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Fei Ren

  1. Scaling and universality in the position profiles of order cancellations in an emerging stock market.

    Пт, 12/30/2011 - 15:01 — SomNambul
    Authors: Fei Ren, Wei-Xing Zhou, Gao-Feng Gu
    Subjects: Trading and Market Microstructure
    Abstract

    We have studied the empirical distribution of cancellation positions through
    rebuilding the limit-order book using the order flow data of 23 liquid stocks
    traded on the Shenzhen Stock Exchange in the year 2003. We find that the
    probability density function (PDF) of relative price levels where cancellations
    allocate obeys the log-normal distribution. We then analyze the PDF of
    normalized relative price levels by removing the factor of order numbers stored
    at the price level, and find that the PDF has a power-law behavior in the tails
    for both buy and sell orders.

  2. Price impact asymmetry of institutional trading in Chinese stock market.

    Пнд, 10/17/2011 - 15:01 — SomNambul
    Authors: Fei Ren, Li-Xin Zhong
    Subjects: Trading and Market Microstructure
    Abstract

    The asymmetric price impact between the institutional purchases and sales of
    32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We
    analyze the price impact in both drawup and drawdown trends with consecutive
    positive and negative daily price changes, and test the dependence of the price
    impact asymmetry on the market condition. For most of the stocks institutional
    sales have a larger price impact than institutional purchases, and larger
    impact of institutional purchases only exists in few stocks with primarily
    increasing tendencies.

  3. Analysis of trade packages in Chinese stock market.

    Ср, 03/09/2011 - 16:01 — SomNambul
    Authors: Fei Ren, Wei-Xing Zhou
    Subjects: Trading and Market Microstructure
    Abstract

    This paper conducts an empirically study on the trade package composed of a
    sequence of consecutive purchases or sales of 23 stocks in Chinese stock
    market. We investigate the probability distributions of the execution time, the
    number of trades and the total trading volume of trade packages, and analyze
    the possible scaling relations between them. Quantitative differences are
    observed between the institutional and individual investors.

  4. Recurrence interval analysis of trading volumes.

    Втр, 02/09/2010 - 16:02 — SomNambul
    Authors: Fei Ren, Wei-Xing Zhou
    Subjects: Statistical Finance
    Abstract

    We study the statistical properties of the recurrence intervals $\tau$
    between successive trading volumes exceeding a certain threshold $q$. The
    recurrence interval analysis is carried out for the 20 liquid Chinese stocks
    covering a period from January 2000 to May 2009, and two Chinese indices from
    January 2003 to April 2009.

  5. Scaling and memory in the non-poisson process of limit order cancelation.

    Втр, 11/03/2009 - 16:01 — SomNambul
    Authors: Fei Ren, Wei-Xing Zhou, Zhi-Qiang Jiang, Xiao-Hui Ni, Gao-Feng Gu, Wei Chen
    Subjects: Statistical Finance
    Abstract

    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 consecutive
    order cancelations of 22 liquid stocks traded on the Shenzhen Stock Exchange of
    China in year 2003.

  6. Recurrence interval analysis of high-frequency financial returns and its application to risk estimation.

    Ср, 09/02/2009 - 12:02 — SomNambul
    Authors: Fei Ren, Wei-Xing Zhou
    Subjects: Statistical Finance
    Abstract

    We investigate the probability distributions of the recurrence intervals
    $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or
    below a negative threshold $q<0$ of two indices and 20 individual stocks in
    China's stock market. The distributions of recurrence intervals for positive
    and negative thresholds are symmetric, and display power-law tails tested by
    three goodness-of-fit measures including the Kolmogorov-Smirnov (KS) statistic,
    the weighted KS statistic and the Cram\'er-von Mises criterion.

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