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...
Qian, Meng-Cen, Jiang, Zhi-Qiang, Zhou, Wei-Xing
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles (2009)
Jiang, Zhi-Qiang, Zhou, Wei-Xing, Sornette, Didier, Woodard, Ryan, Bastiaensen, Ken, Cauwels, Peter
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of...
Jiang, Zhi-Qiang, Zhou, Wei-Xing, Tan, Qun-Zhao
Massive multiplayer online role-playing games (MMORPGs) are very popular in China, which provides a potential platform for scientific research. We study the online-offline activities of avatars in an...
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...
Liu, Chuang, Jiang, Zhi-Qiang, Ren, Fei, Zhou, Wei-Xing
We study the statistical properties of return intervals $r$ between successive energy dissipation rates above a certain threshold $Q$ in three-dimensional fully developed turbulence. We find that the...
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...
Statistical properties of world investment networks (2008)
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...
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...
Scaling in the distribution of intertrade durations of Chinese stocks (2008)
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...
Direct evidence for inversion formula in multifractal financial volatility measure (2008)
Jiang, Zhi-Qiang, Zhou, Wei-Xing
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...
Multifractal analysis of Chinese stock volatilities based on partition function approach (2008)
Jiang, Zhi-Qiang, Zhou, Wei-Xing
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...
Multifractality in stock indexes: Fact or fiction? (2007)
Jiang, Zhi-Qiang, Zhou, Wei-Xing
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)...
Statistical significance of rich-club phenomena in complex networks (2007)
Jiang, Zhi-Qiang, Zhou, Wei-Xing
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...
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...
Scale invariant multiplier and multifractality of absolute returns in stock markets (2006)
Jiang, Zhi-Qiang, Zhou, Wei-Xing
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...
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...
Process Flow Diagram of an Ammonia Plant as a Complex Network (2005)
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...
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 investigated based upon the...
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. The partition...
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 propose to verify...
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...
Scale invariant multiplier and multifractality of absolute returns in stock markets
Zhi-Qiang Jiang, Wei-Xing Zhou
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...
Multifractality in stock indexes: Fact or fiction?
Zhi-Qiang Jiang, Wei-Xing Zhou
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)...
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...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, Ken Bastiaensen, Peter Cauwels
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
Zhi-Qiang JIANG, Wei-Xing ZHOU, Didier SORNETTE, Ryan WOODARD, Ken BASTIAENSEN, Peter CAUWELS
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of...
Meng-Cen Qian, Zhi-Qiang Jiang, Wei-Xing Zhou
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one...
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...