成果/Result
- 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
- 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
- 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
- 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
- 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
- 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
- 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
- Design of an Adaptive Human-Machine System Based on Dynamical Pattern Recognition of Cognitive Task-Load被引量：10收藏
- 作者：Zhang, Jianhua Yin, Zhong Wang, Rubin
- 机构：East China Univ Sci & Technol;Univ Shanghai Sci & Technol;East China Univ Sci & Technol
- 来源：FRONTIERS IN NEUROSCIENCE 2017
- 关键词：adaptive functional allocation cognitive task-load electrophysiology dynamic pattern recognition man-machine system
- Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market被引量：5收藏
- 作者：Shi, Huai-Long Zhou, Wei-Xing
- 机构：Nanjing Univ Informat Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 2021
- 关键词：Momentum effect Contrarian effect Idiosyncratic risk Chinese stock market
- Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS被引量：1收藏
- 作者：Chang, Chen-Ye Qian, Xi-Yuan Jian, Sheng-Yuan
- 机构：E China Univ Sci & Technol
- 来源：JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION 2012
- 关键词：Bayesian inference Chinese stock market conditional constant correlations DIC MCMC multivariate GARCH and stochastic volatility prior for correlation matrix sector index WinBUGS
