Showing 1 - 10 of 11
Community detection is one of the most important problems in complex networks. Many algorithms have been proposed in the last decade, and most of them focus on the non-overlapping community structures in the early days. Overlapping and hierarchical structures are another two important properties...
Persistent link: https://www.econbiz.de/10010872887
A scaling theory is formulated in nonlinear Langevin equations with colored noise near the instability point from which the center of the initial distribution is deviated slightly. An intuitive derivation is given as well as perturbational calculations up to the infinite order of the noise....
Persistent link: https://www.econbiz.de/10011063416
In this paper, we discuss the portfolio optimization problem with real-world constraints under the assumption that the returns of risky assets are fuzzy numbers. A new possibilistic mean-semiabsolute deviation model is proposed, in which transaction costs, cardinality and quantity constraints...
Persistent link: https://www.econbiz.de/10011264538
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock...
Persistent link: https://www.econbiz.de/10010874017
In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization...
Persistent link: https://www.econbiz.de/10010874258
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against...
Persistent link: https://www.econbiz.de/10010874731
We study the statistical regularities of an 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 price, defined as the relative difference between the order price in the opening call auction...
Persistent link: https://www.econbiz.de/10010589040
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the...
Persistent link: https://www.econbiz.de/10010589043
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations, defined as the waiting times between...
Persistent link: https://www.econbiz.de/10010589071
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 in 2003. We find that the averaged LOB shape has a maximum away from the same best price for...
Persistent link: https://www.econbiz.de/10010590947