成果/Result
- Detrending moving average algorithm for multifractals被引量：375收藏
- 作者：Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：PHYSICAL REVIEW E 2010
- 关键词：Fractals
- Detrended fluctuation analysis for fractals and multifractals in higher dimensions被引量：201收藏
- 作者：Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICAL REVIEW E 2006
- 关键词：Brownian movement - Image analysis - Surface properties - Time series analysis
- Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series被引量：163收藏
- 作者：Shao, Ying-Hui Gu, Gao-Feng Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;ETH;Univ Geneva
- 来源：SCIENTIFIC REPORTS 2012
- 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
- Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes被引量：85收藏
- 作者：Qian, Xi-Yuan Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2011
- 关键词：Econophysics Detrended fluctuation analysis Empirical mode decomposition Correlations Multifractality Stock markets
- Emergence of long memory in stock volatility from a modified Mike-Farmer model被引量：81收藏
- 作者：Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci;E China Univ Sci & Technol
- 来源：EPL 2009
- Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application被引量：74收藏
- 作者：Xie, Wen-Jie Jiang, Zhi-Qiang Gu, Gao-Feng Xiong, Xiong 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：NEW JOURNAL OF PHYSICS 2015
- 关键词：multifractal analysis cross correlation econophysics partition function
- Empirical distributions of Chinese stock returns at different microscopic timescales被引量：74收藏
- 作者：Gu, Gao-Feng Chen, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2008
- 关键词：econophysics probability distribution Chinese stocks ultra-high-frequency data order book and order flow inverse cubic law power-law tail
- 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
- Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature被引量：55收藏
- 作者：Gu, G.-F. Chen, W. Zhou, W.-X.
- 机构： School of Business; School of Science; Shenzhen Stock Exchange; Research Center of Systems Engineering
- 来源：European Physical Journal B 2007
- 关键词：Fractals - Industrial economics - Probability distributions - Statistical methods
- Quantifying bid-ask spreads in the Chinese stock market using limit-order book data被引量：47收藏
- 作者：Gu, G.-F. Chen, W. Zhou, W.-X.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange
- 来源：EUROPEAN PHYSICAL JOURNAL B 2007
- Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations被引量：40收藏
- 作者：Meng, Hao Ren, Fei Gu, Gao-Feng Xiong, Xiong Zhang, Yong-Jie Zhou, Wei-Xing Zhang, Wei
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Tianjin Univ
- 来源：EPL 2012
- On the probability distribution of stock returns in the Mike-Farmer model被引量：39收藏
- 作者：Gu, G. -F. Zhou, W. -X.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：EUROPEAN PHYSICAL JOURNAL B 2009
- 关键词：Costs - Investments - Students - Agriculture - Financial markets
- EFFECTS OF POLYNOMIAL TRENDS ON DETRENDING MOVING AVERAGE ANALYSIS被引量：35收藏
- 作者：Shao, Ying-Hui Gu, Gao-Feng Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY 2015
- 关键词：Fractal Analysis Detrending Moving Average (DMA) Scaling Law Crossover Behavior Polynomial Trend Constant Shift Linear Trend
- Scaling and memory in the return intervals of realized volatility被引量：28收藏
- 作者：Ren, Fei Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2009
- 关键词：Econophysics Realized volatility Return interval Scaling Long memory
- Empirical shape function of limit-order books in the Chinese stock market被引量：27收藏
- 作者：Gu, Gao-Feng Chen, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2008
- 关键词：econophysics stock markets continuous double action limit-order book shape microstructure theory
- Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns被引量：27收藏
- 作者：Zhou, Jian Gu, Gao-Feng Jiang, Zhi-Qiang Xiong, Xiong Chen, Wei Zhang, Wei Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;Tianjin Univ
- 来源：COMPUTATIONAL ECONOMICS 2017
- 关键词：Computational experiment Order-driven model Market efficiency Order direction Long memory
- 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
- Statistical properties of daily ensemble variables in the Chinese stock markets被引量：23收藏
- 作者：Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2007
- 关键词：econophysics ensemble return variety probability distribution long memory statistical test
- Empirical regularities of order placement in the Chinese stock market被引量：21收藏
- 作者：Gu, Gao-Feng Chen, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2008
- 关键词：econophysics order placement probability distribution Chinese stock market order book and order flow
- Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets被引量：19收藏
- 作者：Wan, Yu-Lei Xie, Wen-Jie Gu, Gao-Feng Jiang, Zhi-Qiang Chen, Wei Xiong, Xiong Zhang, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange
- 来源：PLOS ONE 2015
- Empirical regularities of opening call auction in Chinese stock market被引量：14收藏
- 作者：Gu, Gao-Feng Ren, Fei Ni, Xiao-Hui Chen, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Econophysics Order-driven markets Opening call auction Limit-order book Microstructure theory
- Statistical properties of online avatar numbers in a massive multiplayer online role-playing game被引量：11收藏
- 作者：Jiang, Zhi-Qiang Ren, Fei Gu, Gao-Feng Tan, Qun-Zhao Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Shanda Interact Entertainment Ltd;Chinese Acad Sci
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Sociophysics MMORPG Intraday pattern Distribution Correlations
- Order imbalances and market efficiency: New evidence from the Chinese stock market被引量：11收藏
- 作者：Zhang, Ting Gu, Gao-Feng Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;Washington State Univ;East China Univ Sci & Technol
- 来源：EMERGING MARKETS REVIEW 2019
- 关键词：Order imbalance Market microstructure Market efficiency
- Scaling and memory in the non-Poisson process of limit order cancelation被引量：7收藏
- 作者：Ni, Xiao-Hui Jiang, Zhi-Qiang Gu, Gao-Feng Ren, Fei Chen, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Shenzhen Stock Exchange
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature
- Stylized facts of price gaps in limit order books被引量：6收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Zhang, Yong-Jie Chen, Wei Zhang, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Tianjin Univ;Tianjin Univ;Shenzhen Stock Exchange
- 来源：CHAOS SOLITONS & FRACTALS 2016
- 关键词：Econophysics Price gap Limit order book Liquidity Stylized facts Buy-sell asymmetry
- Empirical properties of inter-cancellation durations in the Chinese stock market被引量：6收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Zhang, Wei Zhang, Yong-Jie Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;Tianjin Univ;East China Univ Sci & Technol
- 来源：FRONTIERS IN PHYSICS 2014
- 关键词：econophysics order flow inter-cancellation duration probability distribution memory effect multifractal nature
- On the growth of primary industry and population of China's counties被引量：5收藏
- 作者：Xie, Wen-Jie Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Econophysics Growth dynamics Distributions Primary industry Population
- Exponentially decayed double power-law distribution of Bitcoin trade sizes被引量：4收藏
- 作者：Li, Mu-Yao Cai, Qing 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：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Econophysics Bitcoin Cryptocurrency Trade size Probability distribution
- The position profiles of order cancellations in an emerging stock market被引量：3收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Ren, Fei Zhou, Wei-Xing Zhang, Wei
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Tianjin Univ;E China Univ Sci & Technol
- 来源：JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT 2013
- 关键词：critical phenomena of socio-economic systems scaling in socioeconomic systems
