成果/Result
- Self-organizing Ising model of financial markets被引量：112收藏
- 作者：Zhou, W.-X. Sornette, D.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;ETH
- 来源：EUROPEAN PHYSICAL JOURNAL B 2007
- 关键词：Feedback - Learning systems - Magnetic fields - Mathematical models
- 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
- 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
- Universal price impact functions of individual trades in an order-driven market被引量：61收藏
- 作者：Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：QUANTITATIVE FINANCE 2012
- 关键词：Econophysics Price impact function Price-volume relation Scaling laws Data collapsing
- 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
- A case study of speculative financial bubbles in the South African stock market 2003-2006被引量：51收藏
- 作者：Zhou, Wei-Xing Sornette, Didier
- 机构：ETH;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 Financial bubble Super-exponential acceleration Log-periodicity Power-law singularity African common stocks
- 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
- Detrended fluctuation analysis of intertrade durations被引量：44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 2009
- 关键词：Econophysics Intertrade duration Intraday pattern Long memory Multifractal nature
- Statistical properties of world investment networks被引量：44收藏
- 作者：Song, Dong-Ming 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;Chinese Acad Sci
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2009
- 关键词：Econophysics Complex networks World investment network Probability distribution Allometric scaling
- 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
- Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market被引量：39收藏
- 作者：Mu, G. -H. Chen, W. Kertesz, J. Zhou, W. -X.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Budapest Univ Technol & Econ;Shenzhen Stock Exchange;Aalto Univ
- 来源：EUROPEAN PHYSICAL JOURNAL B 2009
- 关键词：Financial markets
- Tests of nonuniversality of the stock return distributions in an emerging market被引量：33收藏
- 作者：Mu, Guo-Hua 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：Commerce - Time measurement - Probability distributions - Investments
- Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates被引量：32收藏
- 作者：Zhou, Wei-Xing Sornette, Didier
- 机构：Swiss Fed Inst Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2007
- 关键词：thermal optimal path time series inflation GDP growth convention
- Endogenous and exogenous dynamics in the fluctuations of capital fluxes - An empirical analysis of the Chinese stock market被引量：32收藏
- 作者：Jiang, Z.-Q. Guo, L. Zhou, W.-X.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：EUROPEAN PHYSICAL JOURNAL B 2007
- 关键词：Financial data processing - Fractals - Mathematical models - Statistical methods
- 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
- 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
- Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests被引量：20收藏
- 作者：Qian, Xi-Yuan Song, Fu-Tie 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：threshold autoregressive (TAR) model unit root Chinese stock market regime change crashes
- Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index被引量：18收藏
- 作者：Mu, Guo-Hua 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 Chinese stock market power-law relaxation Omori law volatility dynamics
- 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
- 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
- Intraday Pattern in Bid-Ask Spreads and Its Power-Law Relaxation for Chinese A-Share Stocks被引量：5收藏
- 作者：Ni, Xiao-Hui Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：JOURNAL OF THE KOREAN PHYSICAL SOCIETY 2009
- 关键词：Econophysics Bid-ask spreads Intraday pattern Relaxation dynamics Chinese stocks Power law
