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We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence...
Persistent link: https://www.econbiz.de/10005098723
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than...
Persistent link: https://www.econbiz.de/10005099115
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...
Persistent link: https://www.econbiz.de/10011161416
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than...
Persistent link: https://www.econbiz.de/10010871864
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...
Persistent link: https://www.econbiz.de/10010550282
When common factors strongly influence two power-law cross-correlated time series recorded in complex natural or social systems, using classic detrended cross-correlation analysis (DCCA) without considering these common factors will bias the results. We use detrended partial cross-correlation...
Persistent link: https://www.econbiz.de/10011257663
Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index...
Persistent link: https://www.econbiz.de/10011261694
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousands traditional technical trading rules on...
Persistent link: https://www.econbiz.de/10011266312
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time....
Persistent link: https://www.econbiz.de/10011200034
The latest global financial tsunami and its follow-up global economic recession has uncovered the crucial impact of housing markets on financial and economic systems. The Chinese stock market experienced a markedly fall during the global financial tsunami and China's economy has also slowed down...
Persistent link: https://www.econbiz.de/10011206309