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Details about Wei-Xing Zhou

Workplace:School of Business, East China University of Science and Technology, (more information at EDIRC)

Access statistics for papers by Wei-Xing Zhou.

Last updated 2019-10-04. Update your information in the RePEc Author Service.

Short-id: pzh846


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Working Papers

2019

  1. A global economic policy uncertainty index from principal component analysis
    Papers, arXiv.org Downloads
  2. Comparative analysis of layered structures in empirical investor networks and cellphone communication networks
    Papers, arXiv.org Downloads
  3. Cross-shareholding networks and stock price synchronicity: Evidence from China
    Papers, arXiv.org Downloads
  4. Direct determination approach for the multifractal detrending moving average analysis
    Papers, arXiv.org Downloads

2018

  1. Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
    Papers, arXiv.org Downloads
    See also Journal Article in Computational Economics (2017)
  2. Modeling aggressive market order placements with Hawkes factor models
    Papers, arXiv.org Downloads
  3. Multifractal analysis of financial markets
    Papers, arXiv.org Downloads View citations (7)
  4. Multifractal characteristics and return predictability in the Chinese stock markets
    Papers, arXiv.org Downloads
  5. Multifractal cross wavelet analysis
    Papers, arXiv.org Downloads
  6. Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies
    Papers, arXiv.org Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2014) Downloads

    See also Journal Article in Quantitative Finance (2017)
  7. The cooling-off effect of price limits in the Chinese stock markets
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  8. Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)

2017

  1. An empirical behavioural order-driven model with price limit rules
    Papers, arXiv.org Downloads
  2. Limit-order book resiliency after effective market orders: Spread, depth and intensity
    Papers, arXiv.org Downloads
  3. Linear and nonlinear correlations in order aggressiveness of Chinese stocks
    Papers, arXiv.org Downloads View citations (2)
  4. Power-law tails in the distribution of order imbalance
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
  5. Time series momentum and contrarian effects in the Chinese stock market
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
  6. Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2016

  1. Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
    Papers, arXiv.org Downloads
  2. Joint multifractal analysis based on wavelet leaders
    Papers, arXiv.org Downloads
  3. Market correlation structure changes around the Great Crash
    Papers, arXiv.org Downloads
  4. Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks
    Papers, arXiv.org Downloads View citations (6)
  5. Short term prediction of extreme returns based on the recurrence interval analysis
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2018)
  6. Taylor's Law of temporal fluctuation scaling in stock illiquidity
    Papers, arXiv.org Downloads
  7. Time-varying return predictability in the Chinese stock market
    Papers, arXiv.org Downloads

2015

  1. Club Convergence of House Prices: Evidence from China's Ten Key Cities
    Papers, arXiv.org Downloads View citations (4)
  2. Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
    Papers, arXiv.org Downloads View citations (60)
  3. Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2016)
  4. Effects of polynomial trends on detrending moving average analysis
    Papers, arXiv.org Downloads View citations (4)
  5. Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
    Papers, arXiv.org Downloads View citations (26)
  6. Profitability of contrarian strategies in the Chinese stock market
    Papers, arXiv.org Downloads View citations (13)
  7. Profitability of simple technical trading rules of Chinese stock exchange indexes
    Papers, arXiv.org Downloads View citations (7)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)
  8. Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
    Papers, arXiv.org Downloads View citations (7)
  9. Testing the performance of technical trading rules in the Chinese market
    Papers, arXiv.org Downloads View citations (4)

2014

  1. An agent-based computational model for China's stock market and stock index futures market
    Papers, arXiv.org Downloads View citations (1)
  2. Correlation structure and principal components in global crude oil market
    Papers, arXiv.org Downloads
    See also Journal Article in Empirical Economics (2016)
  3. Empirical properties of inter-cancellation durations in the Chinese stock market
    Papers, arXiv.org Downloads View citations (2)
  4. Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
    Papers, arXiv.org Downloads View citations (1)
  5. Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
    Papers, arXiv.org Downloads
  6. Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
    Papers, arXiv.org Downloads View citations (1)

2013

  1. Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
    Papers, arXiv.org Downloads View citations (12)
    Also in Working Papers, ETH Zurich, Chair of Systems Design Downloads
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) Downloads View citations (2)
  2. Dynamic evolution of cross-correlations in the Chinese stock market
    Papers, arXiv.org Downloads
  3. Systemic risk and spatiotemporal dynamics of the US housing market
    Papers, arXiv.org Downloads View citations (1)
  4. The position profiles of order cancellations in an emerging stock market
    Papers, arXiv.org Downloads View citations (2)
  5. Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)

2012

  1. Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
    Papers, arXiv.org Downloads View citations (25)
  2. Determinants of immediate price impacts at the trade level in an emerging order-driven market
    Papers, arXiv.org Downloads View citations (16)
  3. Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
    Papers, arXiv.org Downloads View citations (17)
  4. Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Economic Modelling (2014)
  5. Random matrix approach to the dynamics of stock inventory variations
    Papers, arXiv.org Downloads
  6. Testing the weak-form efficiency of the WTI crude oil futures market
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
  7. Trading networks, abnormal motifs and stock manipulation
    Papers, arXiv.org Downloads

2011

  1. Analysis of trade packages in Chinese stock market
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2013)
  2. Evolution of worldwide stock markets, correlation structure and correlation based graphs
    Papers, arXiv.org Downloads View citations (75)
  3. Investment strategies used as spectroscopy of financial markets reveal new stylized facts
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  4. Multifractal detrending moving average cross-correlation analysis
    Papers, arXiv.org Downloads View citations (112)
  5. Strategies used as spectroscopy of financial markets reveal new stylized facts
    Papers, arXiv.org Downloads View citations (1)
    Also in Working Papers, ETH Zurich, Chair of Systems Design Downloads
  6. The US stock market leads the Federal funds rate and Treasury bond yields
    Papers, arXiv.org Downloads View citations (16)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) Downloads View citations (2)

2010

  1. Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
  2. Complex stock trading network among investors
    Papers, arXiv.org Downloads View citations (27)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
  3. Detrending moving average algorithm for multifractals
    Papers, arXiv.org Downloads View citations (107)
  4. Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2011)
  5. Nonuniversal distributions of stock returns in an emerging market
    Papers, arXiv.org Downloads
  6. Order flow dynamics around extreme price changes on an emerging stock market
    Papers, arXiv.org Downloads View citations (11)
  7. Recurrence interval analysis of trading volumes
    Papers, arXiv.org Downloads View citations (13)
  8. The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document
    Papers, arXiv.org Downloads View citations (1)
  9. The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
    Papers, arXiv.org Downloads View citations (3)

2009

  1. Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers, ETH Zurich, Chair of Systems Design Downloads
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) Downloads

    See also Journal Article in Journal of Economic Behavior & Organization (2010)
  2. Emergence of long memory in stock volatility from a modified Mike-Farmer model
    Papers, arXiv.org Downloads View citations (28)
  3. Empirical regularities of opening call auction in Chinese stock market
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
  4. Finite-size effect and the components of multifractality in financial volatility
    Papers, arXiv.org Downloads View citations (1)
  5. Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
    Papers, arXiv.org Downloads
  6. Modified detrended fluctuation analysis based on empirical mode decomposition
    Papers, arXiv.org Downloads View citations (1)
  7. Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
    Papers, arXiv.org Downloads View citations (2)
  8. Scaling and memory in the non-poisson process of limit order cancelation
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
  9. Scaling and memory in the return intervals of realized volatility
    Papers, arXiv.org Downloads View citations (15)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
  10. Superfamily classification of nonstationary time series based on DFA scaling exponents
    Papers, arXiv.org Downloads View citations (1)
  11. The Chinese Equity Bubble: Ready to Burst
    Papers, arXiv.org Downloads View citations (6)
  12. The components of empirical multifractality in financial returns
    Papers, arXiv.org Downloads View citations (53)
  13. Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
    Papers, arXiv.org Downloads View citations (4)

2008

  1. A case study of speculative financial bubbles in the South African stock market 2003-2006
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
  2. Detrended fluctuation analysis of intertrade durations
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
  3. Direct evidence for inversion formula in multifractal financial volatility measure
    Papers, arXiv.org Downloads
  4. Empirical shape function of limit-order books in the Chinese stock market
    Papers, arXiv.org Downloads View citations (10)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  5. Multifractal analysis of Chinese stock volatilities based on partition function approach
    Papers, arXiv.org Downloads View citations (29)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  6. Multifractal detrended cross-correlation analysis for two nonstationary signals
    Papers, arXiv.org Downloads View citations (166)
  7. Multiscaling behavior in the volatility return intervals of Chinese indices
    Papers, arXiv.org Downloads View citations (10)
  8. On the probability distribution of stock returns in the Mike-Farmer model
    Papers, arXiv.org Downloads
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2009)
  9. Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
    Papers, arXiv.org Downloads
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2009)
  10. Scaling in the distribution of intertrade durations of Chinese stocks
    Papers, arXiv.org Downloads View citations (17)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  11. Statistical properties of volatility return intervals of Chinese stocks
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
  12. The 2006-2008 Oil Bubble and Beyond
    Papers, arXiv.org Downloads
  13. Universal price impact functions of individual trades in an order-driven market
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2012)

2007

  1. Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  2. Empirical distributions of Chinese stock returns at different microscopic timescales
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  3. Empirical regularities of order placement in the Chinese stock market
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  4. Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
    Papers, arXiv.org Downloads View citations (5)
  5. Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
    Papers, arXiv.org Downloads
  6. Multifractality in stock indexes: Fact or fiction?
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  7. Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  8. Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature
    Papers, arXiv.org Downloads View citations (20)
  9. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
  10. Scale invariant multiplier and multifractality of absolute returns in stock markets
    Papers, arXiv.org Downloads View citations (2)

2006

  1. Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  2. Statistical properties of daily ensemble variables in the Chinese stock markets
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

2005

  1. Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  2. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  3. Is There a Real-Estate Bubble in the US?
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  4. Self-fulfilling Ising Model of Financial Markets
    Papers, arXiv.org Downloads

2004

  1. Bubble, Critical Zone and the Crash of Royal Ahold
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2005)
  2. Inverse statistics in stock markets: Universality and idiosyncracy
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2005)
  3. Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2005)
  4. Predictability of large future changes in major financial indices
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in International Journal of Forecasting (2006)
  5. Testing the Stability of the 2000-2003 US Stock Market "Antibubble"
    Papers, arXiv.org Downloads

2003

  1. 2000-2003 Real Estate Bubble in the UK but not in the USA
    Papers, arXiv.org Downloads View citations (18)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
  2. Antibubble and Prediction of China's stock market and Real-Estate
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  3. Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  4. Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  5. Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000
    Papers, arXiv.org Downloads View citations (15)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
  6. Finite-Time Singularity Signature of Hyperinflation
    Papers, arXiv.org Downloads View citations (13)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
  7. Renormalization Group Analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction
    Papers, arXiv.org Downloads View citations (9)
  8. The US 2000-2003 Market Descent: Clarifications
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Quantitative Finance (2003)

2002

  1. Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in International Journal of Modern Physics C (IJMPC) (2003)
  2. The US 2000-2002 Market Descent: How Much Longer and Deeper?
    Papers, arXiv.org Downloads View citations (28)
    See also Journal Article in Quantitative Finance (2002)

Journal Articles

2019

  1. Order imbalances and market efficiency: New evidence from the Chinese stock market
    Emerging Markets Review, 2019, 38, (C), 458-467 Downloads
  2. Structural properties of statistically validated empirical information networks
    Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 747-756 Downloads
  3. Tail dependence networks of global stock markets
    International Journal of Finance & Economics, 2019, 24, (1), 558-567 Downloads View citations (1)

2018

  1. A weekly sentiment index and the cross-section of stock returns
    Finance Research Letters, 2018, 27, (C), 135-139 Downloads View citations (3)
  2. Short term prediction of extreme returns based on the recurrence interval analysis
    Quantitative Finance, 2018, 18, (3), 353-370 Downloads View citations (1)
    See also Working Paper (2016)
  3. The cooling-off effect of price limits in the Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 153-163 Downloads
    See also Working Paper (2018)

2017

  1. Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns
    Computational Economics, 2017, 50, (4), 579-594 Downloads View citations (6)
    See also Working Paper (2018)
  2. Power-law tails in the distribution of order imbalance
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 201-208 Downloads View citations (2)
    See also Working Paper (2017)
  3. Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies
    Quantitative Finance, 2017, 17, (6), 959-977 Downloads View citations (4)
    See also Working Paper (2018)
  4. Time series momentum and contrarian effects in the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 309-318 Downloads View citations (6)
    See also Working Paper (2017)
  5. Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
    Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 173-183 Downloads View citations (3)
    See also Working Paper (2018)
  6. Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2017, 486, (C), 397-407 Downloads View citations (6)
    See also Working Paper (2017)

2016

  1. Correlation structure and principal components in the global crude oil market
    Empirical Economics, 2016, 51, (4), 1501-1519 Downloads View citations (9)
    See also Working Paper (2014)
  2. Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
    Quantitative Finance, 2016, 16, (11), 1713-1724 Downloads View citations (2)
    See also Working Paper (2015)

2015

  1. Profitability of simple technical trading rules of Chinese stock exchange indexes
    Physica A: Statistical Mechanics and its Applications, 2015, 439, (C), 75-84 Downloads View citations (7)
    See also Working Paper (2015)
  2. Testing the performance of technical trading rules in the Chinese markets based on superior predictive test
    Physica A: Statistical Mechanics and its Applications, 2015, 439, (C), 114-123 Downloads View citations (6)
  3. Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
    Physica A: Statistical Mechanics and its Applications, 2015, 419, (C), 575-584 Downloads View citations (11)
    See also Working Paper (2013)

2014

  1. Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    Economic Modelling, 2014, 36, (C), 8-17 Downloads View citations (14)
    See also Working Paper (2012)
  2. Testing the weak-form efficiency of the WTI crude oil futures market
    Physica A: Statistical Mechanics and its Applications, 2014, 405, (C), 235-244 Downloads View citations (23)
    See also Working Paper (2012)

2013

  1. Analysis of trade packages in the Chinese stock market
    Quantitative Finance, 2013, 13, (7), 1071-1089 Downloads View citations (3)
    See also Working Paper (2011)
  2. Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (19), 4417-4428 Downloads View citations (17)

2012

  1. Heterogeneity in initial resource configurations improves a network-based hybrid recommendation algorithm
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (22), 5704-5711 Downloads View citations (5)
  2. Universal price impact functions of individual trades in an order-driven market
    Quantitative Finance, 2012, 12, (8), 1253-1263 Downloads View citations (27)
    See also Working Paper (2008)

2011

  1. Horizontal visibility graphs transformed from fractional Brownian motions: Topological properties versus the Hurst index
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (20), 3592-3601 Downloads View citations (7)
  2. Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (9), 1646-1654 Downloads View citations (13)
    See also Working Paper (2010)
  3. Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (23), 4388-4395 Downloads View citations (17)

2010

  1. Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (17), 3538-3545 Downloads View citations (4)
    See also Working Paper (2010)
  2. Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
    Journal of Economic Behavior & Organization, 2010, 74, (3), 149-162 Downloads View citations (58)
    See also Working Paper (2009)
  3. Complex stock trading network among investors
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4929-4941 Downloads View citations (27)
    See also Working Paper (2010)
  4. Empirical regularities of opening call auction in Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (2), 278-286 Downloads View citations (6)
    See also Working Paper (2009)
  5. On the growth of primary industry and population of China’s counties
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (18), 3876-3882 Downloads View citations (1)
  6. Scaling and memory in the non-Poisson process of limit order cancelation
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (14), 2751-2761 Downloads
    See also Working Paper (2009)
  7. Statistical properties of online avatar numbers in a massive multiplayer online role-playing game
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (4), 807-814 Downloads
  8. Statistical properties of visibility graph of energy dissipation rates in three-dimensional fully developed turbulence
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (13), 2675-2681 Downloads View citations (14)

2009

  1. A case study of speculative financial bubbles in the South African stock market 2003–2006
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (6), 869-880 Downloads View citations (19)
    See also Working Paper (2008)
  2. Detrended fluctuation analysis of intertrade durations
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (4), 433-440 Downloads View citations (18)
    See also Working Paper (2008)
  3. Numerical investigations of discrete scale invariance in fractals and multifractal measures
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (13), 2623-2639 Downloads View citations (3)
  4. On the probability distribution of stock returns in the Mike-Farmer model
    The European Physical Journal B: Condensed Matter and Complex Systems, 2009, 67, (4), 585-592 Downloads
    See also Working Paper (2008)
  5. Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market
    The European Physical Journal B: Condensed Matter and Complex Systems, 2009, 68, (1), 145-152 Downloads View citations (20)
    See also Working Paper (2008)
  6. R/S method for unevenly sampled time series: Application to detecting long-term temporal dependence of droplets transiting through a fixed spatial point in gas–liquid two-phase turbulent jets
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (17), 3345-3354 Downloads View citations (2)
  7. Scaling and memory in the return intervals of realized volatility
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (22), 4787-4796 Downloads View citations (15)
    See also Working Paper (2009)
  8. Statistical properties of volatility return intervals of Chinese stocks
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (6), 881-890 Downloads View citations (17)
    See also Working Paper (2008)
  9. Statistical properties of world investment networks
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (12), 2450-2460 Downloads View citations (13)
  10. The 2006–2008 oil bubble: Evidence of speculation, and prediction
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (8), 1571-1576 Downloads View citations (56)

2008

  1. Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (1), 243-260 Downloads View citations (13)
    See also Working Paper (2007)
  2. Empirical distributions of Chinese stock returns at different microscopic timescales
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 495-502 Downloads View citations (35)
    See also Working Paper (2007)
  3. Empirical regularities of order placement in the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (13), 3173-3182 Downloads View citations (7)
    See also Working Paper (2007)
  4. Empirical shape function of limit-order books in the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5182-5188 Downloads View citations (10)
    See also Working Paper (2008)
  5. Multifractal analysis of Chinese stock volatilities based on the partition function approach
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (19), 4881-4888 Downloads View citations (32)
    See also Working Paper (2008)
  6. Multifractality in stock indexes: Fact or Fiction?
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (14), 3605-3614 Downloads View citations (38)
    See also Working Paper (2007)
  7. Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 503-510 Downloads View citations (5)
    See also Working Paper (2007)
  8. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5211-5218 Downloads View citations (7)
    See also Working Paper (2007)
  9. Scaling in the distribution of intertrade durations of Chinese stocks
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (23), 5818-5825 Downloads View citations (17)
    See also Working Paper (2008)

2007

  1. Endogenous and exogenous dynamics in the fluctuations of capital fluxes
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 57, (3), 347-355 Downloads View citations (2)
  2. Exploring self-similarity of complex cellular networks: The edge-covering method with simulated annealing and log-periodic sampling
    Physica A: Statistical Mechanics and its Applications, 2007, 375, (2), 741-752 Downloads View citations (8)
  3. Lead-lag cross-sectional structure and detection of correlated–anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates
    Physica A: Statistical Mechanics and its Applications, 2007, 380, (C), 287-296 Downloads View citations (13)
    See also Working Paper (2006)
  4. Quantifying bid-ask spreads in the Chinese stock market using limit-order book data
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 57, (1), 81-87 Downloads View citations (8)
  5. Scale invariant distribution and multifractality of volatility multipliers in stock markets
    Physica A: Statistical Mechanics and its Applications, 2007, 381, (C), 343-350 Downloads View citations (29)
  6. Self-organizing Ising model of financial markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 175-181 Downloads View citations (19)
  7. Statistical properties of daily ensemble variables in the Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (2), 497-506 Downloads View citations (4)
    See also Working Paper (2006)

2006

  1. Fundamental factors versus herding in the 2000–2005 US stock market and prediction
    Physica A: Statistical Mechanics and its Applications, 2006, 360, (2), 459-482 Downloads View citations (7)
    See also Working Paper (2005)
  2. Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (2), 704-726 Downloads View citations (19)
    See also Working Paper (2005)
  3. Is there a real-estate bubble in the US?
    Physica A: Statistical Mechanics and its Applications, 2006, 361, (1), 297-308 Downloads View citations (37)
    See also Working Paper (2005)
  4. Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data
    Journal of Macroeconomics, 2006, 28, (1), 195-224 Downloads View citations (15)
  5. Predictability of large future changes in major financial indices
    International Journal of Forecasting, 2006, 22, (1), 153-168 Downloads View citations (39)
    See also Working Paper (2004)

2005

  1. Bubble, critical zone and the crash of Royal Ahold
    Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 529-560 Downloads View citations (5)
    See also Working Paper (2004)
  2. Inverse statistics in stock markets: Universality and idiosyncracy
    Physica A: Statistical Mechanics and its Applications, 2005, 353, (C), 433-444 Downloads View citations (3)
    See also Working Paper (2004)
  3. Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method
    Quantitative Finance, 2005, 5, (6), 577-591 Downloads View citations (17)
    See also Working Paper (2004)
  4. Testing the stability of the 2000 US stock market “antibubble”
    Physica A: Statistical Mechanics and its Applications, 2005, 348, (C), 428-452 Downloads View citations (11)

2004

  1. Antibubble and prediction of China's stock market and real-estate
    Physica A: Statistical Mechanics and its Applications, 2004, 337, (1), 243-268 Downloads View citations (27)
    See also Working Paper (2003)
  2. Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000
    Physica A: Statistical Mechanics and its Applications, 2004, 337, (3), 586-608 Downloads View citations (9)
    See also Working Paper (2003)
  3. Evidence of fueling of the 2000 new economy bubble by foreign capital inflow: implications for the future of the US economy and its stock market
    Physica A: Statistical Mechanics and its Applications, 2004, 332, (C), 412-440 Downloads View citations (15)
    See also Working Paper (2003)

2003

  1. 2000–2003 real estate bubble in the UK but not in the USA
    Physica A: Statistical Mechanics and its Applications, 2003, 329, (1), 249-263 Downloads View citations (24)
    See also Working Paper (2003)
  2. Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000
    Physica A: Statistical Mechanics and its Applications, 2003, 330, (3), 543-583 Downloads View citations (15)
    See also Working Paper (2003)
  3. Finite-time singularity signature of hyperinflation
    Physica A: Statistical Mechanics and its Applications, 2003, 325, (3), 492-506 Downloads View citations (13)
    See also Working Paper (2003)
  4. NEW EVIDENCE OF DISCRETE SCALE INVARIANCE IN THE ENERGY DISSIPATION OF THREE-DIMENSIONAL TURBULENCE: CORRELATION APPROACH AND DIRECT SPECTRAL DETECTION
    International Journal of Modern Physics C (IJMPC), 2003, 14, (04), 459-470 Downloads
  5. NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES
    International Journal of Modern Physics C (IJMPC), 2003, 14, (08), 1107-1125 Downloads View citations (2)
    See also Working Paper (2002)
  6. Renormalization group analysis of the 2000–2002 anti-bubble in the US S&P500 index: explanation of the hierarchy of five crashes and prediction
    Physica A: Statistical Mechanics and its Applications, 2003, 330, (3), 584-604 Downloads View citations (9)
  7. The US 2000-2002 market descent: clarification
    Quantitative Finance, 2003, 3, (3), 39-41 Downloads
    See also Working Paper (2003)

2002

  1. STATISTICAL SIGNIFICANCE OF PERIODICITY AND LOG-PERIODICITY WITH HEAVY-TAILED CORRELATED NOISE
    International Journal of Modern Physics C (IJMPC), 2002, 13, (02), 137-169 Downloads View citations (1)
  2. The US 2000-2002 market descent: How much longer and deeper?
    Quantitative Finance, 2002, 2, (6), 468-481 Downloads View citations (26)
    See also Working Paper (2002)

2001

  1. On the properties of random multiplicative measures with the multipliers exponentially distributed
    Physica A: Statistical Mechanics and its Applications, 2001, 294, (3), 273-282 Downloads View citations (4)
 
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