Details about Wei-Xing Zhou

Access statistics for papers by Wei-Xing Zhou.

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Short-id: pzh846

Working Papers

2022

1. Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
   Papers, arXiv.org View citations (2)

2020

2. Evolving efficiency and robustness of global oil trade networks
   Papers, arXiv.org View citations (1)
3. Information flow networks of Chinese stock market sectors
   Papers, arXiv.org View citations (3)
4. Information transfer between stock market sectors: A comparison between the USA and China
   Papers, arXiv.org View citations (4)
5. Predicting tail events in a RIA-EVT-Copula framework
   Papers, arXiv.org View citations (1)
6. Sector connectedness in the Chinese stock markets
   Papers, arXiv.org

2019

7. A global economic policy uncertainty index from principal component analysis
   Papers, arXiv.org
8. Comparative analysis of layered structures in empirical investor networks and cellphone communication networks
   Papers, arXiv.org
9. Cross-shareholding networks and stock price synchronicity: Evidence from China
   Papers, arXiv.org View citations (3)
10. Direct determination approach for the multifractal detrending moving average analysis
    Papers, arXiv.org

2018

11. Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
    Papers, arXiv.org
    See also Journal Article in Computational Economics (2017)
12. Modeling aggressive market order placements with Hawkes factor models
    Papers, arXiv.org
    See also Journal Article in PLOS ONE (2020)
13. Multifractal analysis of financial markets
    Papers, arXiv.org View citations (17)
14. Multifractal characteristics and return predictability in the Chinese stock markets
    Papers, arXiv.org View citations (1)
15. Multifractal cross wavelet analysis
    Papers, arXiv.org
16. 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 View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2014)
    See also Journal Article in Quantitative Finance (2017)
17. The cooling-off effect of price limits in the Chinese stock markets
    Papers, arXiv.org View citations (4)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
18. Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
    Papers, arXiv.org
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)

2017

19. An empirical behavioural order-driven model with price limit rules
    Papers, arXiv.org
20. Limit-order book resiliency after effective market orders: Spread, depth and intensity
    Papers, arXiv.org View citations (1)
21. Linear and nonlinear correlations in order aggressiveness of Chinese stocks
    Papers, arXiv.org View citations (3)
22. Power-law tails in the distribution of order imbalance
    Papers, arXiv.org View citations (3)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
23. Time series momentum and contrarian effects in the Chinese stock market
    Papers, arXiv.org View citations (14)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
24. Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
    Papers, arXiv.org View citations (12)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2016

25. Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
    Papers, arXiv.org
26. Joint multifractal analysis based on wavelet leaders
    Papers, arXiv.org View citations (4)
27. Market correlation structure changes around the Great Crash
    Papers, arXiv.org
28. Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks
    Papers, arXiv.org View citations (8)
29. Short term prediction of extreme returns based on the recurrence interval analysis
    Papers, arXiv.org
    See also Journal Article in Quantitative Finance (2018)
30. Taylor's Law of temporal fluctuation scaling in stock illiquidity
    Papers, arXiv.org View citations (1)
31. Time-varying return predictability in the Chinese stock market
    Papers, arXiv.org View citations (1)

2015

32. Club Convergence of House Prices: Evidence from China's Ten Key Cities
    Papers, arXiv.org View citations (12)
33. Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
    Papers, arXiv.org View citations (88)
34. Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
    Papers, arXiv.org
    See also Journal Article in Quantitative Finance (2016)
35. Effects of polynomial trends on detrending moving average analysis
    Papers, arXiv.org View citations (11)
36. Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
    Papers, arXiv.org View citations (36)
37. Profitability of contrarian strategies in the Chinese stock market
    Papers, arXiv.org View citations (20)
    See also Journal Article in PLOS ONE (2015)
38. Profitability of simple technical trading rules of Chinese stock exchange indexes
    Papers, arXiv.org View citations (12)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)
39. Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
    Papers, arXiv.org View citations (12)
    See also Journal Article in PLOS ONE (2015)
40. Testing the performance of technical trading rules in the Chinese market
    Papers, arXiv.org View citations (9)

2014

41. An agent-based computational model for China's stock market and stock index futures market
    Papers, arXiv.org View citations (1)
42. Correlation structure and principal components in global crude oil market
    Papers, arXiv.org
    See also Journal Article in Empirical Economics (2016)
43. Empirical properties of inter-cancellation durations in the Chinese stock market
    Papers, arXiv.org View citations (2)
44. Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
    Papers, arXiv.org View citations (3)
45. Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
    Papers, arXiv.org
46. Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
    Papers, arXiv.org View citations (3)
    See also Journal Article in Abstract and Applied Analysis (2014)

2013

47. Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
    Papers, arXiv.org View citations (20)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (4)
    Working Papers, ETH Zurich, Chair of Systems Design View citations (10)
48. Dynamic evolution of cross-correlations in the Chinese stock market
    Papers, arXiv.org
    See also Journal Article in PLOS ONE (2014)
49. Systemic risk and spatiotemporal dynamics of the US housing market
    Papers, arXiv.org View citations (1)
50. The position profiles of order cancellations in an emerging stock market
    Papers, arXiv.org View citations (3)
51. Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant
    Papers, arXiv.org
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)

2012

52. Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
    Papers, arXiv.org View citations (46)
53. Determinants of immediate price impacts at the trade level in an emerging order-driven market
    Papers, arXiv.org View citations (20)
54. Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
    Papers, arXiv.org View citations (22)
55. Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    Papers, arXiv.org View citations (1)
    See also Journal Article in Economic Modelling (2014)
56. Random matrix approach to the dynamics of stock inventory variations
    Papers, arXiv.org View citations (6)
57. Testing the weak-form efficiency of the WTI crude oil futures market
    Papers, arXiv.org View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
58. Trading networks, abnormal motifs and stock manipulation
    Papers, arXiv.org View citations (1)

2011

59. Analysis of trade packages in Chinese stock market
    Papers, arXiv.org View citations (2)
    See also Journal Article in Quantitative Finance (2013)
60. Evolution of worldwide stock markets, correlation structure and correlation based graphs
    Papers, arXiv.org View citations (127)
61. Investment strategies used as spectroscopy of financial markets reveal new stylized facts
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)
    See also Journal Article in PLOS ONE (2011)
62. Multifractal detrending moving average cross-correlation analysis
    Papers, arXiv.org View citations (161)
63. Strategies used as spectroscopy of financial markets reveal new stylized facts
    Papers, arXiv.org View citations (7)
    Also in Working Papers, ETH Zurich, Chair of Systems Design View citations (7)
64. The US stock market leads the Federal funds rate and Treasury bond yields
    Papers, arXiv.org View citations (22)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (20)
    See also Journal Article in PLOS ONE (2011)

2010

65. Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
    Papers, arXiv.org View citations (4)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
66. Complex stock trading network among investors
    Papers, arXiv.org View citations (39)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
67. Detrending moving average algorithm for multifractals
    Papers, arXiv.org View citations (162)
68. Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
    Papers, arXiv.org
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2011)
69. Nonuniversal distributions of stock returns in an emerging market
    Papers, arXiv.org View citations (2)
70. Order flow dynamics around extreme price changes on an emerging stock market
    Papers, arXiv.org View citations (18)
71. Recurrence interval analysis of trading volumes
    Papers, arXiv.org View citations (15)
72. The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document
    Papers, arXiv.org View citations (5)
73. The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
    Papers, arXiv.org View citations (6)

2009

74. Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
    Papers, arXiv.org View citations (34)
    Also in Working Papers, ETH Zurich, Chair of Systems Design View citations (30)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) View citations (33)
    See also Journal Article in Journal of Economic Behavior & Organization (2010)
75. Emergence of long memory in stock volatility from a modified Mike-Farmer model
    Papers, arXiv.org View citations (36)
76. Empirical regularities of opening call auction in Chinese stock market
    Papers, arXiv.org
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
77. Finite-size effect and the components of multifractality in financial volatility
    Papers, arXiv.org View citations (1)
78. Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
    Papers, arXiv.org
79. Modified detrended fluctuation analysis based on empirical mode decomposition
    Papers, arXiv.org View citations (2)
80. Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
    Papers, arXiv.org View citations (3)
81. Scaling and memory in the non-poisson process of limit order cancelation
    Papers, arXiv.org View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
82. Scaling and memory in the return intervals of realized volatility
    Papers, arXiv.org View citations (16)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
83. Superfamily classification of nonstationary time series based on DFA scaling exponents
    Papers, arXiv.org View citations (1)
84. The Chinese Equity Bubble: Ready to Burst
    Papers, arXiv.org View citations (9)
85. The components of empirical multifractality in financial returns
    Papers, arXiv.org View citations (77)
86. Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
    Papers, arXiv.org View citations (5)

2008

87. A case study of speculative financial bubbles in the South African stock market 2003-2006
    Papers, arXiv.org View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
88. Detrended fluctuation analysis of intertrade durations
    Papers, arXiv.org View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
89. Direct evidence for inversion formula in multifractal financial volatility measure
    Papers, arXiv.org
90. Empirical shape function of limit-order books in the Chinese stock market
    Papers, arXiv.org View citations (20)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
91. Multifractal analysis of Chinese stock volatilities based on partition function approach
    Papers, arXiv.org View citations (45)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
92. Multifractal detrended cross-correlation analysis for two nonstationary signals
    Papers, arXiv.org View citations (260)
93. Multiscaling behavior in the volatility return intervals of Chinese indices
    Papers, arXiv.org View citations (12)
94. On the probability distribution of stock returns in the Mike-Farmer model
    Papers, arXiv.org View citations (1)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2009)
95. Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
    Papers, arXiv.org
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2009)
96. Scaling in the distribution of intertrade durations of Chinese stocks
    Papers, arXiv.org View citations (25)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
97. Statistical properties of volatility return intervals of Chinese stocks
    Papers, arXiv.org
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)
98. The 2006-2008 Oil Bubble and Beyond
    Papers, arXiv.org View citations (2)
99. Universal price impact functions of individual trades in an order-driven market
    Papers, arXiv.org
    See also Journal Article in Quantitative Finance (2012)

2007

100. Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes
     Papers, arXiv.org View citations (1)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
101. Empirical distributions of Chinese stock returns at different microscopic timescales
     Papers, arXiv.org View citations (2)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
102. Empirical regularities of order placement in the Chinese stock market
     Papers, arXiv.org
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
103. Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
     Papers, arXiv.org View citations (8)
104. Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
     Papers, arXiv.org
105. Multifractality in stock indexes: Fact or fiction?
     Papers, arXiv.org
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
106. Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests
     Papers, arXiv.org
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
107. 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 View citations (23)
108. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
     Papers, arXiv.org
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)
109. Scale invariant multiplier and multifractality of absolute returns in stock markets
     Papers, arXiv.org View citations (2)

2006

110. 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
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
111. Statistical properties of daily ensemble variables in the Chinese stock markets
     Papers, arXiv.org View citations (1)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

2005

112. Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction
     Papers, arXiv.org View citations (14)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
113. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets
     Papers, arXiv.org
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
114. Is There a Real-Estate Bubble in the US?
     Papers, arXiv.org View citations (2)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
115. Self-fulfilling Ising Model of Financial Markets
     Papers, arXiv.org

2004

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

2003

121. 2000-2003 Real Estate Bubble in the UK but not in the USA
     Papers, arXiv.org View citations (47)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
122. Antibubble and Prediction of China's stock market and Real-Estate
     Papers, arXiv.org View citations (1)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
123. Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000
     Papers, arXiv.org View citations (1)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
124. 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 View citations (1)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
125. Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000
     Papers, arXiv.org View citations (18)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
126. Finite-Time Singularity Signature of Hyperinflation
     Papers, arXiv.org View citations (15)
     See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
127. 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 View citations (15)
128. The US 2000-2003 Market Descent: Clarifications
     Papers, arXiv.org View citations (3)
     See also Journal Article in Quantitative Finance (2003)

2002

129. Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes
     Papers, arXiv.org View citations (1)
     See also Journal Article in International Journal of Modern Physics C (IJMPC) (2003)
130. The US 2000-2002 Market Descent: How Much Longer and Deeper?
     Papers, arXiv.org View citations (41)
     See also Journal Article in Quantitative Finance (2002)

Journal Articles

2020

1. Modeling aggressive market order placements with Hawkes factor models
   PLOS ONE, 2020, 15, (1), 1-12
   See also Working Paper (2018)
2. News coverage and portfolio returns: Evidence from China
   Pacific-Basin Finance Journal, 2020, 60, (C) View citations (4)

2019

3. Comparing selection strategies for engineering research hotspots
   Physica A: Statistical Mechanics and its Applications, 2019, 534, (C)
4. Exponentially decayed double power-law distribution of Bitcoin trade sizes
   Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (1)
5. Order imbalances and market efficiency: New evidence from the Chinese stock market
   Emerging Markets Review, 2019, 38, (C), 458-467 View citations (7)
6. Structural properties of statistically validated empirical information networks
   Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 747-756 View citations (1)
7. Tail dependence networks of global stock markets
   International Journal of Finance & Economics, 2019, 24, (1), 558-567 View citations (26)
8. Visibility graph analysis of economy policy uncertainty indices
   Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) View citations (6)

2018

9. A weekly sentiment index and the cross-section of stock returns
   Finance Research Letters, 2018, 27, (C), 135-139 View citations (15)
10. Short term prediction of extreme returns based on the recurrence interval analysis
    Quantitative Finance, 2018, 18, (3), 353-370 View citations (9)
    See also Working Paper (2016)
11. The cooling-off effect of price limits in the Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 153-163 View citations (4)
    See also Working Paper (2018)

2017

12. Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns
    Computational Economics, 2017, 50, (4), 579-594 View citations (7)
    See also Working Paper (2018)
13. Power-law tails in the distribution of order imbalance
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 201-208 View citations (2)
    See also Working Paper (2017)
14. 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 View citations (15)
    See also Working Paper (2018)
15. Temporal and spatial correlation patterns of air pollutants in Chinese cities
    PLOS ONE, 2017, 12, (8), 1-24 View citations (3)
16. Time series momentum and contrarian effects in the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 309-318 View citations (14)
    See also Working Paper (2017)
17. 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 View citations (19)
    See also Working Paper (2018)
18. 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 View citations (14)
    See also Working Paper (2017)

2016

19. Correlation structure and principal components in the global crude oil market
    Empirical Economics, 2016, 51, (4), 1501-1519 View citations (24)
    See also Working Paper (2014)
20. Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
    Quantitative Finance, 2016, 16, (11), 1713-1724 View citations (5)
    See also Working Paper (2015)

2015

21. Profitability of Contrarian Strategies in the Chinese Stock Market
    PLOS ONE, 2015, 10, (9), 1-22 View citations (19)
    See also Working Paper (2015)
22. Profitability of simple technical trading rules of Chinese stock exchange indexes
    Physica A: Statistical Mechanics and its Applications, 2015, 439, (C), 75-84 View citations (12)
    See also Working Paper (2015)
23. Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets
    PLOS ONE, 2015, 10, (4), 1-20 View citations (11)
    See also Working Paper (2015)
24. 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 View citations (8)
25. 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 View citations (15)
    See also Working Paper (2013)

2014

26. Dynamic Evolution of Cross-Correlations in the Chinese Stock Market
    PLOS ONE, 2014, 9, (5), 1-15 View citations (14)
    See also Working Paper (2013)
27. Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    Economic Modelling, 2014, 36, (C), 8-17 View citations (18)
    See also Working Paper (2012)
28. Testing the weak-form efficiency of the WTI crude oil futures market
    Physica A: Statistical Mechanics and its Applications, 2014, 405, (C), 235-244 View citations (42)
    See also Working Paper (2012)
29. Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents
    Abstract and Applied Analysis, 2014, 2014, 1-11 View citations (2)
    See also Working Paper (2014)

2013

30. Analysis of trade packages in the Chinese stock market
    Quantitative Finance, 2013, 13, (7), 1071-1089 View citations (4)
    See also Working Paper (2011)
31. 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 View citations (23)

2012

32. Heterogeneity in initial resource configurations improves a network-based hybrid recommendation algorithm
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (22), 5704-5711 View citations (6)
33. Universal price impact functions of individual trades in an order-driven market
    Quantitative Finance, 2012, 12, (8), 1253-1263 View citations (39)
    See also Working Paper (2008)

2011

34. 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 View citations (15)
35. Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts
    PLOS ONE, 2011, 6, (9), 1-9 View citations (6)
    See also Working Paper (2011)
36. 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 View citations (22)
    See also Working Paper (2010)
37. 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 View citations (28)
38. The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields
    PLOS ONE, 2011, 6, (8), 1-9 View citations (19)
    See also Working Paper (2011)

2010

39. 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 View citations (4)
    See also Working Paper (2010)
40. 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 View citations (74)
    See also Working Paper (2009)
41. Complex stock trading network among investors
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4929-4941 View citations (39)
    See also Working Paper (2010)
42. Empirical regularities of opening call auction in Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (2), 278-286 View citations (9)
    See also Working Paper (2009)
43. On the growth of primary industry and population of China’s counties
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (18), 3876-3882 View citations (1)
44. Scaling and memory in the non-Poisson process of limit order cancelation
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (14), 2751-2761
    See also Working Paper (2009)
45. 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 View citations (1)
46. 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 View citations (20)

2009

47. 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 View citations (24)
    See also Working Paper (2008)
48. Detrended fluctuation analysis of intertrade durations
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (4), 433-440 View citations (22)
    See also Working Paper (2008)
49. Numerical investigations of discrete scale invariance in fractals and multifractal measures
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (13), 2623-2639 View citations (3)
50. 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 View citations (4)
    See also Working Paper (2008)
51. 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 View citations (24)
    See also Working Paper (2008)
52. 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 View citations (2)
53. Scaling and memory in the return intervals of realized volatility
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (22), 4787-4796 View citations (16)
    See also Working Paper (2009)
54. Statistical properties of volatility return intervals of Chinese stocks
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (6), 881-890 View citations (18)
    See also Working Paper (2008)
55. Statistical properties of world investment networks
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (12), 2450-2460 View citations (16)
56. The 2006–2008 oil bubble: Evidence of speculation, and prediction
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (8), 1571-1576 View citations (61)

2008

57. 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 View citations (32)
    See also Working Paper (2007)
58. Empirical distributions of Chinese stock returns at different microscopic timescales
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 495-502 View citations (51)
    See also Working Paper (2007)
59. Empirical regularities of order placement in the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (13), 3173-3182 View citations (12)
    See also Working Paper (2007)
60. Empirical shape function of limit-order books in the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5182-5188 View citations (20)
    See also Working Paper (2008)
61. Multifractal analysis of Chinese stock volatilities based on the partition function approach
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (19), 4881-4888 View citations (42)
    See also Working Paper (2008)
62. Multifractality in stock indexes: Fact or Fiction?
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (14), 3605-3614 View citations (50)
    See also Working Paper (2007)
63. 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 View citations (12)
    See also Working Paper (2007)
64. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5211-5218 View citations (9)
    See also Working Paper (2007)
65. Scaling in the distribution of intertrade durations of Chinese stocks
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (23), 5818-5825 View citations (24)
    See also Working Paper (2008)

2007

66. 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 View citations (9)
67. 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 View citations (12)
68. 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 View citations (23)
    See also Working Paper (2006)
69. 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 View citations (31)
70. Scale invariant distribution and multifractality of volatility multipliers in stock markets
    Physica A: Statistical Mechanics and its Applications, 2007, 381, (C), 343-350 View citations (33)
71. Self-organizing Ising model of financial markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 175-181 View citations (36)
72. Statistical properties of daily ensemble variables in the Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (2), 497-506 View citations (6)
    See also Working Paper (2006)

2006

73. 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 View citations (10)
    See also Working Paper (2005)
74. 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 View citations (37)
    See also Working Paper (2005)
75. Is there a real-estate bubble in the US?
    Physica A: Statistical Mechanics and its Applications, 2006, 361, (1), 297-308 View citations (70)
    See also Working Paper (2005)
76. 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 View citations (29)
77. Predictability of large future changes in major financial indices
    International Journal of Forecasting, 2006, 22, (1), 153-168 View citations (52)
    See also Working Paper (2004)

2005

78. Bubble, critical zone and the crash of Royal Ahold
    Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 529-560 View citations (6)
    See also Working Paper (2004)
79. Inverse statistics in stock markets: Universality and idiosyncracy
    Physica A: Statistical Mechanics and its Applications, 2005, 353, (C), 433-444 View citations (4)
    See also Working Paper (2004)
80. 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 View citations (30)
    See also Working Paper (2004)
81. Testing the stability of the 2000 US stock market “antibubble”
    Physica A: Statistical Mechanics and its Applications, 2005, 348, (C), 428-452 View citations (11)

2004

82. Antibubble and prediction of China's stock market and real-estate
    Physica A: Statistical Mechanics and its Applications, 2004, 337, (1), 243-268 View citations (30)
    See also Working Paper (2003)
83. 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 View citations (21)
    See also Working Paper (2003)
84. 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 View citations (22)
    See also Working Paper (2003)

2003

85. 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 View citations (27)
    See also Working Paper (2003)
86. 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 View citations (19)
    See also Working Paper (2003)
87. Finite-time singularity signature of hyperinflation
    Physica A: Statistical Mechanics and its Applications, 2003, 325, (3), 492-506 View citations (15)
    See also Working Paper (2003)
88. 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 View citations (7)
89. NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES
    International Journal of Modern Physics C (IJMPC), 2003, 14, (08), 1107-1125 View citations (9)
    See also Working Paper (2002)
90. 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 View citations (11)
91. The US 2000-2002 market descent: clarification
    Quantitative Finance, 2003, 3, (3), 39-41
    See also Working Paper (2003)

2002

92. STATISTICAL SIGNIFICANCE OF PERIODICITY AND LOG-PERIODICITY WITH HEAVY-TAILED CORRELATED NOISE
    International Journal of Modern Physics C (IJMPC), 2002, 13, (02), 137-169 View citations (19)
93. The US 2000-2002 market descent: How much longer and deeper?
    Quantitative Finance, 2002, 2, (6), 468-481 View citations (36)
    See also Working Paper (2002)

2001

94. On the properties of random multiplicative measures with the multipliers exponentially distributed
    Physica A: Statistical Mechanics and its Applications, 2001, 294, (3), 273-282 View citations (5)