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 2025-05-16. Update your information in the RePEc Author Service.

Short-id: pzh846

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Working Papers

2025

1. Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets
   Papers, arXiv.org
2. Multiscale risk spillovers and external driving factors: Evidence from the global futures and spot markets of staple foods
   Papers, arXiv.org
3. Spillover effects between climate policy uncertainty, energy markets, and food markets: A time-frequency analysis
   Papers, arXiv.org
4. Structural robustness of the international food supply network under external shocks and its determinants
   Papers, arXiv.org
5. The impact of climate policy uncertainty on financial market resilience: Evidence from China
   Papers, arXiv.org
6. The impact of external uncertainties on the extreme return connectedness between food, fossil energy, and clean energy markets
   Papers, arXiv.org

2024

7. Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change
   Papers, arXiv.org
   See also Journal Article Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change, Finance Research Letters, Elsevier (2025) (2025)
8. Joint multifractality in the cross-correlations between grains \& oilseeds indices and external uncertainties
   Papers, arXiv.org
   See also Journal Article Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties, Financial Innovation, Springer (2025) (2025)
9. Quantile connectedness across BRICS and international grain futures markets: Insights from the Russia-Ukraine conflict
   Papers, arXiv.org
10. Resilience of international oil trade networks under extreme event shock-recovery simulations
    Papers, arXiv.org
    See also Journal Article Resilience of international oil trade networks under extreme event shock-recovery simulations, Energy, Elsevier (2025) (2025)
11. Risk spillovers between the BRICS and the U.S. staple grain futures markets
    Papers, arXiv.org
    See also Journal Article Risk spillovers between the BRICS and the U.S. staple grain futures markets, Finance Research Letters, Elsevier (2025) (2025)
12. The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model
    Papers, arXiv.org
13. Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets
    Papers, arXiv.org View citations (3)
14. Visibility graph analysis of the grains and oilseeds indices
    Papers, arXiv.org View citations (2)
    See also Journal Article Visibility graph analysis of the grains and oilseeds indices, Physica A: Statistical Mechanics and its Applications, Elsevier (2024) View citations (1) (2024)

2023

15. Correlation structure analysis of the global agricultural futures market
    Papers, arXiv.org
    See also Journal Article Correlation structure analysis of the global agricultural futures market, Research in International Business and Finance, Elsevier (2022) View citations (2) (2022)
16. Impact of shocks to economies on the efficiency and robustness of the international pesticide trade networks
    Papers, arXiv.org
    See also Journal Article Impact of shocks to economies on the efficiency and robustness of the international pesticide trade networks, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2023) (2023)
17. Reconstruction of international energy trade networks with given marginal data: A comparative analysis
    Post-Print, HAL View citations (2)
    See also Journal Article Reconstruction of international energy trade networks with given marginal data: A comparative analysis, Chaos, Solitons & Fractals, Elsevier (2023) View citations (6) (2023)
18. Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
    Papers, arXiv.org View citations (7)
    See also Journal Article Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2023) View citations (6) (2023)
19. Testing for intrinsic multifractality in the global grain spot market indices: A multifractal detrended fluctuation analysis
    Papers, arXiv.org View citations (4)
    See also Journal Article TESTING FOR INTRINSIC MULTIFRACTALITY IN THE GLOBAL GRAIN SPOT MARKET INDICES: A MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS, FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd. (2023) View citations (4) (2023)
20. The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
    Papers, arXiv.org
    See also Journal Article The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots, Journal of Economic Behavior & Organization, Elsevier (2024) View citations (7) (2024)

2022

21. Hierarchical contagions in the interdependent financial network
    Papers, arXiv.org View citations (8)
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2021)
    MPRA Paper, University Library of Munich, Germany (2021)
    See also Journal Article Hierarchical contagions in the interdependent financial network, Journal of Financial Stability, Elsevier (2022) View citations (3) (2022)
22. 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)
    See also Journal Article Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market, The North American Journal of Economics and Finance, Elsevier (2021) View citations (1) (2021)
23. How does economic policy uncertainty comove with stock markets: New evidence from symmetric thermal optimal path method
    Papers, arXiv.org View citations (3)
    See also Journal Article How does economic policy uncertainty comove with stock markets: New evidence from symmetric thermal optimal path method, Physica A: Statistical Mechanics and its Applications, Elsevier (2022) View citations (2) (2022)
24. Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
    Post-Print, HAL
    See also Journal Article Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework, Empirical Economics, Springer (2023) (2023)

2020

25. Evolving efficiency and robustness of global oil trade networks
    Papers, arXiv.org View citations (1)
26. Information flow networks of Chinese stock market sectors
    Papers, arXiv.org View citations (6)
27. Information transfer between stock market sectors: A comparison between the USA and China
    Papers, arXiv.org View citations (9)
28. Predicting tail events in a RIA-EVT-Copula framework
    Papers, arXiv.org View citations (1)
    See also Journal Article Predicting tail events in a RIA-EVT-Copula framework, Physica A: Statistical Mechanics and its Applications, Elsevier (2022) (2022)
29. Sector connectedness in the Chinese stock markets
    Papers, arXiv.org
    See also Journal Article Sector connectedness in the Chinese stock markets, Empirical Economics, Springer (2022) View citations (12) (2022)
30. The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
    Papers, arXiv.org View citations (1)
    See also Journal Article The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model, Resources Policy, Elsevier (2022) View citations (10) (2022)
31. Visibility graph analysis of economy policy uncertainty indices
    Papers, arXiv.org
    See also Journal Article Visibility graph analysis of economy policy uncertainty indices, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (13) (2019)

2019

32. A global economic policy uncertainty index from principal component analysis
    Papers, arXiv.org
    See also Journal Article A global economic policy uncertainty index from principal component analysis, Finance Research Letters, Elsevier (2021) View citations (17) (2021)
33. Comparative analysis of layered structures in empirical investor networks and cellphone communication networks
    Papers, arXiv.org
34. Cross-shareholding networks and stock price synchronicity: Evidence from China
    Papers, arXiv.org View citations (3)
35. Direct determination approach for the multifractal detrending moving average analysis
    Papers, arXiv.org

2018

36. Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
    Papers, arXiv.org
    See also Journal Article Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns, Computational Economics, Springer (2017) View citations (9) (2017)
37. Modeling aggressive market order placements with Hawkes factor models
    Papers, arXiv.org
    See also Journal Article Modeling aggressive market order placements with Hawkes factor models, PLOS ONE, Public Library of Science (2020) (2020)
38. Multifractal analysis of financial markets
    Papers, arXiv.org View citations (19)
39. Multifractal characteristics and return predictability in the Chinese stock markets
    Papers, arXiv.org View citations (1)
40. Multifractal cross wavelet analysis
    Papers, arXiv.org
41. 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 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, Taylor & Francis Journals (2017) View citations (15) (2017)
42. The cooling-off effect of price limits in the Chinese stock markets
    Papers, arXiv.org View citations (5)
    See also Journal Article The cooling-off effect of price limits in the Chinese stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (5) (2018)
43. Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
    Papers, arXiv.org
    See also Journal Article Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (24) (2017)

2017

44. An empirical behavioural order-driven model with price limit rules
    Papers, arXiv.org
    See also Journal Article An empirical behavioral order-driven model with price limit rules, Financial Innovation, Springer (2021) (2021)
45. Limit-order book resiliency after effective market orders: Spread, depth and intensity
    Papers, arXiv.org View citations (1)
46. Linear and nonlinear correlations in order aggressiveness of Chinese stocks
    Papers, arXiv.org View citations (5)
47. Power-law tails in the distribution of order imbalance
    Papers, arXiv.org View citations (3)
    See also Journal Article Power-law tails in the distribution of order imbalance, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (2) (2017)
48. Time series momentum and contrarian effects in the Chinese stock market
    Papers, arXiv.org View citations (19)
    See also Journal Article Time series momentum and contrarian effects in the Chinese stock market, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (19) (2017)
49. Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
    Papers, arXiv.org View citations (14)
    See also Journal Article Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (16) (2017)

2016

50. Immediate price impact of a stock and its warrant: Power-law or logarithmic model?
    Papers, arXiv.org
51. Joint multifractal analysis based on wavelet leaders
    Papers, arXiv.org View citations (4)
52. Market correlation structure changes around the Great Crash
    Papers, arXiv.org
53. Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks
    Papers, arXiv.org View citations (8)
54. Short term prediction of extreme returns based on the recurrence interval analysis
    Papers, arXiv.org
    See also Journal Article Short term prediction of extreme returns based on the recurrence interval analysis, Quantitative Finance, Taylor & Francis Journals (2018) View citations (10) (2018)
55. Taylor's Law of temporal fluctuation scaling in stock illiquidity
    Papers, arXiv.org View citations (1)
56. Time-varying return predictability in the Chinese stock market
    Papers, arXiv.org View citations (1)

2015

57. Club Convergence of House Prices: Evidence from China's Ten Key Cities
    Papers, arXiv.org View citations (14)
58. Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
    Papers, arXiv.org View citations (94)
59. Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
    Papers, arXiv.org
    See also Journal Article Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets, Quantitative Finance, Taylor & Francis Journals (2016) View citations (5) (2016)
60. Effects of polynomial trends on detrending moving average analysis
    Papers, arXiv.org View citations (13)
61. Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
    Papers, arXiv.org View citations (38)
62. Profitability of contrarian strategies in the Chinese stock market
    Papers, arXiv.org View citations (21)
    See also Journal Article Profitability of Contrarian Strategies in the Chinese Stock Market, PLOS ONE, Public Library of Science (2015) View citations (21) (2015)
63. Profitability of simple technical trading rules of Chinese stock exchange indexes
    Papers, arXiv.org View citations (13)
    See also Journal Article Profitability of simple technical trading rules of Chinese stock exchange indexes, Physica A: Statistical Mechanics and its Applications, Elsevier (2015) View citations (14) (2015)
64. Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
    Papers, arXiv.org View citations (13)
    See also Journal Article Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets, PLOS ONE, Public Library of Science (2015) View citations (12) (2015)
65. Testing the performance of technical trading rules in the Chinese market
    Papers, arXiv.org View citations (9)

2014

66. An agent-based computational model for China's stock market and stock index futures market
    Papers, arXiv.org View citations (1)
    See also Journal Article An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market, Mathematical Problems in Engineering, Hindawi (2014) (2014)
67. Correlation structure and principal components in global crude oil market
    Papers, arXiv.org
    See also Journal Article Correlation structure and principal components in the global crude oil market, Empirical Economics, Springer (2016) View citations (28) (2016)
68. Empirical properties of inter-cancellation durations in the Chinese stock market
    Papers, arXiv.org View citations (2)
69. Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks
    Papers, arXiv.org View citations (3)
70. Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
    Papers, arXiv.org
71. Wealth share analysis with "fundamentalist/chartist" heterogeneous agents
    Papers, arXiv.org View citations (3)
    See also Journal Article Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents, Abstract and Applied Analysis, Hindawi (2014) View citations (2) (2014)

2013

72. Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
    Papers, arXiv.org View citations (20)
    Also in Working Papers, ETH Zurich, Chair of Systems Design View citations (10)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (4)
73. Dynamic evolution of cross-correlations in the Chinese stock market
    Papers, arXiv.org
    See also Journal Article Dynamic Evolution of Cross-Correlations in the Chinese Stock Market, PLOS ONE, Public Library of Science (2014) View citations (15) (2014)
74. Systemic risk and spatiotemporal dynamics of the US housing market
    Papers, arXiv.org View citations (1)
75. The position profiles of order cancellations in an emerging stock market
    Papers, arXiv.org View citations (3)
76. 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 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, Elsevier (2015) View citations (18) (2015)

2012

77. Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
    Papers, arXiv.org View citations (49)
78. Determinants of immediate price impacts at the trade level in an emerging order-driven market
    Papers, arXiv.org View citations (20)
79. Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
    Papers, arXiv.org View citations (24)
80. Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    Papers, arXiv.org View citations (1)
    See also Journal Article Extreme value statistics and recurrence intervals of NYMEX energy futures volatility, Economic Modelling, Elsevier (2014) View citations (19) (2014)
81. Random matrix approach to the dynamics of stock inventory variations
    Papers, arXiv.org View citations (6)
82. Testing the weak-form efficiency of the WTI crude oil futures market
    Papers, arXiv.org View citations (1)
    See also Journal Article Testing the weak-form efficiency of the WTI crude oil futures market, Physica A: Statistical Mechanics and its Applications, Elsevier (2014) View citations (48) (2014)
83. Trading networks, abnormal motifs and stock manipulation
    Papers, arXiv.org View citations (1)

2011

84. Analysis of trade packages in Chinese stock market
    Papers, arXiv.org View citations (2)
    See also Journal Article Analysis of trade packages in the Chinese stock market, Quantitative Finance, Taylor & Francis Journals (2013) View citations (4) (2013)
85. Evolution of worldwide stock markets, correlation structure and correlation based graphs
    Papers, arXiv.org View citations (130)
86. 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 Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts, PLOS ONE, Public Library of Science (2011) View citations (6) (2011)
87. Multifractal detrending moving average cross-correlation analysis
    Papers, arXiv.org View citations (172)
88. 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)
89. The US stock market leads the Federal funds rate and Treasury bond yields
    Papers, arXiv.org View citations (23)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (21)
    See also Journal Article The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields, PLOS ONE, Public Library of Science (2011) View citations (20) (2011)

2010

90. Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
    Papers, arXiv.org View citations (5)
    See also Journal Article 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, Elsevier (2010) View citations (5) (2010)
91. Complex stock trading network among investors
    Papers, arXiv.org View citations (41)
    See also Journal Article Complex stock trading network among investors, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) View citations (42) (2010)
92. Detrending moving average algorithm for multifractals
    Papers, arXiv.org View citations (175)
93. 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 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, Elsevier (2011) View citations (24) (2011)
94. Nonuniversal distributions of stock returns in an emerging market
    Papers, arXiv.org View citations (2)
95. Order flow dynamics around extreme price changes on an emerging stock market
    Papers, arXiv.org View citations (18)
96. Recurrence interval analysis of trading volumes
    Papers, arXiv.org View citations (15)
97. The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document
    Papers, arXiv.org View citations (5)
98. The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations
    Papers, arXiv.org View citations (6)

2009

99. 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 (35)
    See also Journal Article Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles, Journal of Economic Behavior & Organization, Elsevier (2010) View citations (108) (2010)
100. Emergence of long memory in stock volatility from a modified Mike-Farmer model
     Papers, arXiv.org View citations (44)
101. Empirical regularities of opening call auction in Chinese stock market
     Papers, arXiv.org
     See also Journal Article Empirical regularities of opening call auction in Chinese stock market, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) View citations (9) (2010)
102. Finite-size effect and the components of multifractality in financial volatility
     Papers, arXiv.org View citations (1)
     See also Journal Article Finite-size effect and the components of multifractality in financial volatility, Chaos, Solitons & Fractals, Elsevier (2012) View citations (66) (2012)
103. Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
     Papers, arXiv.org
104. Modified detrended fluctuation analysis based on empirical mode decomposition
     Papers, arXiv.org View citations (2)
105. Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
     Papers, arXiv.org View citations (3)
106. Scaling and memory in the non-poisson process of limit order cancelation
     Papers, arXiv.org View citations (1)
     See also Journal Article Scaling and memory in the non-Poisson process of limit order cancelation, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) (2010)
107. Scaling and memory in the return intervals of realized volatility
     Papers, arXiv.org View citations (16)
     See also Journal Article Scaling and memory in the return intervals of realized volatility, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) View citations (16) (2009)
108. Superfamily classification of nonstationary time series based on DFA scaling exponents
     Papers, arXiv.org View citations (1)
109. The Chinese Equity Bubble: Ready to Burst
     Papers, arXiv.org View citations (9)
110. The components of empirical multifractality in financial returns
     Papers, arXiv.org View citations (90)
111. Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
     Papers, arXiv.org View citations (5)

2008

112. 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 A case study of speculative financial bubbles in the South African stock market 2003–2006, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) View citations (34) (2009)
113. Detrended fluctuation analysis of intertrade durations
     Papers, arXiv.org View citations (1)
     See also Journal Article Detrended fluctuation analysis of intertrade durations, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) View citations (24) (2009)
114. Direct evidence for inversion formula in multifractal financial volatility measure
     Papers, arXiv.org
115. Empirical shape function of limit-order books in the Chinese stock market
     Papers, arXiv.org View citations (20)
     See also Journal Article Empirical shape function of limit-order books in the Chinese stock market, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (20) (2008)
116. Multifractal analysis of Chinese stock volatilities based on partition function approach
     Papers, arXiv.org View citations (48)
     See also Journal Article Multifractal analysis of Chinese stock volatilities based on the partition function approach, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (47) (2008)
117. Multifractal detrended cross-correlation analysis for two nonstationary signals
     Papers, arXiv.org View citations (289)
118. Multiscaling behavior in the volatility return intervals of Chinese indices
     Papers, arXiv.org View citations (13)
119. On the probability distribution of stock returns in the Mike-Farmer model
     Papers, arXiv.org View citations (1)
     See also Journal Article On the probability distribution of stock returns in the Mike-Farmer model, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2009) View citations (7) (2009)
120. Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market
     Papers, arXiv.org
     See also Journal Article 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, Springer (2009) View citations (25) (2009)
121. Scaling in the distribution of intertrade durations of Chinese stocks
     Papers, arXiv.org View citations (27)
     See also Journal Article Scaling in the distribution of intertrade durations of Chinese stocks, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (27) (2008)
122. Statistical properties of volatility return intervals of Chinese stocks
     Papers, arXiv.org
     See also Journal Article Statistical properties of volatility return intervals of Chinese stocks, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) View citations (18) (2009)
123. The 2006-2008 Oil Bubble and Beyond
     Papers, arXiv.org View citations (2)
124. Universal price impact functions of individual trades in an order-driven market
     Papers, arXiv.org
     See also Journal Article Universal price impact functions of individual trades in an order-driven market, Quantitative Finance, Taylor & Francis Journals (2012) View citations (39) (2012)

2007

125. Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes
     Papers, arXiv.org View citations (2)
     See also Journal Article 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, Elsevier (2008) View citations (34) (2008)
126. Empirical distributions of Chinese stock returns at different microscopic timescales
     Papers, arXiv.org View citations (2)
     See also Journal Article Empirical distributions of Chinese stock returns at different microscopic timescales, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (52) (2008)
127. Empirical regularities of order placement in the Chinese stock market
     Papers, arXiv.org
     See also Journal Article Empirical regularities of order placement in the Chinese stock market, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (12) (2008)
128. Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
     Papers, arXiv.org View citations (9)
129. Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
     Papers, arXiv.org
130. Multifractality in stock indexes: Fact or fiction?
     Papers, arXiv.org
     See also Journal Article Multifractality in stock indexes: Fact or Fiction?, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (53) (2008)
131. Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests
     Papers, arXiv.org
     See also Journal Article Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (12) (2008)
132. 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)
133. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
     Papers, arXiv.org
     See also Journal Article Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (11) (2008)
134. Scale invariant multiplier and multifractality of absolute returns in stock markets
     Papers, arXiv.org View citations (2)

2006

135. 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 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, Elsevier (2007) View citations (23) (2007)
136. Statistical properties of daily ensemble variables in the Chinese stock markets
     Papers, arXiv.org View citations (1)
     See also Journal Article Statistical properties of daily ensemble variables in the Chinese stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (6) (2007)

2005

137. Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction
     Papers, arXiv.org View citations (14)
     See also Journal Article Fundamental factors versus herding in the 2000–2005 US stock market and prediction, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (11) (2006)
138. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets
     Papers, arXiv.org
     See also Journal Article Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (39) (2006)
139. Is There a Real-Estate Bubble in the US?
     Papers, arXiv.org View citations (2)
     See also Journal Article Is there a real-estate bubble in the US?, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (76) (2006)
140. Self-fulfilling Ising Model of Financial Markets
     Papers, arXiv.org

2004

141. Bubble, Critical Zone and the Crash of Royal Ahold
     Papers, arXiv.org
     See also Journal Article Bubble, critical zone and the crash of Royal Ahold, Physica A: Statistical Mechanics and its Applications, Elsevier (2005) View citations (6) (2005)
142. Inverse statistics in stock markets: Universality and idiosyncracy
     Papers, arXiv.org
     See also Journal Article Inverse statistics in stock markets: Universality and idiosyncracy, Physica A: Statistical Mechanics and its Applications, Elsevier (2005) View citations (4) (2005)
143. 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 Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method, Quantitative Finance, Taylor & Francis Journals (2005) View citations (35) (2005)
144. Predictability of large future changes in major financial indices
     Papers, arXiv.org View citations (3)
     See also Journal Article Predictability of large future changes in major financial indices, International Journal of Forecasting, Elsevier (2006) View citations (53) (2006)
145. Testing the Stability of the 2000-2003 US Stock Market "Antibubble"
     Papers, arXiv.org

2003

146. 2000-2003 Real Estate Bubble in the UK but not in the USA
     Papers, arXiv.org View citations (50)
     See also Journal Article 2000–2003 real estate bubble in the UK but not in the USA, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (27) (2003)
147. Antibubble and Prediction of China's stock market and Real-Estate
     Papers, arXiv.org View citations (1)
     See also Journal Article Antibubble and prediction of China's stock market and real-estate, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (30) (2004)
148. 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 Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (22) (2004)
149. 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 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, Elsevier (2004) View citations (22) (2004)
150. Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000
     Papers, arXiv.org View citations (20)
     See also Journal Article Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (20) (2003)
151. Finite-Time Singularity Signature of Hyperinflation
     Papers, arXiv.org View citations (15)
     See also Journal Article Finite-time singularity signature of hyperinflation, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (15) (2003)
152. 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 (18)
153. The US 2000-2003 Market Descent: Clarifications
     Papers, arXiv.org View citations (3)
     See also Journal Article The US 2000-2002 market descent: clarification, Quantitative Finance, Taylor & Francis Journals (2003) (2003)

2002

154. Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes
     Papers, arXiv.org View citations (1)
     See also Journal Article NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES, International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd. (2003) View citations (9) (2003)
155. The US 2000-2002 Market Descent: How Much Longer and Deeper?
     Papers, arXiv.org View citations (46)
     See also Journal Article The US 2000-2002 market descent: How much longer and deeper?, Quantitative Finance, Taylor & Francis Journals (2002) View citations (36) (2002)

Journal Articles

2025

1. Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change
   Finance Research Letters, 2025, 71, (C)
   See also Working Paper Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change, Papers (2024) (2024)
2. Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties
   Financial Innovation, 2025, 11, (1), 1-32
   See also Working Paper Joint multifractality in the cross-correlations between grains \& oilseeds indices and external uncertainties, Papers (2024) (2024)
3. Resilience of international oil trade networks under extreme event shock-recovery simulations
   Energy, 2025, 314, (C)
   See also Working Paper Resilience of international oil trade networks under extreme event shock-recovery simulations, Papers (2024) (2024)
4. Risk spillovers between the BRICS and the U.S. staple grain futures markets
   Finance Research Letters, 2025, 75, (C)
   See also Working Paper Risk spillovers between the BRICS and the U.S. staple grain futures markets, Papers (2024) (2024)
5. Understanding the circulation network of agro-products in China based on the freight big data
   Annals of Operations Research, 2025, 348, (1), 511-541

2024

6. Carbon volatility connectedness and the role of external uncertainties: Evidence from China
   Journal of Commodity Markets, 2024, 33, (C) View citations (1)
7. Stress testing climate risk: A network-based analysis of the Chinese banking system
   Journal of International Money and Finance, 2024, 149, (C) View citations (1)
8. The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
   Journal of Economic Behavior & Organization, 2024, 217, (C), 91-111 View citations (7)
   See also Working Paper The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots, Papers (2023) (2023)
9. Visibility graph analysis of the grains and oilseeds indices
   Physica A: Statistical Mechanics and its Applications, 2024, 650, (C) View citations (1)
   See also Working Paper Visibility graph analysis of the grains and oilseeds indices, Papers (2024) View citations (2) (2024)

2023

10. An interpretable machine-learned model for international oil trade network
    Resources Policy, 2023, 82, (C) View citations (1)
11. Impact of shocks to economies on the efficiency and robustness of the international pesticide trade networks
    The European Physical Journal B: Condensed Matter and Complex Systems, 2023, 96, (2), 1-9
    See also Working Paper Impact of shocks to economies on the efficiency and robustness of the international pesticide trade networks, Papers (2023) (2023)
12. Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
    Empirical Economics, 2023, 65, (1), 93-110
    See also Working Paper Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework, Post-Print (2022) (2022)
13. Quantifying the status of economies in international crop trade networks: A correlation structure analysis of various node-ranking metrics
    Chaos, Solitons & Fractals, 2023, 172, (C) View citations (2)
14. Reconstruction of international energy trade networks with given marginal data: A comparative analysis
    Chaos, Solitons & Fractals, 2023, 167, (C) View citations (6)
    See also Working Paper Reconstruction of international energy trade networks with given marginal data: A comparative analysis, Post-Print (2023) View citations (2) (2023)
15. Statistical properties of the international seed trade networks for rice and maize
    International Journal of Modern Physics C (IJMPC), 2023, 34, (05), 1-23
16. TESTING FOR INTRINSIC MULTIFRACTALITY IN THE GLOBAL GRAIN SPOT MARKET INDICES: A MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS
    FRACTALS (fractals), 2023, 31, (07), 1-24 View citations (4)
    See also Working Paper Testing for intrinsic multifractality in the global grain spot market indices: A multifractal detrended fluctuation analysis, Papers (2023) View citations (4) (2023)
17. Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
    Journal of International Financial Markets, Institutions and Money, 2023, 88, (C) View citations (6)
    See also Working Paper Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, Papers (2023) View citations (7) (2023)
18. The stable tail dependence and influence among the European stock markets: a score-driven dynamic copula approach
    The European Journal of Finance, 2023, 29, (16), 1933-1956 View citations (1)
19. Unraveling the effects of network, direct and indirect reciprocity in online societies
    Chaos, Solitons & Fractals, 2023, 169, (C) View citations (2)

2022

20. Correlation structure analysis of the global agricultural futures market
    Research in International Business and Finance, 2022, 61, (C) View citations (2)
    See also Working Paper Correlation structure analysis of the global agricultural futures market, Papers (2023) (2023)
21. Do the global grain spot markets exhibit multifractal nature?
    Chaos, Solitons & Fractals, 2022, 164, (C) View citations (11)
22. Factor volatility spillover and its implications on factor premia
    Journal of International Financial Markets, Institutions and Money, 2022, 80, (C) View citations (7)
23. Hierarchical contagions in the interdependent financial network
    Journal of Financial Stability, 2022, 61, (C) View citations (3)
    See also Working Paper Hierarchical contagions in the interdependent financial network, Papers (2022) View citations (8) (2022)
24. How does economic policy uncertainty comove with stock markets: New evidence from symmetric thermal optimal path method
    Physica A: Statistical Mechanics and its Applications, 2022, 604, (C) View citations (2)
    See also Working Paper How does economic policy uncertainty comove with stock markets: New evidence from symmetric thermal optimal path method, Papers (2022) View citations (3) (2022)
25. Predicting tail events in a RIA-EVT-Copula framework
    Physica A: Statistical Mechanics and its Applications, 2022, 600, (C)
    See also Working Paper Predicting tail events in a RIA-EVT-Copula framework, Papers (2020) View citations (1) (2020)
26. Robustness of the international oil trade network under targeted attacks to economies
    Energy, 2022, 251, (C) View citations (15)
27. Sector connectedness in the Chinese stock markets
    Empirical Economics, 2022, 62, (2), 825-852 View citations (12)
    See also Working Paper Sector connectedness in the Chinese stock markets, Papers (2020) (2020)
28. The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
    Resources Policy, 2022, 78, (C) View citations (10)
    See also Working Paper The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model, Papers (2020) View citations (1) (2020)

2021

29. A global economic policy uncertainty index from principal component analysis
    Finance Research Letters, 2021, 40, (C) View citations (17)
    See also Working Paper A global economic policy uncertainty index from principal component analysis, Papers (2019) (2019)
30. An empirical behavioral order-driven model with price limit rules
    Financial Innovation, 2021, 7, (1), 1-24
    See also Working Paper An empirical behavioural order-driven model with price limit rules, Papers (2017) (2017)
31. Anatomizing the Elo transfer network of Weiqi players
    The European Physical Journal B: Condensed Matter and Complex Systems, 2021, 94, (8), 1-10
32. City logistics networks based on online freight orders in China
    Physica A: Statistical Mechanics and its Applications, 2021, 583, (C) View citations (2)
33. Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
    The North American Journal of Economics and Finance, 2021, 58, (C) View citations (1)
    See also Working Paper Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market, Papers (2022) View citations (2) (2022)
34. Identifying states of global financial market based on information flow network motifs
    The North American Journal of Economics and Finance, 2021, 58, (C) View citations (1)
35. Learning representation of stock traders and immediate price impacts
    Emerging Markets Review, 2021, 48, (C)
36. The double-edged role of social learning: Flash crash and lower total volatility
    Journal of Economic Behavior & Organization, 2021, 182, (C), 405-420 View citations (1)

2020

37. Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach
    Risk Management, 2020, 22, (4), 310-337 View citations (10)
38. Modeling aggressive market order placements with Hawkes factor models
    PLOS ONE, 2020, 15, (1), 1-12
    See also Working Paper Modeling aggressive market order placements with Hawkes factor models, Papers (2018) (2018)
39. News coverage and portfolio returns: Evidence from China
    Pacific-Basin Finance Journal, 2020, 60, (C) View citations (6)

2019

40. Comparing selection strategies for engineering research hotspots
    Physica A: Statistical Mechanics and its Applications, 2019, 534, (C)
41. Exponentially decayed double power-law distribution of Bitcoin trade sizes
    Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (1)
42. Order imbalances and market efficiency: New evidence from the Chinese stock market
    Emerging Markets Review, 2019, 38, (C), 458-467 View citations (9)
43. Structural properties of statistically validated empirical information networks
    Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 747-756 View citations (1)
44. Tail dependence networks of global stock markets
    International Journal of Finance & Economics, 2019, 24, (1), 558-567 View citations (41)
45. Visibility graph analysis of economy policy uncertainty indices
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) View citations (13)
    See also Working Paper Visibility graph analysis of economy policy uncertainty indices, Papers (2020) (2020)

2018

46. A weekly sentiment index and the cross-section of stock returns
    Finance Research Letters, 2018, 27, (C), 135-139 View citations (18)
47. Short term prediction of extreme returns based on the recurrence interval analysis
    Quantitative Finance, 2018, 18, (3), 353-370 View citations (10)
    See also Working Paper Short term prediction of extreme returns based on the recurrence interval analysis, Papers (2016) (2016)
48. 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 (5)
    See also Working Paper The cooling-off effect of price limits in the Chinese stock markets, Papers (2018) View citations (5) (2018)

2017

49. Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns
    Computational Economics, 2017, 50, (4), 579-594 View citations (9)
    See also Working Paper Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns, Papers (2018) (2018)
50. 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 Power-law tails in the distribution of order imbalance, Papers (2017) View citations (3) (2017)
51. Statistical properties of user activity fluctuations in virtual worlds
    Chaos, Solitons & Fractals, 2017, 105, (C), 271-278 View citations (4)
52. 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 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 (2018) View citations (1) (2018)
53. Temporal and spatial correlation patterns of air pollutants in Chinese cities
    PLOS ONE, 2017, 12, (8), 1-24 View citations (5)
54. 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 (19)
    See also Working Paper Time series momentum and contrarian effects in the Chinese stock market, Papers (2017) View citations (19) (2017)
55. 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 (24)
    See also Working Paper Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates, Papers (2018) (2018)
56. 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 (16)
    See also Working Paper Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets, Papers (2017) View citations (14) (2017)

2016

57. Correlation structure and principal components in the global crude oil market
    Empirical Economics, 2016, 51, (4), 1501-1519 View citations (28)
    See also Working Paper Correlation structure and principal components in global crude oil market, Papers (2014) (2014)
58. 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 Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets, Papers (2015) (2015)
59. Stylized facts of price gaps in limit order books
    Chaos, Solitons & Fractals, 2016, 88, (C), 48-58 View citations (1)

2015

60. Profitability of Contrarian Strategies in the Chinese Stock Market
    PLOS ONE, 2015, 10, (9), 1-22 View citations (21)
    See also Working Paper Profitability of contrarian strategies in the Chinese stock market, Papers (2015) View citations (21) (2015)
61. 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 (14)
    See also Working Paper Profitability of simple technical trading rules of Chinese stock exchange indexes, Papers (2015) View citations (13) (2015)
62. Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets
    PLOS ONE, 2015, 10, (4), 1-20 View citations (12)
    See also Working Paper Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets, Papers (2015) View citations (13) (2015)
63. 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 (9)
64. 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 (18)
    See also Working Paper Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant, Papers (2013) (2013)

2014

65. An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market
    Mathematical Problems in Engineering, 2014, 2014, 1-10
    See also Working Paper An agent-based computational model for China's stock market and stock index futures market, Papers (2014) View citations (1) (2014)
66. Dynamic Evolution of Cross-Correlations in the Chinese Stock Market
    PLOS ONE, 2014, 9, (5), 1-15 View citations (15)
    See also Working Paper Dynamic evolution of cross-correlations in the Chinese stock market, Papers (2013) (2013)
67. Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    Economic Modelling, 2014, 36, (C), 8-17 View citations (19)
    See also Working Paper Extreme value statistics and recurrence intervals of NYMEX energy futures volatility, Papers (2012) View citations (1) (2012)
68. 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 (48)
    See also Working Paper Testing the weak-form efficiency of the WTI crude oil futures market, Papers (2012) View citations (1) (2012)
69. Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents
    Abstract and Applied Analysis, 2014, 2014, 1-11 View citations (2)
    Also in Abstract and Applied Analysis, 2014, 2014, (1) (2014)
    See also Working Paper Wealth share analysis with "fundamentalist/chartist" heterogeneous agents, Papers (2014) View citations (3) (2014)

2013

70. Analysis of trade packages in the Chinese stock market
    Quantitative Finance, 2013, 13, (7), 1071-1089 View citations (4)
    See also Working Paper Analysis of trade packages in Chinese stock market, Papers (2011) View citations (2) (2011)
71. 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 (25)

2012

72. Finite-size effect and the components of multifractality in financial volatility
    Chaos, Solitons & Fractals, 2012, 45, (2), 147-155 View citations (66)
    See also Working Paper Finite-size effect and the components of multifractality in financial volatility, Papers (2009) View citations (1) (2009)
73. 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)
74. 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 Universal price impact functions of individual trades in an order-driven market, Papers (2008) (2008)

2011

75. 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 (21)
76. 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 Investment strategies used as spectroscopy of financial markets reveal new stylized facts, Swiss Finance Institute Research Paper Series (2011) View citations (7) (2011)
77. 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 (24)
    See also Working Paper Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant, Papers (2010) (2010)
78. 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 (31)
79. The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields
    PLOS ONE, 2011, 6, (8), 1-9 View citations (20)
    See also Working Paper The US stock market leads the Federal funds rate and Treasury bond yields, Papers (2011) View citations (23) (2011)

2010

80. 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 (5)
    See also Working Paper Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change, Papers (2010) View citations (5) (2010)
81. 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 (108)
    See also Working Paper Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles, Papers (2009) View citations (34) (2009)
82. Complex stock trading network among investors
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4929-4941 View citations (42)
    See also Working Paper Complex stock trading network among investors, Papers (2010) View citations (41) (2010)
83. 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 Empirical regularities of opening call auction in Chinese stock market, Papers (2009) (2009)
84. 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)
85. 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 Scaling and memory in the non-poisson process of limit order cancelation, Papers (2009) View citations (1) (2009)
86. 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)
87. 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 (24)

2009

88. 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 (34)
    See also Working Paper A case study of speculative financial bubbles in the South African stock market 2003-2006, Papers (2008) View citations (1) (2008)
89. Detrended fluctuation analysis of intertrade durations
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (4), 433-440 View citations (24)
    See also Working Paper Detrended fluctuation analysis of intertrade durations, Papers (2008) View citations (1) (2008)
90. 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)
91. 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 (7)
    See also Working Paper On the probability distribution of stock returns in the Mike-Farmer model, Papers (2008) View citations (1) (2008)
92. 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 (25)
    See also Working Paper Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market, Papers (2008) (2008)
93. 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 (3)
94. 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 Scaling and memory in the return intervals of realized volatility, Papers (2009) View citations (16) (2009)
95. 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 Statistical properties of volatility return intervals of Chinese stocks, Papers (2008) (2008)
96. Statistical properties of world investment networks
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (12), 2450-2460 View citations (16)
97. 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

98. 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 (34)
    See also Working Paper Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes, Papers (2007) View citations (2) (2007)
99. Empirical distributions of Chinese stock returns at different microscopic timescales
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 495-502 View citations (52)
    See also Working Paper Empirical distributions of Chinese stock returns at different microscopic timescales, Papers (2007) View citations (2) (2007)
100. 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 Empirical regularities of order placement in the Chinese stock market, Papers (2007) (2007)
101. 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 Empirical shape function of limit-order books in the Chinese stock market, Papers (2008) View citations (20) (2008)
102. 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 (47)
     See also Working Paper Multifractal analysis of Chinese stock volatilities based on partition function approach, Papers (2008) View citations (48) (2008)
103. Multifractality in stock indexes: Fact or Fiction?
     Physica A: Statistical Mechanics and its Applications, 2008, 387, (14), 3605-3614 View citations (53)
     See also Working Paper Multifractality in stock indexes: Fact or fiction?, Papers (2007) (2007)
104. 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 Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests, Papers (2007) (2007)
105. 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 (11)
     See also Working Paper Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index, Papers (2007) (2007)
106. Scaling in the distribution of intertrade durations of Chinese stocks
     Physica A: Statistical Mechanics and its Applications, 2008, 387, (23), 5818-5825 View citations (27)
     See also Working Paper Scaling in the distribution of intertrade durations of Chinese stocks, Papers (2008) View citations (27) (2008)

2007

107. 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)
108. 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)
109. 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 Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates, Papers (2006) (2006)
110. 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)
111. 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 (35)
112. Self-organizing Ising model of financial markets
     The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 175-181 View citations (39)
113. 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 Statistical properties of daily ensemble variables in the Chinese stock markets, Papers (2006) View citations (1) (2006)

2006

114. 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 (11)
     See also Working Paper Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction, Papers (2005) View citations (14) (2005)
115. 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 (39)
     See also Working Paper Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets, Papers (2005) (2005)
116. Is there a real-estate bubble in the US?
     Physica A: Statistical Mechanics and its Applications, 2006, 361, (1), 297-308 View citations (76)
     See also Working Paper Is There a Real-Estate Bubble in the US?, Papers (2005) View citations (2) (2005)
117. 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 (31)
118. Predictability of large future changes in major financial indices
     International Journal of Forecasting, 2006, 22, (1), 153-168 View citations (53)
     See also Working Paper Predictability of large future changes in major financial indices, Papers (2004) View citations (3) (2004)

2005

119. 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 Bubble, Critical Zone and the Crash of Royal Ahold, Papers (2004) (2004)
120. 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 Inverse statistics in stock markets: Universality and idiosyncracy, Papers (2004) (2004)
121. 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 (35)
     See also Working Paper Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method, Papers (2004) View citations (1) (2004)
122. Testing the stability of the 2000 US stock market “antibubble”
     Physica A: Statistical Mechanics and its Applications, 2005, 348, (C), 428-452 View citations (14)

2004

123. 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 Antibubble and Prediction of China's stock market and Real-Estate, Papers (2003) View citations (1) (2003)
124. 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 (22)
     See also Working Paper Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000, Papers (2003) View citations (1) (2003)
125. 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 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 (2003) View citations (1) (2003)

2003

126. 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 2000-2003 Real Estate Bubble in the UK but not in the USA, Papers (2003) View citations (50) (2003)
127. 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 (20)
     See also Working Paper Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000, Papers (2003) View citations (20) (2003)
128. 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 Finite-Time Singularity Signature of Hyperinflation, Papers (2003) View citations (15) (2003)
129. 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)
130. 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 Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes, Papers (2002) View citations (1) (2002)
131. 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 (19)
132. The US 2000-2002 market descent: clarification
     Quantitative Finance, 2003, 3, (3), 39-41
     See also Working Paper The US 2000-2003 Market Descent: Clarifications, Papers (2003) View citations (3) (2003)

2002

133. 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)
134. 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 The US 2000-2002 Market Descent: How Much Longer and Deeper?, Papers (2002) View citations (46) (2002)

2001

135. 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)

Books

2024

1. Recurrence Interval Analysis of Financial Time Series
   Cambridge Books, Cambridge University Press
   Also in Cambridge Books, Cambridge University Press (2024)