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Detecting the lead-lag effect in stock markets : definition, patterns, and investment strategies

Li, Yongli; Wang, Tianchen; Sun, Baiqing; Liu, Chao - In: Financial innovation : FIN 8 (2022), pp. 1-36

Human activities widely exhibit a power-law distribution. Considering stock trading as a typical human activity in the financial domain, the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity. Interestingly, this paper determines...

Persistent link: https://www.econbiz.de/10013272642

Dynamic patterns of daily lead-lag networks in stock markets

Li, Yongli; Liu, Chao; Wang, Tianchen; Sun, Baiqing - In: Quantitative finance 21 (2021) 12, pp. 2055-2068

Persistent link: https://www.econbiz.de/10012696814

Improving discrimination in data enveolpment analysis without losing information based on Renyi entropy

Xie, Qiwei; Li, Yuanyuan; Wang, Lizheng; Liu, Chao - In: Central European journal of operations research : CEJOR … 26 (2018) 4, pp. 1053-1058

Persistent link: https://www.econbiz.de/10011963918

A new hypervolume-based differential evolution algorithm for many-objective optimization

Liu, Chao; Zhao, Qi; Yan, Bai; Gao, Yang - In: RAIRO / Operations research 51 (2017) 4, pp. 1301-1315

Persistent link: https://www.econbiz.de/10011859839

Geographically weight seemingly unrelated regression (GWSUR) : a method for exploring spatio-temporal heterogeneity

Wei, Chuanhua; Liu, Chao; Gui, Fengyun - In: Applied economics 49 (2017) 42, pp. 4189-4195

Persistent link: https://www.econbiz.de/10011820068

Reference vector-based multiobjective clustering ensemble approach for time series forecasting

Liu, Chao; Gao, Fengfeng; Zhang, Mengwan; Li, Yuanrui; … - In: Computational economics 64 (2024) 1, pp. 181-210

Persistent link: https://www.econbiz.de/10015078014