成果/Result
- Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies被引量：32收藏
- 作者：Meng, Hao 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;Swiss Fed Inst Technol;Univ Geneva
- 来源：QUANTITATIVE FINANCE 2017
- 关键词：Lead-lag structure Symmetric thermal optimal path Statistical test Housing market Monetary policy
- 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
- Limit-order book resiliency after effective market orders: spread, depth and intensity被引量：19收藏
- 作者：Xu, Hai-Chuan Chen, Wei Xiong, Xiong Zhang, Wei Zhou, Wei-Xing Stanley, H. Eugene
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Shenzhen Stock Exchange;Tianjin Univ;East China Univ Sci & Technol
- 来源：JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT 2017
- 关键词：market microstructure market impact quantitative finance scaling in socio-economic systems
- 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
- 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
- Quantifying immediate price impact of trades based on the k-shell decomposition of stock trading networks被引量：11收藏
- 作者：Xie, Wen-Jie Li, Ming-Xia Xu, Hai-Chuan Chen, Wei Zhou, Wei-Xing Stanley, H. Eugene
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Shenzhen Stock Exchange
- 来源：EPL 2016
- Immediate price impact of a stock and its warrant: Power-law or logarithmic model?被引量：9收藏
- 作者：Xu, Hai-Chuan Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：INTERNATIONAL JOURNAL OF MODERN PHYSICS B 2017
- 关键词：Econophysics immediate price impact limit order book
- 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
- Taylor's Law of Temporal Fluctuation Scaling in Stock Illiquidity被引量：3收藏
- 作者：Cai, Qing Xu, Hai-Chuan Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：FLUCTUATION AND NOISE LETTERS 2016
- 关键词：Taylor's law mean-variance analysis temporal fluctuation scaling stock illiquidity Chinese stock markets
- 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
- Sparse principal component factors in asset pricing: evidence from the Chinese stock market被引量：1收藏
- 作者：Xu, Hai-Chuan Wu, Meng Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol
- 来源：ANNALS OF OPERATIONS RESEARCH 2026
- 关键词：Factor models Stochastic discount factor Machine learning Sparse hypothesis
- Modeling aggressive market order placements with Hawkes factor models被引量：0收藏
- 作者：Xu, Hai-Chuan Zhou, Wei-Xing
- 机构：East Chine Univ Sci & Technol;East Chine Univ Sci & Technol;East Chine Univ Sci & Technol
- 来源：PLOS ONE 2020
