成果/Result
- 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
- 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
- Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns被引量：27收藏
- 作者：Zhou, Jian Gu, Gao-Feng Jiang, Zhi-Qiang Xiong, Xiong Chen, Wei Zhang, Wei Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;Tianjin Univ
- 来源：COMPUTATIONAL ECONOMICS 2017
- 关键词：Computational experiment Order-driven model Market efficiency Order direction Long memory
- 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
- Statistical properties of daily ensemble variables in the Chinese stock markets被引量：23收藏
- 作者：Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2007
- 关键词：econophysics ensemble return variety probability distribution long memory statistical test
- 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
- 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
- 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
- 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
- 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
- Stylized facts of price gaps in limit order books被引量：6收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Zhang, Yong-Jie Chen, Wei Zhang, Wei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Tianjin Univ;Tianjin Univ;Shenzhen Stock Exchange
- 来源：CHAOS SOLITONS & FRACTALS 2016
- 关键词：Econophysics Price gap Limit order book Liquidity Stylized facts Buy-sell asymmetry
- On the growth of primary industry and population of China's counties被引量：5收藏
- 作者：Xie, Wen-Jie Gu, Gao-Feng Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Econophysics Growth dynamics Distributions Primary industry Population
- Exponentially decayed double power-law distribution of Bitcoin trade sizes被引量：4收藏
- 作者：Li, Mu-Yao Cai, Qing 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：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Econophysics Bitcoin Cryptocurrency Trade size Probability distribution
- The position profiles of order cancellations in an emerging stock market被引量：3收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Ren, Fei Zhou, Wei-Xing Zhang, Wei
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Tianjin Univ;E China Univ Sci & Technol
- 来源：JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT 2013
- 关键词：critical phenomena of socio-economic systems scaling in socioeconomic systems
- 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
- An empirical behavioral order-driven model with price limit rules被引量：1收藏
- 作者：Gu, Gao-Feng Xiong, Xiong Xu, Hai-Chuan Zhang, Wei Zhang, Yongjie Chen, Wei Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;Tianjin Univ;Shenzhen Stock Exchange
- 来源：FINANCIAL INNOVATION 2021
- 关键词：Econophysics Order-driven model Agent-based model Asymmetric price limit Stylized facts Limit order book
