772 citations · 3.2k across the 40 of their papers we have counts for
Showing 2009Show all
3 papers · 1 filter
q-fin.ST2009★ 2 cited
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…
q-fin.ST2009★ 17 cited
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…
q-fin.ST2009★ 29 cited
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…