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...
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...
Ni, Xiao-Hui, Jiang, Zhi-Qiang, Zhou, Wei-Xing
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 investigate the visibility...
Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks (2007)
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...
Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
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...
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...
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...