Traders develop and adopt different trading strategies attempting to maximize their profits in financial markets. These trading strategies not only result in specific topological structures in trading networks, which connect the traders with the pairwise buy–sell relationships, but also have...

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....

In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered....

This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this structure. This model allows heterogeneous investors to...

Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly...

Using the Agent-based Computational Finance (ACF) method, we build an artificial stock market with heterogeneous adaptive investors and investigate the evolutionary and interacting relationship between rational investors and irrational investors. We find that with strategy switching, there is a...

We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return...

This article employs the number of news appeared in Baidu News as a novel proxy for information arrival and investigates the validation of the Mixture of Distribution Hypothesis (MDH) using a sample of SME PRICE INDEX in China. The empirical results reveal a positive impact of internet...

The aim of this paper is to find the optimal level of position limit for the Chinese Stock Index (CSI) 300 futures market. A small position limit helps to prevent price manipulations in the spot market, thus able to keep the magnitude of instantaneous price changes within policy makers'...

Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we...