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Analysis of trade packages in Chinese stock market
Econophysics Trade package Stock trading behavior Price impact Scaling laws
2011/3/30
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distribution...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
stock market crash financial bubble Chinese markets rational expectation bubble herding
2010/11/2
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bi...
Empirical regularities of opening call auction in Chinese stock market
Econophysics Order-driven markets Opening call action Limit-order book Microstructure theory
2010/11/1
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative pr...
Empirical shape function of limit-order books in the Chinese stock market
Empirical shape function limit-order books Chinese stock market
2010/12/13
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange...
Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
Scaling Memory Effect Volatility Return Interval Chinese Stock Market
2010/12/20
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return...