成果/Result
- Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders被引量：53收藏
- 作者：Zhong, Li-Xin Xu, Wen-Juan Chen, Rong-Da Zhong, Chen-Yang Qiu, Tian Ren, Fei He, Yun-Xing
- 机构： School of Finance and Coordinated Innovation Center of Wealth Management and Quantitative Investment; School of Law; Department of Statistics; School of Information Engineering; School of Business and Research Center for Econophysics
- 来源：arXiv 2017
- 关键词：Autonomous agents - Behavioral research - Commerce - Computational methods - Electronic trading - Financial markets - Momentum
- Modelling stock correlations with expected returns from investors被引量：46收藏
- 作者：Yang, Ming-Yuan Li, Sai-Ping Zhong, Li-Xin Ren, Fei
- 机构： School of Business; Institute of Physics; School of Finance; School of Science; Research Center for Econophysics
- 来源：arXiv 2018
- 关键词：Computational methods - Decision making - Economics - Information dissemination - Investments - Simulation platform
- The lead-lag relationship between stock index and stock index futures: A thermal optimal path method被引量：41收藏
- 作者：Gong, Chen-Chen Ji, Shen-Dan Su, Li-Ling Li, Sai-Ping Ren, Fei
- 机构：E China Univ Sci & Technol;Acad Sinica;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2016
- 关键词：Econophysics Lead-lag relationship Stock markets
- Multiple learning mechanisms promote cooperation in public goods games with project selection被引量：40收藏
- 作者：Zhong, Li-Xin Xu, Wen-Juan Chen, Rong-Da He, Yun-Xin Qiu, Tian Ren, Fei Shi, Yong-Dong Zhong, Chen-Yang
- 机构： School of Finance and Coordinated Innovation Center of Wealth Management and Quantitative Investment; School of Law; School of Information Engineering; School of Business; School of Applied Finance and Behavioral Science
- 来源：arXiv 2019
- 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
- Does social media information affect individual investor disposition effect? Evidence from Xueqiu被引量：39收藏
- 作者：Chen, Siliu Ren, Fei
- 机构： School of Business
- 来源：arXiv 2026
- 关键词：Social networking (online)
- Recurrence interval analysis of high-frequency financial returns and its application to risk estimation被引量：37收藏
- 作者：Ren, Fei 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：NEW JOURNAL OF PHYSICS 2010
- 关键词：Frequency estimation - Risk assessment - Commerce - Financial markets - Risk perception - Value engineering
- Coupled effects of epidemic information and risk awareness on contagion被引量：35收藏
- 作者：Xu, Wen-Juan Zhong, Chen-Yang Ye, Hui-Fen Chen, Rong-Da Qiu, Tian Ren, Fei Zhong, Li-Xin
- 机构： School of Law; Department of Statistics; School of Accounting; School of Finance and Coordinated Innovation Center of Wealth Management and Quantitative Investment; School of Information Engineering
- 来源：arXiv 2020
- 关键词：Disease control
- Corporate Transparency and the Disposition Effect被引量：35收藏
- 作者：Chen, Siliu Ren, Fei
- 机构： School of Business
- 来源：arXiv 2026
- 关键词：Financial markets - Investments - Profitability - Sales
- Statistical properties of volatility return intervals of Chinese stocks被引量：35收藏
- 作者：Ren, Fei Guo, Liang 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 2009
- 关键词：Econophysics Volatility return interval Scaling Long memory
- Dynamic Evolution of Cross-Correlations in the Chinese Stock Market被引量：32收藏
- 作者：Ren, Fei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PLOS ONE 2014
- Dynamic lead-lag relationship between Chinese carbon emission trading and stock markets under exogenous shocks被引量：28收藏
- 作者：Chen, Zhang-HangJian Ren, Fei Yang, Ming-Yuan Lu, Feng-Zhi Li, Sai-Ping
- 机构：Anhui Univ;East China Univ Sci & Technol;Henan Univ Sci & Technol;Anhui Univ;Acad Sinica
- 来源：INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2023
- 关键词：Carbon emission trading market Stock market Lead-lag relationship Exogenous shocks Thermal optimal path
- Recurrence interval analysis of trading volumes被引量：28收藏
- 作者：Ren, Fei 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 2010
- 关键词：Financial markets - Probability distributions - Commerce
- Dynamic Portfolio Strategy Using Clustering Approach被引量：28收藏
- 作者：Ren, Fei Lu, Ya-Nan Li, Sai-Ping Jiang, Xiong-Fei Zhong, Li-Xin Qiu, Tian
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Ningbo Dahongying Univ;Zhejiang Univ Finance & Econ
- 来源：PLOS ONE 2017
- 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
- 股吧个体信息交互对股价联动关系的影响研究被引量：27收藏
- 作者：陈张杭健 吴粤 李世炳 任飞
- 机构：华东理工大学商学院;华东理工大学信息科学与工程学院;中央研究院物理研究所
- 来源：《管理科学学报》 2021
- 关键词：股吧 信息扩散 信息交互 股价联动 复杂网络
- 摘要：以往股价联动的影响因素研究主要基于社会嵌入理论,认为机构持股等上市公司社会关系的信息扩散功能是重要因素之一.但中国沪深股票市场中小投资者居多,个体投资者在社交媒体上的信息交互行为对股市联动性的影响日益凸显.采用东方财富网...
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- Multiscaling behavior in the volatility return intervals of Chinese indices被引量：27收藏
- 作者：Ren, Fei 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：EPL 2008
- Dynamic lead-lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets被引量：19收藏
- 作者：Ren, Fei Ji, Shen-Dan Cai, Mei-Ling Li, Sai-Ping Jiang, Xiong-Fei
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Ningbo Dahongying Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Lead-lag relationship Thermal optimal path Price discovery Stock index Stock index derivatives
- Scaling and memory in the return intervals of energy dissipation rate in three-dimensional fully developed turbulence被引量：15收藏
- 作者：Liu, Chuang Jiang, Zhi-Qiang Ren, Fei 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 2009
- 关键词：fractals statistical analysis turbulence
- 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
- Effects of attachment preferences on coevolution of opinions and networks被引量：12收藏
- 作者：Zhong, Li-Xin Ren, Fei Qiu, Tian Xu, Jiang-Rong Chen, Bi-Hui Liu, Cai-Feng
- 机构：Hangzhou Dianzi Univ;E China Univ Sci & Technol;Nanchang Hangkong Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Coevolving networks Opinion formation Personal preference
- A clustering-based portfolio strategy incorporating momentum effect and market trend prediction被引量：11收藏
- 作者：Lu, Ya-Nan Li, Sai-Ping Zhong, Li-Xin Jiang, Xiong-Fei Ren, Fei
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Zhejiang Univ Finance & Econ;Ningbo Dahongying Univ
- 来源：CHAOS SOLITONS & FRACTALS 2018
- 关键词：Financial network Cluster algorithm Portfolio strategy Momentum effect Market trend prediction
- Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks被引量：11收藏
- 作者：Chen, Zhang-HangJian Li, Sai-Ping Cai, Mei-Ling Zhong, Li-Xin Ren, Fei
- 机构：East China Univ Sci & Technol;Acad Sinica;Zhejiang Univ Finance & Econ;East China Univ Sci & Technol
- 来源：NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 2021
- 关键词：Cross-regional risk spillovers Stock index Stock index futures Exogenous shocks
- Time scales of epidemic spread and risk perception on adaptive networks被引量：11收藏
- 作者：Zhong, Lixin Qiu, Tian Ren, Fei Li, Pingping Chen, Bihui
- 机构：Zhejiang Univ Finance & Econ;Nanchang Hangkong Univ;E China Univ Sci & Technol;Wenzhou Univ
- 来源：EPL 2011
- 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
- Information spreading on mobile communication networks: A new model that incorporates human behaviors被引量：9收藏
- 作者：Ren, Fei Li, Sai-Ping Liu, Chuang
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Hangzhou Normal Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017
- 关键词：Complex networks Information spreading Mobile phone data
- The price impact asymmetry of institutional trading in the Chinese stock market被引量：8收藏
- 作者：Ren, Fei Zhong, Li-Xin
- 机构：E China Univ Sci & Technol;Zhejiang Univ Finance & Econ;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2012
- 关键词：Econophysics Price impact Institutional trading Market microstructure
- 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
- Multiple learning mechanisms promote cooperation in public goods games with project selection被引量：6收藏
- 作者：Zhong, Li-Xin Xu, Wen-Juan Chen, Rong-Da He, Yun-Xin Qiu, Tian Ren, Fei Shi, Yong-Dong Zhong, Chen-Yang
- 机构：Zhejiang Univ Finance & Econ;Zhejiang Univ Finance & Econ;Zhejiang Univ Finance & Econ;Nanchang Hangkong Univ;East China Univ Sci & Technol
- 来源：CHAOS SOLITONS & FRACTALS 2020
- 关键词：Public goods game Project selection Multiple learning mechanism Individual preference
- 互联网沟通如何影响股票定价效率?——基于投资者关注的机制检验被引量：5收藏
- 作者：罗靖怡 任飞 陈张杭健 熊熊
- 机构：华东理工大学商学院;安徽大学经济学院;天津大学管理与经济学部
- 来源：《管理评论》 2024
- 关键词：互联网沟通 投资者关注 股票定价效率
- 摘要：互联网沟通平台为上市公司与投资者开辟了双向交流渠道,从信息发布与接收两个方面优化信息传递过程。本文结合东方财富网股吧中“问董秘”和“热帖”模块数据,同时度量互联网沟通中的信息发布与接收情况,检验互联网沟通的作用及其实现机...
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