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The optimal pricing of a market maker in a heterogeneous agent economy

Guo, Bin; Zhang, Wei; Chen, Shu-Heng; Zhang, Yongjie - In: Finance research letters 14 (2015), pp. 178-187

Persistent link: https://www.econbiz.de/10011552732

Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns

Zhou, Jian; Gu, Gao-Feng; Jiang, Zhi-Qiang; Xiong, Xiong; … - In: Computational economics 50 (2017) 4, pp. 579-594

Persistent link: https://www.econbiz.de/10011783456

Open source information, investor attention, and asset pricing

Zhang, Wei; Shen, Dehua; Zhang, Yongjie; Xiong, Xiong - In: Economic modelling 33 (2013), pp. 613-619

Persistent link: https://www.econbiz.de/10010193280

Behavioral heterogeneity and excess stock price volatility in China

Zhang, Wei; Zhou, Zhong-Qiang; Xiong, Xiong - In: Finance research letters 28 (2019), pp. 348-354

Persistent link: https://www.econbiz.de/10012388343

An empirical behavioral order-driven model with price limit rules

Gu, Gao-Feng; Xiong, Xiong; Xu, Hai-Chuan; Zhang, Wei; … - In: Financial innovation : FIN 7 (2021), pp. 1-24

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded...

Persistent link: https://www.econbiz.de/10012704142

Limits of arbitrage and mispricing : evidence from mergers and acquisitions

Ma, Qingzhong; Whidbee, David A.; Zhang, Wei - In: Review of behavioral finance : RBF 14 (2022) 5, pp. 854-874

Persistent link: https://www.econbiz.de/10013453780

Realized volatility analysis from various perspectives based on Hilbert Huang transform

Hou, Sizhe; Chen, Jiangrui; Yin, Lianqian; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 12, pp. 189-199

Persistent link: https://www.econbiz.de/10011411813

Baidu news information flow and return volatility : evidence for the Sequential Information Arrival Hypothesis

Shen, Dehua; Li, Xiao; Zhang, Wei - In: Economic modelling 69 (2018), pp. 127-133

Persistent link: https://www.econbiz.de/10012016139

Are acquirers efficiently priced? : evidence from subsequent earnings announcements

Goukasian, Levon; Huang, Emily J.; Ma, Qingzhong; Zhang, Wei - In: Review of economics & finance 16 (2019) 2, pp. 15-30

Persistent link: https://www.econbiz.de/10012030943

R2 and idiosyncratic volatility : which captures the firm-specific return variation?

Zhang, Wei; Li, Xiao; Shen, Dehua; Teglio, Andrea - In: Economic modelling 55 (2016), pp. 298-304

Persistent link: https://www.econbiz.de/10011642527