成果/Result
- 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
- 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
- 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
- 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
- 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
- Hierarchical contagions in the interdependent financial network被引量：15收藏
- 作者：Barnett, William A. Wang, Xue Xu, Hai-Chuan Zhou, Wei-Xing
- 机构：Univ Kansas;Ctr Financial Stabil;Southwestern Univ Finance & Econ;Emory Univ;East China Univ Sci & Technol
- 来源：JOURNAL OF FINANCIAL STABILITY 2022
- 关键词：Systemic risk Financial network Interdependent network Contagions Stress test
- 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
- Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework被引量：9收藏
- 作者：Xu, Hai-Chuan Jawadi, Fredj Zhou, Jie Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;IAE Lille Univ
- 来源：EMPIRICAL ECONOMICS 2022
- 关键词：TVP-VAR Spillover effect Systemic risk Systemically important financial institutions Ranking stability
- 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
- News coverage and portfolio returns: Evidence from China被引量：5收藏
- 作者：Li, Cong-Cong Xu, Hai-Chuan Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;Univ Int Business & Econ;East China Univ Sci & Technol
- 来源：PACIFIC-BASIN FINANCE JOURNAL 2020
- 关键词：News coverage Portfolio returns Investors' attention Return predictability News momentum
- Stress testing climate risk: A network-based analysis of the Chinese banking system被引量：3收藏
- 作者：Xu, Hai-Chuan Li, Tai-Min Dai, Peng-Fei Nguyen, Duc Khuong Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Normal Univ;Wuhan Univ Technol;Leonard Vinci Pole Univ
- 来源：JOURNAL OF INTERNATIONAL MONEY AND FINANCE 2024
- 关键词：Systemic risk Climate policy Network model Macroprudential stress testing
- 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
- The double-edged role of social learning: Flash crash and lower total volatility被引量：2收藏
- 作者：Xu, Hai-Chuan Zhang, Wei Xiong, Xiong Wang, Xue Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Tianjin Univ;Tianjin Univ;Southwestern Univ Finance & Econ
- 来源：JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 2021
- 关键词：Social learning Flash crash Agent-based model Adaptation
- The stable tail dependence and influence among the European stock markets: a score-driven dynamic copula approach被引量：2收藏
- 作者：Barnett, William A. Wang, Xue Xu, Hai-Chuan Zhou, Wei-Xing
- 机构：Univ Kansas;Ctr Financial Stabil;Southwestern Univ Finance & Econ;Emory Univ;East China Univ Sci & Technol
- 来源：EUROPEAN JOURNAL OF FINANCE 2023
- 关键词：Tail dependence time-varying copula generalized autoregressive score European stock markets
- 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
- 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
