Wei-Xing Zhou

Statistical properties of world investment networks (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...

Song, Dong-Ming, Jiang, Zhi-Qiang, Zhou, Wei-Xing

We have performed a detailed investigation on the world investment networks constructed from the Coordinated Portfolio Investment Survey (CPIS) data of the International Monetary Fund, ranging from...

Multifractal analysis of the fracture surfaces of foamed polypropylene/polyethylene blends (2008)

Liu, Chuang, Jiang, Xiu-Lei, Liu, Tao, Zhao, Ling, Zhou, Wei-Xing, Yuan, Wei-Kang

The two-dimensional multifractal detrended fluctuation analysis is applied to reveal the multifractal properties of the fracture surfaces of foamed polypropylene/polyethylene blends at different...

Statistical properties of volatility return intervals of Chinese stocks (2008)

Ren, Fei, Guo, Liang, Zhou, Wei-Xing

The statistical properties of the return intervals $\tau_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The...

Detrended fluctuation analysis of intertrade durations (2008)

Jiang, Zhi-Qiang, Chen, Wei, Zhou, Wei-Xing

The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the...

On the probability distribution of stock returns in the Mike-Farmer model (2008)

Scaling in the distribution of intertrade durations of Chinese stocks (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...

Jiang, Zhi-Qiang, Chen, Wei, Zhou, Wei-Xing

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 Chinese stocks listed on...

Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)

Zhou, Wei-Xing

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 propose a new...

Empirical shape function of limit-order books in the Chinese stock market (2008)

Direct evidence for inversion formula in multifractal financial volatility measure (2008)

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...

Multifractal analysis of Chinese stock volatilities based on partition function approach (2008)

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 propose to verify...

Long-term temporal dependence of droplets transiting through a fixed spatial point in gas-liquid twophase turbulent jets (2008)

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. The partition...

Ji, Li-Jun, Zhou, Wei-Xing, Liu, Hai-feng, Gong, Xin, Wang, Fu-Chen, Yu, Zun-Hong

We perform rescaled range analysis upon the signals measured by Dual Particle Dynamical Analyzer in gas-liquid two-phase turbulent jets. A novel rescaled range analysis is proposed to investigate...

Empirical regularities of order placement in the Chinese stock market (2007)

Multifractal detrended fluctuation analysis of combustion flames in four-burner impinging entrained-flow gasifier (2007)

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,...

Niu, Miao-Ren, Zhou, Wei-Xing, Yan, Zhuo-Yong, Guo, Qing-Hua, Liang, Qin-Feng, Wang, Fu-Chen, ...

On a laboratory-scale testing platform of impinging entrained-flow gasifier with four opposed burners, the flame images for diesel combustion and gasification process were measured with a single...

Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks (2007)

Ni, Xiao-Hui, Zhou, Wei-Xing

We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily...

Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index (2007)

Mu, Guo-Hua, Zhou, Wei-Xing

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with...

Empirical distributions of Chinese stock returns at different microscopic timescales (2007)

Universal price impact functions of individual trades in an order-driven market (2007)

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...

Zhou, Wei-Xing

The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific...

Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests (2007)

Qian, Xi-Yuan, Song, Fu-Tie, Zhou, Wei-Xing

We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an...

Multifractality in stock indexes: Fact or fiction? (2007)

Statistical significance of rich-club phenomena in complex networks (2007)

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ)...

Endogenous and exogenous dynamics of pressure fluctuations in an impinging entrained-flow gasifier (2007)

We propose that the rich-club phenomena in complex networks should be defined in the spirit of bootstrapping, in which a null model is adopted to assess the statistical significance of the rich-club...

Niu, Miao-Ren, Liang, Qin-Feng, Zhou, Wei-Xing, Wang, Fu-Chen, Yu, Zun-Hong

This paper has been withdrawn by the authors due to a fatal error in the analysis. The manuscript was submitted to Chemical Engineering Science. To clarify the situation, we copy the main comment...

Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes (2007)

Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market (2007)

We analyze 27 house price indexes of Las Vegas from Jun. 1983 to Mar. 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real-estate bubble, defined as a price...

Jiang, Zhi-Qiang, Guo, Liang, Zhou, Wei-Xing

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation...

A case study of speculative financial bubbles in the South African stock market 2003-2006 (2007)

Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature (2006)

We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a...

Scale invariant multiplier and multifractality of absolute returns in stock markets (2006)

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)

The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be...

Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates (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...

Exploring self-similarity of complex cellular networks: The edge-covering method with simulated annealing and log-periodic sampling (2006)

We have recently introduced the ``thermal optimal path'' (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust...

Zhou, Wei-Xing, Jiang, Zhi-Qiang, Sornette, Didier

Song, Havlin and Makse (2005) have recently used a version of the box-counting method, called the node-covering method, to quantify the self-similar properties of 43 cellular networks: the minimal...

Statistical properties of daily ensemble variables in the Chinese stock markets (2006)

Inversion formula of multifractal energy dissipation in 3D fully developed turbulence (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...

Xu, Jian-Liang, Zhou, Wei-Xing, Liu, Hai-Feng, Gong, Xin, Wang, Fu-Cheng, Yu, Zun-Hong

The concept of inverse statistics in turbulence has attracted much attention in the recent years. It is argued that the scaling exponents of the direct structure functions and the inverse structure...

Is There a Real-Estate Bubble in the US? (2005)

Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction (2005)

We analyze the quarterly average sale prices of new houses sold in the USA as a whole, in the northeast, midwest, south, and west of the USA, in each of the 50 states and the District of Columbia of...

Process Flow Diagram of an Ammonia Plant as a Complex Network (2005)

We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational...

Jiang, Zhi-Qiang, Zhou, Wei-Xing, Xu, Bin, Yuan, Wei-Kang

Complex networks have attracted increasing interests in almost all disciplines of natural and social sciences. However, few efforts have been afforded in the field of chemical engineering. We present...

Self-fulfilling Ising Model of Financial Markets (2005)

Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets (2005)

We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained...

Sornette, Didier, Zhou, Wei-Xing

Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price...

Shape complexity and fractality of fracture surfaces of swelled isotactic polypropylene with supercritical carbon dioxide (2005)

Zhou, Wei-Xing, Li, Bin, Liu, Tao, Cao, Gui-Ping, Zhao, Ling, Yuan, Wei-Kang

We have investigated the fractal characteristics and shape complexity of the fracture surfaces of swelled isotactic polypropylene Y1600 in supercritical carbon dioxide fluid through the consideration...

Inverse statistics in stock markets: Universality and idiosyncracy (2004)

Zhou, Wei-Xing, Yuan, Wei-Kang

Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel...

Multifractality of Drop Breakup in Air-blast Nozzle Atomization Process (2004)

Zhou, Wei-Xing, Yu, Zun-Hong

The multifractal nature of drop breakup in air-blast nozzle atomization process has been studied. We apply the multiplier method to extract the negative and the positive parts of the f(alpha) curve...

Does randomness in multifractals imply latent dimensions? (2004)

Zhou, Wei-Xing, Yu, Zun-Hong

Negative, or latent, dimensions have always attracted a strong interest since their discovery. When randomness is introduced in multifractals, the sample-to-sample fluctuations of multifractal...

Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes (2002)

Generalized q-Analysis of Log-Periodicity: Applications to Critical Ruptures (2002)

We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong...

Statistical Significance of Periodicity and Log-Periodicity with Heavy-Tailed Correlated Noise (2001)

We introduce a generalization of the q-analysis, which provides a novel non-parametric tool for the description and detection of log-periodic structures associated with discrete scale invariance. We...

Evidence of Intermittent Cascades from Discrete Hierarchical Dissipation in Turbulence (2001)

We estimate the probability that random noise, of several plausible standard distributions, creates a false alarm that a periodicity (or log-periodicity) is found in a time series. We investigate...

On the properties of random multiplicative measures with the multipliers exponentially distributed (2000)

We present the results of a search of log-periodic corrections to scaling in the moments of the energy dissipation rate in experiments at high Reynolds number (2500) of three-dimensional fully...

Zhou, Wei-Xing, Yu, Zun-Hong

Under the formalism of annealed averaging of the partition function, a type of random multifractal measures with their multipliers satisfying exponentially distributed is investigated in detail....

Features arising from randomly multiplicative measures (2000)

Zhou, Wei-Xing, Liu, Hai-Feng, Yu, Zun-Hong

Under the formalism of annealed averaging of the partition function, two types of random multifractal measures with their probability of multipliers satisfying power distribution and triangular...

Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

Predictability of large future changes in major financial indices

Sornette, Didier, Zhou, Wei-Xing

Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path’ method

Didier Sornette, Wei-Xing Zhou

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag--lead structure between two arbitrary time series. The method consists of constructing a distance...

Is There a Real-Estate Bubble in the US?

Detrended fluctuation analysis of intertrade durations

We analyze the quarterly average sale prices of new houses sold in the USA as a whole, in the northeast, midwest, south, and west of the USA, in each of the 50 states and the District of Columbia of...

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 investigated based upon the...

Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction

Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates

We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational...

Multifractal analysis of Chinese stock volatilities based on partition function approach

We have recently introduced the ``thermal optimal path'' (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust...

Direct evidence for inversion formula in multifractal financial volatility measure

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. The partition...

A case study of speculative financial bubbles in the South African stock market 2003-2006

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 propose to verify...

On the probability distribution of stock returns in the Mike-Farmer model

We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a...

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 of order placement...

Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks

Xiao-Hui Ni, Wei-Xing Zhou

We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily...

Self-fulfilling Ising Model of Financial Markets

Multiscaling behavior in the volatility return intervals of Chinese indices

We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained...

Fei Ren, Wei-Xing Zhou

We investigate the probability distribution of the return intervals $\tau$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS)...

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 returns and the...

Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market

Zhi-Qiang Jiang, Liang Guo, Wei-Xing Zhou

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation...

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...

Scale invariant multiplier and multifractality of absolute returns in stock markets

Empirical distributions of Chinese stock returns at different microscopic timescales

The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be...

Statistical properties of daily ensemble variables in the Chinese stock markets

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...

Gao-Feng Gu, Wei-Xing Zhou

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...

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

Guo-Hua Mu, Wei Chen, J\'anos Kert\'esz, Wei-Xing Zhou

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 whole year 2003. We...

Multifractality in stock indexes: Fact or fiction?

The components of empirical multifractality in financial returns

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ)...

Wei-Xing Zhou

We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as...

Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets

Didier Sornette, Wei-Xing Zhou

Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price...

Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

Empirical regularities of order placement in the Chinese stock market

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...

Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes

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

We analyze 27 house price indexes of Las Vegas from Jun. 1983 to Mar. 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real-estate bubble, defined as a price...

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...

Inverse statistics in stock markets: Universality and idiosyncracy

Wei-Xing Zhou, Wei-Kang Yuan

Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel...

Universal price impact functions of individual trades in an order-driven market

Wei-Xing Zhou

The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific...

Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes

Long-term correlations and multifractal analysis of trading volumes for Chinese stocks

We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong...

Guo-Hua Mu, Wei Chen, J\'anos Kert\'esz, Wei-Xing Zhou

We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit...

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 Chinese stocks listed on...

Empirical shape function of limit-order books in the Chinese stock market