-Xing Zhou
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. Th…
Empirical shape function of limit-order books in the Chinese stock market
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the She…
Direct evidence for inversion formula in multifractal financial volatility measure
Zhi-Qiang Jiang, Wei-Xing Zhou
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we…