Scaling and memory in the non-poisson process of limit order cancelation (2009)
Ni, Xiao-Hui, Jiang, Zhi-Qiang, Gu, Gao-Feng, Ren, Fei, Chen, Wei, Zhou, Wei-Xing
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying...
Modified detrended fluctuation analysis based on empirical mode decomposition (2009)
Qian, Xi-Yuan, Zhou, Wei-Xing, Gu, Gao-Feng
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is...
Empirical regularities of opening call auction in Chinese stock market (2009)
Gu, Gao-Feng, Ren, Fei, Ni, Xiao-Hui, Chen, Wei, Zhou, Wei-Xing
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 distribution of the relative...
Jiang, Zhi-Qiang, Ren, Fei, Gu, Gao-Feng, Tan, Qun-Zhao, Zhou, Wei-Xing
Massive multiplayer online role-playing games (MMORPGs) are very popular in past few years. The profit of an MMORPG company is proportional to how many users registered, and the instant number of...
Scaling and memory in the return intervals of realized volatility (2009)
Ren, Fei, Gu, Gao-Feng, Zhou, Wei-Xing
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 Index (SSEC) and 22...
Emergence of long memory in stock volatilities from a modified Mike-Farmer model (2008)
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 inverse cubic law of returns...
On the probability distribution of stock returns in the Mike-Farmer model (2008)
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 of order placement...
Empirical shape function of limit-order books in the Chinese stock market (2008)
Gu, Gao-Feng, Chen, Wei, Zhou, Wei-Xing
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 Shenzhen Stock...
Empirical regularities of order placement in the Chinese stock market (2007)
Gu, Gao-Feng, Chen, Wei, Zhou, Wei-Xing
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction,...
Empirical distributions of Chinese stock returns at different microscopic timescales (2007)
Gu, Gao-Feng, Chen, Wei, Zhou, Wei-Xing
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in...
Gu, Gao-Feng, Chen, Wei, Zhou, Wei-Xing
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different...
Detrended fluctuation analysis for fractals and multifractals in higher dimensions (2006)
One-dimensional detrended fluctuation analysis (1D DFA) and multifractal detrended fluctuation analysis (1D MF-DFA) are widely used in the scaling analysis of fractal and multifractal time series...
Statistical properties of daily ensemble variables in the Chinese stock markets (2006)
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard...
On the probability distribution of stock returns in the Mike-Farmer model
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 of order placement...
Emergence of long memory in stock volatility from a modified Mike-Farmer model
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 returns and the...
Empirical regularities of opening call auction in Chinese stock market
Gao-Feng Gu, Fei Ren, Xiao-Hui Ni, Wei Chen, Wei-Xing Zhou
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 distribution of the relative...
Empirical distributions of Chinese stock returns at different microscopic timescales
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in...
Statistical properties of daily ensemble variables in the Chinese stock markets
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard...
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different...
Empirical regularities of order placement in the Chinese stock market
Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction,...
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 Index (SSEC) and 22...
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 Shenzhen Stock...
Modified detrended fluctuation analysis based on empirical mode decomposition
Xi-Yuan Qian, Wei-Xing Zhou, Gao-Feng Gu
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is...
Scaling and memory in the non-poisson process of limit order cancelation
Xiao-Hui Ni, Zhi-Qiang Jiang, Gao-Feng Gu, Fei Ren, Wei Chen, Wei-Xing Zhou
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying...