成果/Result
- 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
- Dynamic Evolution of Cross-Correlations in the Chinese Stock Market被引量：32收藏
- 作者：Ren, Fei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PLOS ONE 2014
- Dynamic lead-lag relationship between Chinese carbon emission trading and stock markets under exogenous shocks被引量：28收藏
- 作者：Chen, Zhang-HangJian Ren, Fei Yang, Ming-Yuan Lu, Feng-Zhi Li, Sai-Ping
- 机构：Anhui Univ;East China Univ Sci & Technol;Henan Univ Sci & Technol;Anhui Univ;Acad Sinica
- 来源：INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2023
- 关键词：Carbon emission trading market Stock market Lead-lag relationship Exogenous shocks Thermal optimal path
- Dynamic Portfolio Strategy Using Clustering Approach被引量：28收藏
- 作者：Ren, Fei Lu, Ya-Nan Li, Sai-Ping Jiang, Xiong-Fei Zhong, Li-Xin Qiu, Tian
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Ningbo Dahongying Univ;Zhejiang Univ Finance & Econ
- 来源：PLOS ONE 2017
- Dynamic lead-lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets被引量：19收藏
- 作者：Ren, Fei Ji, Shen-Dan Cai, Mei-Ling Li, Sai-Ping Jiang, Xiong-Fei
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Ningbo Dahongying Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019
- 关键词：Lead-lag relationship Thermal optimal path Price discovery Stock index Stock index derivatives
- 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
- Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks被引量：11收藏
- 作者：Chen, Zhang-HangJian Li, Sai-Ping Cai, Mei-Ling Zhong, Li-Xin Ren, Fei
- 机构：East China Univ Sci & Technol;Acad Sinica;Zhejiang Univ Finance & Econ;East China Univ Sci & Technol
- 来源：NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 2021
- 关键词：Cross-regional risk spillovers Stock index Stock index futures Exogenous shocks
- A clustering-based portfolio strategy incorporating momentum effect and market trend prediction被引量：11收藏
- 作者：Lu, Ya-Nan Li, Sai-Ping Zhong, Li-Xin Jiang, Xiong-Fei Ren, Fei
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Zhejiang Univ Finance & Econ;Ningbo Dahongying Univ
- 来源：CHAOS SOLITONS & FRACTALS 2018
- 关键词：Financial network Cluster algorithm Portfolio strategy Momentum effect Market trend prediction
- 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
- Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market被引量：5收藏
- 作者：Yang, Ming-Yuan Li, Sai-Ping Wu, Yue Tang, Jingtai Ren, Fei
- 机构：East China Univ Sci & Technol;Acad Sinica;East China Univ Sci & Technol;Jinan Univ;East China Univ Sci & Technol
- 来源：FINANCE RESEARCH LETTERS 2019
- 关键词：Aftershocks Omori law Crash Government rescue policy
- A generalized public goods game with coupling of individual ability and project benefit被引量：4收藏
- 作者：Zhong, Li-Xin Xu, Wen-Juan He, Yun-Xin Zhong, Chen-Yang Chen, Rong-Da Qiu, Tian Shi, Yong-Dong Ren, Fei
- 机构：Zhejiang Univ Finance & Econ;Zhejiang Univ Finance & Econ;Stanford Univ;Peking Univ;Nanchang Hangkong Univ
- 来源：CHAOS SOLITONS & FRACTALS 2017
- 关键词：Public goods game Individual ability Project benefit Group-size preference
- Localized motion in random matrix decomposition of complex financial systems被引量：4收藏
- 作者：Jiang, Xiong-Fei Zheng, Bo Ren, Fei Qiu, Tian
- 机构：Ningbo Dahongying Univ;Zhejiang Univ;Collaborat Innovat Ctr Adv Microstruct;East China Univ Sci & Technol;Nanchang Hongkong Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2017
- 关键词：Econophysics Financial market Business sector Leverage effect Two-factor model
- A Multi-market Comparison of the Intraday Lead-Lag Relations Among Stock Index-Based Spot, Futures and Options被引量：4收藏
- 作者：Ren, Fei Cai, Mei-Ling Li, Sai-Ping Xiong, Xiong Chen, Zhang-HangJian
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;East China Univ Sci & Technol;Acad Sinica;Hong Kong Univ Sci & Technol
- 来源：COMPUTATIONAL ECONOMICS 2023
- 关键词：Lead-lag relation Thermal optimal path Information share model High-frequency data SSE 50
- Analysis of trade packages in the Chinese stock market被引量：4收藏
- 作者：Ren, Fei Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol; E China Univ Sci & Technol
- 来源：QUANTITATIVE FINANCE 2013
- 关键词：Econophysics Empirical time series analysis Scaling Limit orders Multi-factor models A1 A12 C1 C2 C16 C20
- 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
- Extreme-volatility dynamics in crude oil markets被引量：3收藏
- 作者：Jiang, Xiong-Fei Zheng, Bo Qiu, Tian Ren, Fei
- 机构：Ningbo Dahongying Univ;Ningbo Dahongying Univ;Zhejiang Univ;Collaborat Innovat Ctr Adv Microstruct;Nanchang Hangkong Univ
- 来源：EUROPEAN PHYSICAL JOURNAL B 2017
- 关键词：Crude oil - Dynamics - Commerce - Time measurement
- Trading model with pair pattern strategies被引量：3收藏
- 作者：Ren, F. Zhang, Y. C.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Univ Fribourg;Renmin Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2008
- 关键词：agent-based modeling minority game price impact power-law behavior
- Coupled effects of market impact and asymmetric sensitivity in financial markets被引量：3收藏
- 作者：Zhong, Li-Xin Xu, Wen-Juan Ren, Fei Shi, Yong-Dong
- 机构：Zhejiang Univ Finance & Econ;E China Univ Sci & Technol;Dongbei Univ Finance & Econ;Dongbei Univ Finance & Econ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2013
- 关键词：Econophysics Market impact Asymmetric sensitivity Price fluctuations
- Dynamic structure of stock communities: a comparative study between stock returns and turnover rates被引量：2收藏
- 作者：Su, Li-Ling Jiang, Xiong-Fei Li, Sai-Ping Zhong, Li-Xin Ren, Fei
- 机构：East China Univ Sci & Technol;Ningbo Dahongying Univ;Acad Sinica;Zhejiang Univ Finance & Econ;East China Univ Sci & Technol
- 来源：EUROPEAN PHYSICAL JOURNAL B 2017
- 关键词：Statistical Physics - Commerce - Risk perception - Investments
- Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders被引量：2收藏
- 作者：Zhong, Li-Xin Xu, Wen-Juan Chen, Rong-Da Zhong, Chen-Yang Qiu, Tian Ren, Fei He, Yun-Xing
- 机构：Zhejiang Univ Finance & Econ;Zhejiang Univ Finance & Econ;Zhejiang Univ Finance & Econ;Stanford Univ;Nanchang Hangkong Univ
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2018
- 关键词：Econophysics Trading efficiency Momentum traders Self-reinforcing feedback
- Modeling interactions of trading volumes in financial dynamics被引量：1收藏
- 作者：Ren, F. Zheng, B. Chen, P.
- 机构：E China Univ Sci & Technol;Zhejiang Univ;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Econophysics Trading volume Scaling Complex systems
- Institutional Cross-Ownership and Corporate Sustainability Performance: Empirical Evidence Based on United Nations SDGs Ratings被引量：1收藏
- 作者：Yi, Miaomiao Ren, Fei Chen, Zhang-Hangjian
- 机构：East China Univ Sci & Technol;Anhui Univ
- 来源：SUSTAINABILITY 2025
- 关键词：institutional cross-ownership corporate sustainability performance short-termism market power
- New volatility evolution model after extreme events被引量：0收藏
- 作者：Cai, Mei-Ling Chen, Zhang-HangJian Li, Sai-Ping Xiong, Xiong Zhang, Wei Yang, Ming-Yuan Ren, Fei
- 机构：East China Univ Sci & Technol;Anhui Univ;Acad Sinica;Hong Kong Univ Sci & Technol;Tianjin Univ
- 来源：CHAOS SOLITONS & FRACTALS 2022
- 关键词：Volatility evolution Extreme events Volatility modelling Dynamic models
- The effect of investor-driven information diffusion on excess comovement: Evidence from retail and institutional investors in China and the United States被引量：0收藏
- 作者：Ren, Fei Yi, Miaomiao Chen, Zhang-Hangjian Gao, Xiang
- 机构：East China Univ Sci & Technol;Anhui Univ;Shanghai Business Sch
- 来源：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 2026
- 关键词：Investor-driven information diffusion Excess comovement Retail and institutional investors Investors' trading behavior
- Modeling excess comovement with information diffusion on social media被引量：0收藏
- 作者：Chen, Zhang-Hangjian Gao, Xiang Ren, Fei Xiong, Xiong Zhang, Wei
- 机构：East China Univ Sci & Technol;Anhui Univ;Shanghai Business Sch;Tianjin Univ
- 来源：JOURNAL OF ECONOMIC INTERACTION AND COORDINATION 2026
- 关键词：Excess comovement Minority game Financial modeling Information diffusion Common attention Information interaction C51 C79 G12
- Corporate transparency and the disposition effect被引量：0收藏
- 作者：Chen, Siliu Ren, Fei
- 机构：East China Univ Sci & Technol
- 来源：FRONTIERS IN PSYCHOLOGY 2025
- 关键词：corporate transparency disposition effect irrational behavior individual investors firm level
- Investor Information Interaction and Stock Price Co-Jumps被引量：0收藏
- 作者：Ren, Fei Wang, Pengcheng Gao, Xiang Koedijk, Kees G.
- 机构：East China Univ Sci & Technol;Shanghai Business Sch;Univ Utrecht;Ctr Econ Policy Res
- 来源：JOURNAL OF PORTFOLIO MANAGEMENT 2026
- A minority game with expected returns for modeling stock correlations被引量：0收藏
- 作者：Yang, M. -Y. Li, S. -P. Zhong, L. -X. Ren, F.
- 机构：East China Univ Sci & Technol;Acad Sinica;Zhejiang Univ Finance & Econ;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：EPL 2018
