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
- Statistical tests for power-law cross-correlated processes被引量：383收藏
- 作者：Podobnik, Boris Jiang, Zhi-Qiang Zhou, Wei-Xing Stanley, H. Eugene
- 机构：Univ Rijeka;Boston Univ;Boston Univ;Univ Ljubljana;E China Univ Sci & Technol
- 来源：PHYSICAL REVIEW E 2011
- 关键词：Commerce - Statistical tests - Time series analysis
- Multifractal detrending moving-average cross-correlation analysis被引量：321收藏
- 作者：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：PHYSICAL REVIEW E 2011
- 关键词：Numerical methods - Brownian movement - Correlation methods - Fractals
- 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
- Interconnectedness and systemic risk of China's financial institutions被引量：182收藏
- 作者：Wang, Gang-Jin Jiang, Zhi-Qiang Lin, Min Xie, Chi Stanley, H. Eugene
- 机构：Hunan Univ;Hunan Univ;East China Univ Sci & Technol;East China Univ Sci & Technol;Sichuan Normal Univ
- 来源：EMERGING MARKETS REVIEW 2018
- 关键词：Systemic risk Interconnectedness Financial crisis Financial regulation Financial institutions CoVaR
- Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces被引量：180收藏
- 作者：Qian, Xi-Yuan Liu, Ya-Min Jiang, Zhi-Qiang Podobnik, Boris Zhou, Wei-Xing Stanley, H. Eugene
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Boston Univ;Boston Univ
- 来源：PHYSICAL REVIEW E 2015
- 关键词：Brownian movement - Fractals - Time series analysis - Asphaltenes - Crude oil - Factor analysis - White noise - Correlation methods
- 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
- Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles被引量：152收藏
- 作者：Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier Woodard, Ryan Bastiaensen, Ken Cauwels, Peter
- 机构：Swiss Fed Inst Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Univ Geneva
- 来源：JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 2010
- 关键词：Stock market crash Financial bubble Chinese markets Rational expectation bubble Herding Log-periodic power law Lomb spectral analysis Unit-root test
- Calling patterns in human communication dynamics被引量：137收藏
- 作者：Jiang, Zhi-Qiang Xie, Wen-Jie Li, Ming-Xia Podobnik, Boris Zhou, Wei-Xing Stanley, H. Eugene
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Boston Univ;Boston Univ;Zagreb Sch Econ & Management
- 来源：PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA 2013
- 关键词：human dynamics phone user categorization social science nonlinear dynamics social networks
- Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks被引量：97收藏
- 作者：Ni, Xiao-Hui Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;ETH;E China Univ Sci & Technol
- 来源：PHYSICS LETTERS A 2009
- 关键词：Visibility graph Complex networks Power-law distribution Fractional Brownian motion Multifractal random walk
- Multifractality in stock indexes: Fact or fiction?被引量：93收藏
- 作者：Jiang, Zhi-Qiang 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
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2008
- 关键词：econophysics multifractal analysis partition function approach bootstrapping stock markets
- Multifractal analysis of Chinese stock volatilities based on the partition function approach被引量：91收藏
- 作者：Jiang, Zhi-Qiang 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
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2008
- 关键词：econophysics multifractal analysis partition function approach quenched average annealed average bootstrapping stock markets
- Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices被引量：90收藏
- 作者：Qian, Meng-Cen Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构：Fudan Univ;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL 2010
- Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?被引量：84收藏
- 作者：Wang, Gang-Jin Xie, Chi Zhao, Longfeng Jiang, Zhi-Qiang
- 机构：Hunan Univ;Hunan Univ;Xian Polytech Univ;Hua Zhong Cent China Normal Univ;Hua Zhong Cent China Normal Univ
- 来源：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 2018
- 关键词：Volatility spillovers Connectedness Commercial banks Chinese banking system Financial regulation Financial network
- Systemic risk and spatiotemporal dynamics of the US housing market被引量：83收藏
- 作者：Meng, Hao Xie, Wen-Jie Jiang, Zhi-Qiang Podobnik, Boris Zhou, Wei-Xing Stanley, H. Eugene
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Boston Univ;Boston Univ
- 来源：SCIENTIFIC REPORTS 2014
- 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
- Testing the weak-form efficiency of the WTI crude oil futures market被引量：74收藏
- 作者：Jiang, Zhi-Qiang Xie, Wen-Jie 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 2014
- 关键词：Crude oil futures Weak-form efficiency Bootstrapping
- Extreme risk spillover effects in world gold markets and the global financial crisis被引量：69收藏
- 作者：Wang, Gang-Jin Xie, Chi Jiang, Zhi-Qiang Stanley, H. Eugene
- 机构：Hunan Univ;Hunan Univ;Boston Univ;Boston Univ;East China Univ Sci & Technol
- 来源：INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2016
- 关键词：Gold Risk spillover Financial crisis VaR
- Who are the net senders and recipients of volatility spillovers in China's financial markets?被引量：69收藏
- 作者：Wang, Gang-Jin Xie, Chi Jiang, Zhi-Qiang Stanley, H. Eugene
- 机构：Hunan Univ;Hunan Univ;East China Univ Sci & Technol;Boston Univ;Boston Univ
- 来源：FINANCE RESEARCH LETTERS 2016
- 关键词：Financial markets Volatility Spillovers Financial crisis VAR
- 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
- Statistical properties of user activity fluctuations in virtual worlds被引量：60收藏
- 作者：Yang, Yan-Hong Xie, Wen-Jie Li, Ming-Xia Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构： School of Business; Research Center for Econophysics; School of Sports Science and Engineering; Department of Mathematics; School of Business
- 来源：arXiv 2019
- 关键词：Fractals - Interactive computer graphics
- Scale invariant distribution and multifractality of volatility multipliers in stock markets被引量：59收藏
- 作者：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：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2007
- 关键词：econophysics stock markets multiplier volatility scale invariance multifractal analysis
- Predicting tail events in a RIA-EVT-Copula framework被引量：58收藏
- 作者：Li, Wei-Zhen Zhai, Jin-Rui Jiang, Zhi-Qiang Wang, Gang-Jin Zhou, Wei-Xing
- 机构： School of Business; Research Center for Econophysics; Business School
- 来源：arXiv 2020
- 关键词：Decision making - Finance - Hazards - Pareto principle - Risk management
- Scaling in the distribution of intertrade durations of Chinese stocks被引量：58收藏
- 作者：Jiang, Zhi-Qiang 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 intertrade duration Weibull distribution q-exponential distribution scaling Chinese stock markets
- Sector connectedness in the Chinese stock markets被引量：57收藏
- 作者：Shen, Ying-Ying Jiang, Zhi-Qiang Ma, Jun-Chao Wang, Gang-Jin Zhou, Wei-Xing
- 机构： School of Business and Research Center for Econophysics; Business School
- 来源：arXiv 2020
- 关键词：Financial markets - Risk assessment
- Joint multifractal analysis based on wavelet leaders被引量：56收藏
- 作者：Jiang, Zhi-Qiang Yang, Yan-Hong Wang, Gang-Jin Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Boston Univ;Boston Univ;Hunan Univ
- 来源：FRONTIERS OF PHYSICS 2017
- 关键词：joint multifractal analysis wavelet leader binomial measure bivariate fractional Brownian motion econophysics online world
- 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
- Complex stock trading network among investors被引量：54收藏
- 作者：Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构：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 2010
- 关键词：Econophysics Limit order book Trade sizes Trading networks Power-law distribution
- 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
- Sector connectedness in the Chinese stock markets被引量：53收藏
- 作者：Shen, Ying-Ying Jiang, Zhi-Qiang Ma, Jun-Chao Wang, Gang-Jin Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Hunan Univ;Hunan Univ
- 来源：EMPIRICAL ECONOMICS 2022
- 关键词：Network connectedness Volatility spillovers Financial networks Stock market sectors Connectedness indexes G14 C51 C52
