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Guang Chen

  1. Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market.

    Пт, 10/21/2011 - 15:01 — SomNambul
    Authors: Guang Chen, Tian Qiu, Li-Xin Zhong, Xiao-Run Wu
    Subjects: Statistical Finance
    Abstract

    Bid-ask spread is taken as an important measure of the financial market
    liquidity. In this article, we study the dynamics of the spread return and the
    spread volatility of four liquid stocks in the Chinese stock market, including
    the memory effect and the multifractal nature. By investigating the
    autocorrelation function and the Detrended Fluctuation Analysis (DFA), we find
    that the spread return is lack of long-range memory, while the spread
    volatility is long-range time correlated.

  2. Memory effect and multifractality of cross-correlations in financial markets.

    Пнд, 05/03/2010 - 15:01 — SomNambul
    Authors: Guang Chen, Tian Qiu, Li-Xin Zhong, Xiao-Wei Lei
    Subjects: Statistical Finance
    Abstract

    An average instantaneous cross-correlation function is introduced to quantify
    the interaction of the financial market of a specific time. Based on the daily
    data of the American and Chinese stock markets, memory effect of the average
    instantaneous cross-correlations is investigated over different price return
    time intervals. Long-range time-correlations are revealed, and are found to
    persist up to a month-order magnitude of the price return time interval.
    Multifractal nature is investigated by a multifractal detrended fluctuation
    analysis.

  3. Adaptive financial networks with static and dynamic thresholds.

    Пнд, 02/22/2010 - 16:01 — SomNambul
    Authors: Guang Chen, Tian Qiu, Bo Zheng
    Subjects: Statistical Finance
    Abstract

    Based on the daily data of American and Chinese stock markets, the dynamic
    behavior of a financial network with static and dynamic thresholds is
    investigated. Compared with the static threshold, the dynamic threshold
    suppresses the large fluctuation induced by the cross-correlation of individual
    stock prices, and leads to a stable topological structure in the dynamic
    evolution. Long-range time-correlations are revealed for the average clustering
    coefficient, average degree and cross-correlation of degrees. The dynamic
    network shows a two-peak behavior in the degree distribution.

  4. Pavideoge: A New Video Processing Method in Video Search Engine.

    Втр, 09/15/2009 - 11:27 — SomNambul
    Authors: Pu Yang, Jun Guo, Guang Chen
    Subjects: Information Retrieval
    Abstract

    In this paper, we study the problems of video processing in video search
    engine. Video has now become a very important kind of data in Internet; while
    searching for video is still a challenging task due to the inner properties of
    video: requiring enormous storage space, being independent, expressing
    information hiddenly. To handle the properties of video more effectively, in
    this paper, we propose a new video processing method in video search engine.

Math-arch

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