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Private information transmission, momentum and reversal

Yang, Haijun; Xia, Wei - In: The journal of behavioral finance : a publication of … 21 (2020) 3, pp. 311-322

Persistent link: https://www.econbiz.de/10012287213

Dynamics of momentum in financial markets based on the information diffusion in complex social networks

Cai, Xing; Xia, Wei; Huang, Weihua; Yang, Haijun - In: Journal of behavioral and experimental finance 41 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014525982

A comparison of U.S and Chinese financial market microstructure : heterogeneous agent-based multi-asset artificial stock markets approach

Yang, Haijun; Wang, Harry Jiannan; Sun, Gui Ping; Wang, Li - In: Journal of evolutionary economics : JEE 25 (2015) 5, pp. 901-924

Persistent link: https://www.econbiz.de/10011481578

Determinants of deposit insurance coverage

Chang, Yiming; Zhao, Shangmei; Yang, Haijun; He, Jiang; … - In: Prague economic papers : a bimonthly journal of … 27 (2018) 5, pp. 588-605

Persistent link: https://www.econbiz.de/10011918989

A model of information diffusion with asymmetry and confidence effects in financial markets

Yang, Haijun; Qi, Shu; Zhang, Zhou; Koslowsky, David - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012822202

The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity

Yang, Haijun; Ge, Hengshun; Luo, Ying - In: Research in international business and finance 53 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012548917

Individual analysts, stock return synchronicity and information efficiency

Hou, Jianlei; Zhao, Shangmei; Yang, Haijun - In: International review of financial analysis 71 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012436353

An information diffusion model for momentum effect based on investor wealth

Yang, Haijun; Ge, Hengshun; Gao, Xinpeng - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013413450

The optimal strategies of competitive high-frequency traders and effects on market liquidity

Ge, Hengshun; Yang, Haijun; Doukas, John A. - In: International review of economics & finance : IREF 91 (2024), pp. 653-679

Persistent link: https://www.econbiz.de/10014492246

An MA-MRR model for transaction-level analysis of high-frequency trading processes

Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...

Persistent link: https://www.econbiz.de/10014504715