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....

This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports...

Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are defined as the waiting times $\tau$ between consecutive...

Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the...

Energy markets and the associated energy futures markets play a crucial role in global economies. It is of great theoretical and practical significance to gain a deeper understanding of extreme value statistics of the volatility of energy futures traded on the New York Mercantile Exchange...

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...

The weak-form efficiency of energy futures markets has long been studied and empirical evidence suggests controversial conclusions. In this work, nonparametric methods are adopted to estimate the Hurst indexes of the WTI crude oil futures prices (1983–2012) and a strict statistical test in the...

Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relationships, but also have potential impacts on...

We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency...

Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest). These extreme events will heavily impact financial...