成果/Result
- Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles被引量：152收藏
- 作者：Jiang, Zhi-Qiang Zhou, Wei-Xing Sornette, Didier Woodard, Ryan Bastiaensen, Ken Cauwels, Peter
- 机构：Swiss Fed Inst Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Univ Geneva
- 来源：JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 2010
- 关键词：Stock market crash Financial bubble Chinese markets Rational expectation bubble Herding Log-periodic power law Lomb spectral analysis Unit-root test
- Self-organizing Ising model of financial markets被引量：112收藏
- 作者：Zhou, W.-X. Sornette, D.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;ETH
- 来源：EUROPEAN PHYSICAL JOURNAL B 2007
- 关键词：Feedback - Learning systems - Magnetic fields - Mathematical models
- Systemic risk and spatiotemporal dynamics of the US housing market被引量：83收藏
- 作者：Meng, Hao Xie, Wen-Jie Jiang, Zhi-Qiang Podobnik, Boris Zhou, Wei-Xing Stanley, H. Eugene
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Boston Univ;Boston Univ
- 来源：SCIENTIFIC REPORTS 2014
- 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
- Testing the weak-form efficiency of the WTI crude oil futures market被引量：74收藏
- 作者：Jiang, Zhi-Qiang Xie, Wen-Jie 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 2014
- 关键词：Crude oil futures Weak-form efficiency Bootstrapping
- 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
- 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
- Universal price impact functions of individual trades in an order-driven market被引量：61收藏
- 作者：Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：QUANTITATIVE FINANCE 2012
- 关键词：Econophysics Price impact function Price-volume relation Scaling laws Data collapsing
- Scaling in the distribution of intertrade durations of Chinese stocks被引量：58收藏
- 作者：Jiang, Zhi-Qiang 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 intertrade duration Weibull distribution q-exponential distribution scaling Chinese stock markets
- 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
- Complex stock trading network among investors被引量：54收藏
- 作者：Jiang, Zhi-Qiang Zhou, Wei-Xing
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;Chinese Acad Sci
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2010
- 关键词：Econophysics Limit order book Trade sizes Trading networks Power-law distribution
- Sector connectedness in the Chinese stock markets被引量：53收藏
- 作者：Shen, Ying-Ying Jiang, Zhi-Qiang Ma, Jun-Chao Wang, Gang-Jin Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;East China Univ Sci & Technol;Hunan Univ;Hunan Univ
- 来源：EMPIRICAL ECONOMICS 2022
- 关键词：Network connectedness Volatility spillovers Financial networks Stock market sectors Connectedness indexes G14 C51 C52
- Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant被引量：51收藏
- 作者：Ruan, Yong-Ping 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 2011
- 关键词：Econophysics Stock and warrant Intertrade duration Correlation Multifractal analysis
- A case study of speculative financial bubbles in the South African stock market 2003-2006被引量：51收藏
- 作者：Zhou, Wei-Xing Sornette, Didier
- 机构：ETH;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2009
- 关键词：Econophysics Financial bubble Super-exponential acceleration Log-periodicity Power-law singularity African common stocks
- Clarifications to questions and criticisms on the Johansen-Ledoit-Sornette financial bubble model被引量：48收藏
- 作者：Sornette, Didier Woodard, Ryan Yan, Wanfeng Zhou, Wei-Xing
- 机构：ETH;Univ Geneva;E China Univ Sci & Technol
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2013
- 关键词：JLS model Financial bubbles Crashes Log-periodic power law Probabilistic forecast
- Statistical properties of world investment networks被引量：44收藏
- 作者：Song, Dong-Ming Jiang, Zhi-Qiang 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;Chinese Acad Sci
- 来源：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2009
- 关键词：Econophysics Complex networks World investment network Probability distribution Allometric scaling
- Detrended fluctuation analysis of intertrade durations被引量：44收藏
- 作者：Jiang, Zhi-Qiang 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 2009
- 关键词：Econophysics Intertrade duration Intraday pattern Long memory Multifractal nature
- 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
- Correlation structure and principal components in the global crude oil market被引量：41收藏
- 作者：Dai, Yue-Hua Xie, Wen-Jie Jiang, Zhi-Qiang Jiang, George J. Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;Washington State Univ;East China Univ Sci & Technol
- 来源：EMPIRICAL ECONOMICS 2016
- 关键词：Crude oil Principal component analysis Correlation structure Regionalization Geographical information Eigenvalue
- Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market被引量：39收藏
- 作者：Mu, G. -H. Chen, W. Kertesz, J. Zhou, W. -X.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;Budapest Univ Technol & Econ;Shenzhen Stock Exchange;Aalto Univ
- 来源：EUROPEAN PHYSICAL JOURNAL B 2009
- 关键词：Financial markets
- 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
- The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields被引量：35收藏
- 作者：Guo, Kun Zhou, Wei-Xing Cheng, Si-Wei Sornette, Didier
- 机构：Chinese Acad Sci;E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol;ETH
- 来源：PLOS ONE 2011
- Temporal and spatial correlation patterns of air pollutants in Chinese cities被引量：33收藏
- 作者：Dai, Yue-Hua Zhou, Wei-Xing
- 机构：East China Univ Sci & Technol;Washington State Univ;East China Univ Sci & Technol;East China Univ Sci & Technol
- 来源：PLOS ONE 2017
- 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
- Tests of nonuniversality of the stock return distributions in an emerging market被引量：33收藏
- 作者：Mu, Guo-Hua 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;Chinese Acad Sci
- 来源：PHYSICAL REVIEW E 2010
- 关键词：Commerce - Time measurement - Probability distributions - Investments
- Extreme value statistics and recurrence intervals of NYMEX energy futures volatility被引量：33收藏
- 作者：Xie, Wen-Jie Jiang, Zhi-Qiang 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
- 来源：ECONOMIC MODELLING 2014
- 关键词：Extreme volatility Risk estimation Recurrence interval Distribution Memory
- 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
- Endogenous and exogenous dynamics in the fluctuations of capital fluxes - An empirical analysis of the Chinese stock market被引量：32收藏
- 作者：Jiang, Z.-Q. Guo, L. Zhou, W.-X.
- 机构：E China Univ Sci & Technol;E China Univ Sci & Technol;E China Univ Sci & Technol
- 来源：EUROPEAN PHYSICAL JOURNAL B 2007
- 关键词：Financial data processing - Fractals - Mathematical models - Statistical methods
- 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
