成果/Result
- 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
- Linear and nonlinear correlations in order aggressiveness of Chinese stocks被引量：86收藏
- 作者：Yue, Peng Xu, Hai-Chuan Chen, Wei Xiong, Xiong Zhou, Wei-Xing
- 机构： School of Business; Research Center for Econophysics; Shenzhen Stock Exchange; College of Management and Economics; China Center for Social Computing and Analytics
- 来源：arXiv 2017
- 关键词：Commerce
- The Impact of External Uncertainties on the Extreme Return Connectedness between Food, Fossil Energy, and Clean Energy Markets被引量：71收藏
- 作者：Zhang, Ting Xu, Hai-Chuan Zhou, Wei-Xing
- 机构： School of Business; School of Business; Research Center for Econophysics; School of Mathematics
- 来源：SSRN 2025
- 关键词：Investments - Uncertainty 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
- 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
- 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
- Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates被引量：24收藏
- 作者：Xu, Hai-Chuan Zhou, Wei-Xing Sornette, Didier
- 机构： Department of Finance; Postdoctoral Research Station; Department of Mathematics; Department of Management; Swiss Finance Institute
- 来源：arXiv 2018
- 关键词：Finance - Offshore oil well production
- A Global Clock Model for the Consortium Blockchains被引量：20收藏
- 作者：Zan, Chao Xu, Hai-Chuan
- 机构： IT Department; Department of Finance; Research Center for Econophysics
- 来源：Communications in Computer and Information Science 2020
- 关键词：Mechanical clocks - Synchronization
- MULTIFRACTAL BEHAVIOR OF CRYPTOCURRENCIES BEFORE AND DURING COVID-19被引量：15收藏
- 作者：Shao, Ying-Hui Xu, Han Liu, Ying-Lin Xu, Hai-Chuan
- 机构：Shanghai Univ Int Business & Econ;Shanghai Univ Finance & Econ;East China Univ Sci & Technol
- 来源：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY 2021
- 关键词：Cryptocurrency MFDFA COVID-19 Multifractality Generalized Hurst Exponent High-Frequency Data
- Reconstruction of international energy trade networks with given marginal data: A comparative analysis被引量：15收藏
- 作者：Xu, Hai-Chuan Wang, Zhi-Yuan Jawadi, Fredj Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;IAE Lille Univ
- 来源：CHAOS SOLITONS & FRACTALS 2023
- 关键词：Network reconstruction Energy trade network Comparative analysis Complex network
- LINEAR AND NONLINEAR CORRELATIONS IN THE ORDER AGGRESSIVENESS OF CHINESE STOCKS被引量：8收藏
- 作者：Yue, Peng Xu, Hai-Chuan Chen, Wei Xiong, Xiong Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Shenzhen Stock Exchange;Tianjin Univ;Tianjin Univ
- 来源：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY 2017
- 关键词：Econophysics Detrending Moving Average Analysis Fractal Analysis Order Aggressiveness Order Flow
- Power-law tails in the distribution of order imbalance被引量：2收藏
- 作者：Zhang, Ting Gu, Gao-Feng Xu, Hai-Chuan Xiong, Xiong Chen, Wei Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;Shenzhen Stock Exchange
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017
- 关键词：Econophysics Order imbalance Probability distribution Power-law tail Order book
- 下行风险、失望厌恶与资产定价被引量：0收藏
- 作者：许海川 卢静娴
- 机构：华东理工大学商学院
- 来源：《系统工程理论与实践》 2024
- 关键词：风险溢价 广义失望厌恶 下行风险 资产定价
- 摘要：运用包含市场因子、波动因子和下行风险相关因子的广义失望厌恶模型,研究下行风险及其风险溢价,并实证检验该模型对中国市场资产横截面定价的适用性.分别基于公司特征组合和股债组合作为测试资产,发现波动因子、下行状态因子和波动下行...
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