成果/Result
- Tail dependence networks of global stock markets被引量：73收藏
- 作者：Wen, Fenghua Yang, Xin Zhou, Wei-Xing
- 机构：Cent South Univ;Univ Windsor;Changsha Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 2019
- 关键词：community structure complex network Pearson's correlation coefficient SJC copula stock market
- A global economic policy uncertainty index from principal component analysis被引量：56收藏
- 作者：Dai, Peng-Fei Xiong, Xiong Zhou, Wei-Xing
- 机构：Tianjin Univ;Tianjin Univ;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：FINANCE RESEARCH LETTERS 2021
- 关键词：Econophysics Economic policy uncertainty Principal component analysis Volatility Correlation
- Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates被引量：43收藏
- 作者：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;ETH;Univ Geneva
- 来源：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 2017
- 关键词：Renminbi exchange rates Onshore and offshore markets Lead-lag structure Thermal optimal path
- Market Correlation Structure Changes Around the Great Crash: A Random Matrix Theory Analysis of the Chinese Stock Market被引量：38收藏
- 作者：Han, Rui-Qi Xie, Wen-Jie Xiong, Xiong Zhang, Wei Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;East China Univ Sci & Technol
- 来源：FLUCTUATION AND NOISE LETTERS 2017
- 关键词：Econophysics random matrix theory Partial correlation stock market financial crisis eigenvalue
- Cross-shareholding networks and stock price synchronicity: Evidence from China被引量：33收藏
- 作者：Wen, Fenghua Yuan, Yujie Zhou, Wei-Xing
- 机构：Cent South Univ;Univ Windsor;Univ Essex;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 2021
- 关键词：Cross-shareholding network noise trading ownership price informativeness stock price synchronicity
- Visibility graph analysis of economy policy uncertainty indices被引量：33收藏
- 作者：Dai, Peng-Fei Xiong, Xiong Zhou, Wei-Xing
- 机构：Tianjin Univ;Tianjin Univ;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Econophysics Economic policy uncertainty Complex network Visibility graph
- Time series momentum and contrarian effects in the Chinese stock market被引量：28收藏
- 作者：Shi, Huai-Long Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017
- 关键词：Econophysics Time series momentum effect Time series contrarian effect Trading strategy Chinese stock market
- Is there a housing bubble in China?被引量：26收藏
- 作者：Zhi, Tianhao Li, Zhongfei Jiang, Zhiqiang Wei, Lijian Sornette, Didier
- 机构：BNU HKBU United Int Coll;Sun Yat Sen Univ;East China Univ Sci & Technol;ETH;ETH
- 来源：EMERGING MARKETS REVIEW 2019
- 关键词：Housing bubble Log-period-power-law-singularity Bubble prediction Chinese housing market
- Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant被引量：26收藏
- 作者：Li, Ming-Xia Jiang, Zhi-Qiang Xie, Wen-Jie Xiong, Xiong Zhang, Wei 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：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2015
- 关键词：Econophysics Trading network Order flow Correlation Stock Warrant
- Profitability of Contrarian Strategies in the Chinese Stock Market被引量：25收藏
- 作者：Shi, Huai-Long 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：PLOS ONE 2015
- Profitability of simple technical trading rules of Chinese stock exchange indexes被引量：24收藏
- 作者：Zhu, Hong Jiang, Zhi-Qiang Li, Sai-Ping Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Acad Sinica;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2015
- 关键词：Econophysics Technical trading rules Profitability White's Reality Check Bootstrap Transaction costs
- A weekly sentiment index and the cross-section of stock returns被引量：23收藏
- 作者：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：FINANCE RESEARCH LETTERS 2018
- 关键词：Investor sentiment Partial least squares Return predictability
- Club convergence of house prices: Evidence from China's ten key cities被引量：22收藏
- 作者：Meng, Hao Xie, Wen-Jie 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;E China Univ Sci & Technol
- 来源：INTERNATIONAL JOURNAL OF MODERN PHYSICS B 2015
- 关键词：Econophysics random matrix theory club convergence house prices ripple effect
- Early warning model based on correlated networks in global crude oil markets被引量：22收藏
- 作者：Yu, Jia-Wei Xie, Wen-Jie Jiang, Zhi-Qiang
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2018
- 关键词：Systemic risk Early warning model Network density Modularity
- Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets被引量：20收藏
- 作者：Shi, Huai-Long Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017
- 关键词：Econophysics Adaptive market hypothesis Contrarian effect Momentum effect
- 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
- Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets被引量：19收藏
- 作者：Wan, Yu-Lei Xie, Wen-Jie Gu, Gao-Feng Jiang, Zhi-Qiang Chen, Wei Xiong, Xiong Zhang, 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：PLOS ONE 2015
- Relationship between Entropy and Dimension of Financial Correlation-Based Network被引量：18收藏
- 作者：Nie, Chun-xiao Song, Fu-tie
- 机构：East China Univ Sci & Technol
- 来源：ENTROPY 2018
- 关键词：fractal dimension Renyi index minimum spanning tree (MST) planar maximally filtered graph (PMFG) finance
- Short term prediction of extreme returns based on the recurrence interval analysis被引量：16收藏
- 作者：Jiang, Zhi-Qiang Wang, Gang-Jin Canabarro, Askery Podobnik, Boris Xie, Chi Stanley, H. Eugene Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Hunan Univ;Hunan Univ;Boston Univ
- 来源：QUANTITATIVE FINANCE 2018
- 关键词：Extreme return Risk estimation Recurrence interval Return forecasting Hazard probability G130 G110
- Transfer entropy calculation for short time sequences with application to stock markets被引量：15收藏
- 作者：Qiu, Lu Yang, Huijie
- 机构：Shanghai Normal Univ;East China Univ Sci & Technol;Univ Shanghai Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2020
- 关键词：Financial short time series Transfer entropy Financial crisis Early warning
- Dynamics of cluster structure in financial correlation matrix被引量：14收藏
- 作者：Nie, Chun-Xiao
- 机构：East China Univ Sci & Technol
- 来源：CHAOS SOLITONS & FRACTALS 2017
- 关键词：Correlation dimension Cluster algorithm Financial network Financial crisis Correlation coefficient matrix
- Entropy of Graphs in Financial Markets被引量：14收藏
- 作者：Nie, Chun-Xiao Song, Fu-Tie
- 机构：Zhejiang Gongshang Univ;East China Univ Sci & Technol
- 来源：COMPUTATIONAL ECONOMICS 2021
- 关键词：Renyi index Financial graph Correlation matrix Eigenvalues
- Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits被引量：13收藏
- 作者：Ji, Jingru Wang, Donghua Xu, Dinghai Xu, Chi
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Univ Waterloo
- 来源：JOURNAL OF EMPIRICAL FINANCE 2020
- 关键词：Self-exciting point process Truncated generalized Pareto distribution Predictable marks Price limits Branching process
- Testing the performance of technical trading rules in the Chinese markets based on superior predictive test被引量：13收藏
- 作者：Wang, Shan Jiang, Zhi-Qiang Li, Sai-Ping Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Acad Sinica;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2015
- 关键词：Econophysics Technical analysis Data-snooping Bootstrap method Superior predictive ability
- Order imbalances and market efficiency: New evidence from the Chinese stock market被引量：11收藏
- 作者：Zhang, Ting Gu, Gao-Feng Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;Washington State Univ;East China Univ Sci & Technol
- 来源：EMERGING MARKETS REVIEW 2019
- 关键词：Order imbalance Market microstructure Market efficiency
- 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
- Network analysis of the worldwide footballer transfer market被引量：7收藏
- 作者：Li, Ming-Xia 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;Boston Univ
- 来源：EPL 2019
- Brain Network Constancy and Participant Recognition: an Integrated Approach to Big Data and Complex Network Analysis被引量：6收藏
- 作者：Qiu, Lu Nan, Wenya
- 机构：Shanghai Normal Univ;East China Univ Sci & Technol;Shanghai Normal Univ
- 来源：FRONTIERS IN PSYCHOLOGY 2020
- 关键词：complex network symbolic transfer entropy (STE) directed minimum spanning tree (DMST) brain network constancy participant recognition
- Order imbalance and stock returns: New evidence from the Chinese stock market被引量：6收藏
- 作者：Zhang, Ting Jiang, George J. Zhou, Wei-Xing
- 机构：Hunan Univ;East China Univ Sci & Technol;Washington State Univ;East China Univ Sci & Technol
- 来源：ACCOUNTING AND FINANCE 2021
- 关键词：Order imbalance Stock returns Trading strategy
