成果/Result
- Multifractal analysis of financial markets被引量：1043收藏
- 作者：Jiang, Zhi-Qiang Xie, Wen-Jie Zhou, Wei-Xing Sornette, Didier
- 机构： Research Center for Econophysics; Department of Finance; Department of Mathematics; Department of Management; Swiss Finance Institute
- 来源：arXiv 2018
- 关键词：Commerce - Financial data processing - Fractals - Large scale systems - Risk assessment - Risk management - Time series - Time series analysis
- Multifractal analysis of financial markets: a review被引量：283收藏
- 作者：Jiang, Zhi-Qiang Xie, Wen-Jie Zhou, Wei-Xing Sornette, Didier
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Swiss Fed Inst Technol;Univ Geneva
- 来源：REPORTS ON PROGRESS IN PHYSICS 2019
- 关键词：econophysics multifractal analysis financial markets complex systems scaling laws complex networks
- Cross-shareholding networks and stock price synchronicity: Evidence from China被引量：90收藏
- 作者：Wen, Fenghua Yuan, Yujie Zhou, Wei-Xing
- 机构： School of Business; Supply Chain and Logistics Optimization Research Centre; Centre for Computational Finance and Economic Agents; Department of Finance; Department of Mathematics
- 来源：arXiv 2019
- 关键词：Commerce
- An empirical behavioural order-driven model with price limit rules被引量：88收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Xu, Hai-Chuan Zhang, Wei Zhang, Yong-Jie Chen, Wei Zhou, Wei-Xing
- 机构： Department of Finance; Research Center for Econophysics; College of Management and Economics; China Center for Social Computing and Analytics; Shenzhen Stock Exchange
- 来源：arXiv 2017
- 关键词：Commerce - Costs - Financial markets
- Tail dependence networks of global stock markets被引量：73收藏
- 作者：Wen, Fenghua Yang, Xin Zhou, Wei-Xing
- 机构：Cent South Univ;Univ Windsor;Changsha Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 2019
- 关键词：community structure complex network Pearson's correlation coefficient SJC copula stock market
- Triadic time series motifs被引量：66收藏
- 作者：Xie, Wen-Jie Han, Rui-Qi Zhou, Wei-Xing
- 机构： Department of Finance; Research Center for Econophysics; Department of Mathematics
- 来源：arXiv 2018
- 关键词：Cardiology - Gaussian noise (electronic) - Time series analysis
- A direct determination approach for the multifractal detrending moving average analysis被引量：64收藏
- 作者：Xu, Hai-Chuan Gu, Gao-Feng Zhou, Wei-Xing
- 机构： Research Center for Econophysics; Department of Finance; School of Science
- 来源：arXiv 2019
- 关键词：Brownian movement - Machine learning
- MULTIFRACTAL CROSS WAVELET ANALYSIS被引量：64收藏
- 作者：Jiang, Zhi-Qiang Gao, Xing-Lu Zhou, Wei-Xing Stanley, H. Eugene
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Boston Univ;Boston Univ
- 来源：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY 2017
- 关键词：Joint Multifractal Analysis Wavelet Analysis Binomial Measure Bivariate Fractional Brownian Motion Bootstrap
- Visibility graph analysis of economy policy uncertainty indices被引量：57收藏
- 作者：Dai, Peng-Fei Xiong, Xiong Zhou, Wei-Xing
- 机构： College of Management and Economics; China Center for Social Computing and Analytics; Department of Finance; Research Center for Econophysics; Department of Mathematics
- 来源：arXiv 2020
- 关键词：Planning - Uncertainty analysis - Visibility
- Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market被引量：56收藏
- 作者：Shi, Huai-Long Zhou, Wei-Xing
- 机构： School of Management Science and Engineering; Department of Finance; Department of Mathematics; Research Center for Econophysics; East China University of Science and Technology
- 来源：arXiv 2019
- 关键词：Commerce - Financial markets - Investments - Risk assessment
- A global economic policy uncertainty index from principal component analysis被引量：56收藏
- 作者：Dai, Peng-Fei Xiong, Xiong Zhou, Wei-Xing
- 机构：Tianjin Univ;Tianjin Univ;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：FINANCE RESEARCH LETTERS 2021
- 关键词：Econophysics Economic policy uncertainty Principal component analysis Volatility Correlation
- Analytic degree distributions of horizontal visibility graphs mapped from unrelated random series and multifractal binomial measures被引量：55收藏
- 作者：Xie, Wen-Jie Han, Rui-Qi Jiang, Zhi-Qiang Wei, Lijian Zhou, Wei-Xing
- 机构： Department of Finance; Research Center for Econophysics; Department of Mathematics; School of Business
- 来源：arXiv 2019
- 关键词：Complex networks - Iterative methods - Time series - Time series analysis - Visibility
- Multifractal characteristics and return predictability in the Chinese stock markets被引量：53收藏
- 作者：Fu, Xin-Lan Gao, Xing-Lu Shan, Zheng Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构： Department of Finance; Department of Mathematics
- 来源：arXiv 2018
- 关键词：Acoustooptical devices - Commerce - Financial markets
- Global Rényi index of the distance matrix被引量：53收藏
- 作者：Nie, Chun-Xiao Song, Fu-Tie
- 机构： School of Statistics and Mathematics; Department of Finance
- 来源：Physica A: Statistical Mechanics and its Applications 2019
- 关键词：Financial markets - Geometry - Commerce - Matrix algebra
- Network analysis of the worldwide footballer transfer market被引量：45收藏
- 作者：Li, Ming-Xia Zhou, Wei-Xing Stanley, H. Eugene
- 机构： Research Institute of Sports Economics; Research Center for Econophysics; Department of Finance; Department of Mathematics; Center for Polymer Studies
- 来源：arXiv 2018
- 关键词：Commerce - Sports
- Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates被引量：43收藏
- 作者：Xu, Hai-Chuan Zhou, Wei-Xing Sornette, Didier
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;ETH;Univ Geneva
- 来源：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 2017
- 关键词：Renminbi exchange rates Onshore and offshore markets Lead-lag structure Thermal optimal path
- Quantum Probability Theoretic Asset Return Modeling: A Novel Schr?dinger-Like Trading Equation and Multimodal Distribution被引量：42收藏
- 作者：Li, Lin
- 机构： Department of Finance; Risk-Center
- 来源：arXiv 2024
- 关键词：Commerce - Financial markets - Stochastic systems - Wave functions
- Hierarchical contagions in the interdependent financial network被引量：41收藏
- 作者：Barnett, William A. Wang, Xue Xu, Hai-Chuan Zhou, Wei-Xing
- 机构： Department of Economics; Center for Financial Stability; Institute of Chinese Financial Studies; Department of Economics; Department of Finance
- 来源：arXiv 2021
- Tetradic motif profiles of horizontal visibility graphs被引量：40收藏
- 作者：Xie, Wen-Jie Han, Rui-Qi Zhou, Wei-Xing
- 机构： Research Center for Econophysics; Department of Finance; Department of Mathematics
- 来源：arXiv 2018
- 关键词：Complex networks - Diseases - Fractals - Gaussian distribution - Time series - Visibility
- Market Correlation Structure Changes Around the Great Crash: A Random Matrix Theory Analysis of the Chinese Stock Market被引量：38收藏
- 作者：Han, Rui-Qi Xie, Wen-Jie Xiong, Xiong Zhang, Wei Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;East China Univ Sci & Technol
- 来源：FLUCTUATION AND NOISE LETTERS 2017
- 关键词：Econophysics random matrix theory Partial correlation stock market financial crisis eigenvalue
- Financial Relativity: An Information-Geometric Interpretation of Asset Pricing被引量：34收藏
- 作者：Li, Lin
- 机构： Department of Finance
- 来源：arXiv 2026
- 关键词：Costs - Dynamics - Economics - Financial markets - Geometry
- Cross-shareholding networks and stock price synchronicity: Evidence from China被引量：33收藏
- 作者：Wen, Fenghua Yuan, Yujie Zhou, Wei-Xing
- 机构：Cent South Univ;Univ Windsor;Univ Essex;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 2021
- 关键词：Cross-shareholding network noise trading ownership price informativeness stock price synchronicity
- Visibility graph analysis of economy policy uncertainty indices被引量：33收藏
- 作者：Dai, Peng-Fei Xiong, Xiong Zhou, Wei-Xing
- 机构：Tianjin Univ;Tianjin Univ;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Econophysics Economic policy uncertainty Complex network Visibility graph
- 中国股票市场收益率的可预测性研究被引量：29收藏
- 作者：蒋志强 田婧雯 周炜星
- 机构：华东理工大学商学院金融学系
- 来源：《管理科学学报》 2019
- 关键词：可行拟广义最小二乘法 样本内预测 样本外预测 条件CAPM 行业集中度
- 摘要：构造了包括中国A股市场组合、行业组合、账面市值比组合和市值组合在内的31个投资组合,选取了8个预测因子(账面市值比、股利分配率、股息价格比、股息收益率、每股收益价格比、现金收益价格比、通货膨胀率、股票波动率),运用了可行...
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- Time series momentum and contrarian effects in the Chinese stock market被引量：28收藏
- 作者：Shi, Huai-Long Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017
- 关键词：Econophysics Time series momentum effect Time series contrarian effect Trading strategy Chinese stock market
- Constructing financial network based on PMFG and threshold method被引量：27收藏
- 作者：Nie, Chun-Xiao Song, Fu-Tie
- 机构：East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2018
- 关键词：Planar maximally filtered graph Threshold network Community structure Cluster algorithm
- Is there a housing bubble in China?被引量：26收藏
- 作者：Zhi, Tianhao Li, Zhongfei Jiang, Zhiqiang Wei, Lijian Sornette, Didier
- 机构：BNU HKBU United Int Coll;Sun Yat Sen Univ;East China Univ Sci & Technol;ETH;ETH
- 来源：EMERGING MARKETS REVIEW 2019
- 关键词：Housing bubble Log-period-power-law-singularity Bubble prediction Chinese housing market
- A global economic policy uncertainty index from principal component analysis被引量：26收藏
- 作者：Dai, Peng-Fei Xiong, Xiong Zhou, Wei-Xing
- 机构： College of Management and Economics; China Center for Social Computing and Analytics; Department of Finance; Department of Mathematics
- 来源：arXiv 2019
- 关键词：Commerce - Economic analysis - Planning - Uncertainty analysis
- Direct determination approach for the multifractal detrending moving average analysis被引量：26收藏
- 作者：Xu, Hai-Chuan Gu, Gao-Feng Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICAL REVIEW E 2017
- 关键词：Fractals - Financial markets
- Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant被引量：26收藏
- 作者：Li, Ming-Xia Jiang, Zhi-Qiang Xie, Wen-Jie Xiong, Xiong Zhang, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Tianjin Univ;Tianjin Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2015
- 关键词：Econophysics Trading network Order flow Correlation Stock Warrant
