Wei-Xing Zhou

Wei-Xing Zhou
East China University of Science and Technology | ECUST · Department of Finance

PhD

About

304
Publications
49,291
Reads
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10,836
Citations
Citations since 2016
106 Research Items
6517 Citations
201620172018201920202021202202004006008001,000
201620172018201920202021202202004006008001,000
201620172018201920202021202202004006008001,000
201620172018201920202021202202004006008001,000
Additional affiliations
September 2005 - present
East China University of Science and Technology
Position
  • Professor (Full)
June 2001 - May 2004
University of California, Los Angeles
Position
  • PostDoc Position
Description
  • I was a post-doc at IGPP (UCLA) advised by Prof. Didier Sornette.

Publications

Publications (304)
Article
Full-text available
Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We find that the 2017 house price control policies have significantly increased the risk of China’s financial syst...
Article
Full-text available
The international pesticide trade network (iPTN) is a key factor affecting global food production and food security. The trade relationship is a key component in iPTNs. In a complex international trade environment, we model the impacts of uncertain factors such as trade wars, economic blockades and local wars, as removing vital relationships in the...
Article
The multifractal nature of agriculture-related stocks and derivatives has been extensively studied. However, due to the scarcity and lack of representativeness of available data, the complex behaviors of the global grain spot markets are less researched. We perform multifractal detrending moving average (MF-DMA) analysis on the daily data of the Gr...
Article
Full-text available
Food security is a critical issue closely linked to human being. With the increasing demand for food, international trade has become the main access to supplementing domestic food shortages, which not only alleviates local food shocks, but also exposes economies to global food crises. In this paper, we construct four temporal international crop tra...
Preprint
Full-text available
The importance of fertilizers to agricultural production is undeniable, and most economies rely on international trade for fertilizer use. The stability of fertilizer trade networks is fundamental to food security. We use three valid methods to measure the temporal stability of the overall network and different functional sub-networks of the three...
Article
We employ the generalized forecast error variance decomposition based on the vector autoregression model to investigate factors’ volatility spillovers. Furthermore, we investigate the relationship between factor volatility spillovers and their premia via the portfolio analysis. We find: (1) North America is the net transmitter of volatility shock,...
Preprint
Full-text available
The statistical properties including community structure of the international trade networks of all commodities as a whole have been studied extensively. However, the international trade networks of individual commodities often behave differently. Due to the importance of pesticides in agricultural production and food security, we investigate the e...
Article
With the growing demand for energy, the importance of oil as a major energy resource is increasingly evident, and trade has become the key to balancing energy supply and demand. We construct the evolving international oil trade network (iOTN) and analyze the structure and evolution characteristics of the network. Meanwhile, we identify different oi...
Article
The fluctuations in global policy affect the volatility of international crude oil markets. It is quite meaningful to analyze the impact of policy uncertainty on crude oil market volatility from a global integration perspective in deep. This paper aims to examine whether the global uncertainty of economic policy (GEPU) and the uncertainty of uncert...
Article
We revisit the dynamic relationship between domestic economic policy uncertainty and stock markets using the symmetric thermal optimal path (TOPS) method. We observe different interaction patterns in emerging and developed markets. Economic policy uncertainty drives the stock market in China, while stock markets play a leading role in the UK and th...
Article
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside the banking system. Using data extracted from the European Banking Authority, we present the interdependency ne...
Article
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) in extreme value theory (EVT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these extremes. We find that the waiting time between consecutive extremes (recurrence...
Article
In the international oil trade network, trade shocks triggered by extreme events may spread over the entire network along with the trade links of the central economies and even lead to the collapse of the whole system. To investigate the robustness of the international oil trade network under targeted attacks (i.e. shocks) to economies, we focus on...
Article
Full-text available
Uncovering the risk-transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China–US trade conflicts. In this paper, we aim to uncover the risk spreading channels by means of volatility spillovers within the Chinese sectors using stoc...
Article
The efficiency of the international oil trade networks (iOTNs) is an important measure of the efficient redistribution of oil resources among various economies. Adopting cooperation strategies between economies can enhance the efficiency of the iOTNs. We design a series of trade cooperation strategies based on trade volumes, geographic locations an...
Article
Full-text available
To meet the increasing demand for food around the world, pesticides are widely used and will continue to be widely used in agricultural production to reduce yield losses and maintain product quality. International pesticide trade serves to reallocate the distribution of pesticides around the world. We investigate the statistical properties of the i...
Article
As a vital strategic resource, oil has an essential influence on the world's economy, diplomacy and military development. Oil resources are unevenly distributed. Therefore, trade is an important way to realize the allocation of oil resources on a global scale. This paper establishes a trading-based network model for international oil trade to study...
Article
Full-text available
With increasing global demand for food, international food trade is playing a critical role in balancing the food supply and demand across different regions. Here, using trade datasets of four crops that provide more than 50% of the calories consumed globally, we constructed four international crop trade networks (iCTNs). We observed the increasing...
Article
The development of logistics accelerates the transportation process, which in turn increases the exchanging efficiency between cities. To understand such exchanging interactions among cities, we build a city logistics network based on a unique data set, which contains millions of online freight orders spanning a period of one year. It is found that...
Article
Weiqi, also called Go or Baduk, is regarded as the most complicated board game in the world. Weiqi playing has a very long history in East Asia. Its strategic thinking in decision-making even affects militarists there. The availability of the records of almost all Weiqi games in the past decades enables us to perform quantitative studies about this...
Preprint
Full-text available
We model hierarchical cascades of failures among banks linked through an interdependent network. The interaction among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside the banking system. Using data extracted from the European Banking Authority, we present the interdependency network compose...
Article
Full-text available
Using a unique data set containing about 15.06 million truck transportation records in five months, we investigate the highway freight transportation diversity of 338 Chinese cities based on the truck transportation probability pij from one city to another. The transportation probabilities are calculated from the radiation model based on the geogra...
Article
Stock markets exhibit different states due to internal and external shocks. It is of great significance to identify the status of global financial markets. Based on 48 global stock indices from 1996 to 2018, we constructed a global stock index transfer entropy network, which represents the information flow between stock markets in different economi...
Article
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and idiosyncratic momentum based on raw returns and idiosyncratic retu...
Article
Nighttime lights (NTLs) have been used as a proxy for economic growth in recent years. To verify the effectiveness of NTL in measuring regional economies, this article studies the regional economic convergence phenomenon in China’s provinces by a comparative analysis of NTL data and GDP data from 1992 to 2013. It is found that there is a significan...
Preprint
Full-text available
In the international oil trade network (iOTN), trade shocks triggered by extreme events may spread over the entire network along the trade links of the central economies and even lead to the collapse of the whole system. In this study, we focus on the concept of "too central to fail" and use traditional centrality indicators as strategic indicators...
Article
We use 239-day trading-level data for a stock on the Shanghai Stock Exchange, including about 440,000 traders and 1.77 million trading relationships, to study the representation of traders in a trading network using the network representation learning method, and to identify different traders' local outlier factor (LOF). Based on the local outlier...
Article
Full-text available
Abstract Empirical investor networks (EIN) proposed by Ozsoylev et al. are assumed to capture the information spreading path among investors. Here, we perform a comparative analysis between the EIN and the cellphone communication networks (CN) to test whether EIN is an information exchanging network from the perspective of the layer structures of e...
Article
Full-text available
This study proposes an extension of the Asymmetric CoVaR method in Espinosa et al. (J Bank Finance 58: 471–485, 2015) to capture the time-varying asymmetric responses of the financial system to positive and negative shocks to individual institutions. Building on the extended method and considering a set of Chinese financial institutions, we assess...
Article
Highway freight transportation (HFT) plays an important role in the economic activities. Predicting HFT networks is not only scientifically significant in the understanding of the mechanism governing the formation and dynamics of these networks, but also of practical significance in highway planning and design for policymakers and truck allocation...
Preprint
Full-text available
Using a unique data set containing about 15.06 million truck transportation records in five months, we investigate the highway freight transportation diversity of 338 Chinese cities based on the truck transportation probability $p_{ij}$ from one city to the other. The transportation probabilities are calculated from the radiation model based on the...
Article
This article investigates the effect of cross‐shareholdings on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross‐shareholdings in terms of centrality in the cross‐shareholding network. It is confirmed that it is through a noise‐reducing process that cro...
Article
We examine the relation between daily order imbalance and stock returns in the Chinese stock market. We show that lagged order imbalance significantly and negatively predicts future stock returns. In addition, the predictive relation is robust for size and turnover subsamples, but stronger for small stocks and stocks with high turnover. Finally, we...
Preprint
Uncertainty plays an important role in the global economy. In this paper, the economic policy uncertainty (EPU) indices of the United States and China are selected as the proxy variable corresponding to the uncertainty of national economic policy. By adopting the visibility graph algorithm, the four economic policy uncertainty indices of the United...
Preprint
This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single-factor and two-factor models under the GARCH-MIDAS framework to investigate the predictive power of GEPU and GEPU changes excluding and including realized volatility. Th...
Article
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic policy uncertainty index is a good proxy for the economic policy uncertainty on a global scale, which is quite...
Preprint
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper uses the daily closing price data of the 28 level-1 sectors from Shenyin \& Wanguo Securities ranging from 20...
Preprint
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flo...
Preprint
Full-text available
As a vital strategic resource, oil has an essential influence on the world economy, diplomacy and military development. Using oil trade data to dynamically monitor and warn about international trade risks is an urgent need. Based on the UN Comtrade data from 1988 to 2017, we construct unweighted and weighted global oil trade networks (OTNs). Comple...
Preprint
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these extremes. We find that the waiting time between consecutive extremes (recurrence interval) follow a $q$-expone...
Preprint
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try to uncover the risk spreading channels by means of volatility spillovers within the Chinese sectors using stoc...
Article
Full-text available
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flo...
Article
We investigate the news coverage effect in explaining and predicting the portfolio returns. We find that stocks with more news coverage yield higher abnormal returns. The news coverage effect is still robust even after controlling for firm characteristics and industry sectors. Furthermore, the return premium on news coverage is particularly large i...
Article
Full-text available
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper uses the daily closing price data of the 28 level-1 sectors from Shenyin & Wanguo Securities ranging from 200...
Article
Full-text available
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-excitation and cross-excitation respectively. We cal...
Article
Full-text available
The gravity law has been documented in many socioeconomic networks, which states that the flow between two nodes positively correlates with the strengths of the nodes and negatively correlates with the distance between the two nodes. However, such research on highway freight transportation networks (HFTNs) is rare. We construct the directed and und...
Preprint
This paper focuses on the weekly idiosyncratic momentum (IMOM) as well as its risk-adjusted versions with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and idiosyncratic momentum based on raw return...
Article
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of f...
Article
It is of great significance to identify the characteristics of time series to quantify their similarity and classify different classes of time series. We define six types of triadic time-series motifs and investigate the motif occurrence profiles extracted from the time series. Based on triadic time series motif profiles, we further propose to esti...
Article
In this paper, we study how agents’ social learning behavior influences market volatility and how the flash crash emerges. We build a model of order-driven market, in which agents use a combination of four components to form their return anticipations: a social learning component, a chartist component, a fundamentalist component and a noise induced...
Article
Identifying research fronts is of great scientific and practical significance. Partnered with Clarivate Analytics and the Higher Education Press, the Chinese Academy of Engineering launched an annual project, aiming to identify engineering research and development frontiers. For engineering research, we determine the candidate hotspots mainly based...
Article
Bitcoin is the most important cryptocurrency that leads the cryptocurrency market. The 776,629,356 Bitcoin trades from 3 January 2009 to 31 December 2017 are retrieved. It is found that the medium and large trade sizes comply with the exponentially decayed double power-law distribution. The tail exponent α1 of the medium trade sizes fluctuates in 2...
Preprint
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic policy uncertainty index is a good proxy for the economic policy uncertainty on a global scale, which is quite...
Preprint
Empirical investor networks (EIN) proposed by \cite{Ozsoylev-Walden-Yavuz-Bildik-2014-RFS} are assumed to capture the information spreading path among investors. Here, we perform a comparative analysis between the EIN and the cellphone communication networks (CN) to test whether EIN is an information exchanging network from the perspective of the l...
Article
Network motif analysis is a useful tool for the investigation of complex networks. We study the profiles of tetradic motifs in horizontal visibility graphs (HVGs) converted from multifractal binomial measures, fractional Gaussian noises, and heartbeat rates. The profiles of tetradic motifs contain the spatial information (visibility) and temporal i...
Article
Uncertainty plays an important role in the global economy. In this paper, the economic policy uncertainty (EPU) indices of the United States and China are selected as the proxy variable corresponding to the uncertainty of national economic policy. By adopting the visibility graph algorithm, the four economic policy uncertainty indices of the United...
Article
Similar to charitable giving in real world, donation behaviors play an important role in the complex interactions among individuals in virtual worlds. However, it is not clear if the donation process is random or not. We investigate this problem using detailed data from parallel virtual worlds adhered to a massively multiplayer online role-playing...
Preprint
This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of centrality in the cross-shareholding network. It is confirmed that it is through a noise-reducing process that cross-...
Article
We construct the empirical information network (EIN) of traders using the order flow data of the constituent stocks of SZSE 100 Index in 2013. A statistical validation method is applied to the edges of the network to filter out noises and uncover the intrinsic interaction behaviors of traders. We investigate the correlation between topological stru...
Preprint
Similar to charitable giving in real world, donation behaviors play an important role in the complex interactions among individuals in virtual worlds. However, it is not clear if the donation process is random or not. We investigate this problem using detailed data from parallel virtual worlds adhered to a massively multiplayer online role-playing...
Article
The transfer of football players is an important part in football games. Most studies on the transfer of football players focus on the transfer system and transfer fees but not on the transfer behavior itself. Based on the 470792 transfer records from 1990 to 2016 among 23765 football clubs in 206 countries and regions, we construct a directed foot...
Article
The behaviors of fat-tailed distribution, linear long memory, and nonlinear long memory are considered as possible sources of apparent multifractality. Which behavior should be preserved in null models plays an important role in statistical tests of empirical multifractality. In this paper, we compare the performance of two null models on testing t...
Article
We introduce the concept of time series motifs for time series analysis. Time series motifs consider not only the spatial information of mutual visibility but also the temporal information of relative magnitude between the data points. We study the profiles of the six triadic time series motifs. The six motif occurrence frequencies are derived for...
Preprint
Full-text available
It is of great significance to identify the characteristics of time series to qualify their similarity. We define six types of triadic time-series motifs and investigate the motif occurrence profiles extracted from logistic map, chaotic logistic map, chaotic Henon map, chaotic Ikeda map, hyperchaotic generalized Henon map and hyperchaotic folded-to...
Preprint
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-excitation and cross-excitation respectively. We cal...
Article
Football is the most popular sport in the world, and one of the most interesting events is the transferring of football players among various clubs. Based on 470,792 transfer records among 23,605 football clubs in 206 countries and regions, we construct a mutual transfer network and investigate its basic topological characteristics related to node...
Preprint
Network motif analysis is a useful tool for the investigation of complex networks. We study the profiles of tetradic motifs in horizontal visibility graphs (HVGs) converted from multifractal binomial measures, fractional Gaussian noises, and heartbeat rates. The profiles of tetradic motifs contains the spatial information (visibility) and temporal...
Article
Full-text available
With most city dwellers in China subjected to air pollution, forecasting extreme air pollution spells is of paramount significance in both scheduling outdoor activities and ameliorating air pollution. In this paper, we integrate the autoregressive conditional duration model (ACD) with the recurrence interval analysis (RIA) and also extend the ACD m...
Preprint
The transfer of football players is an important part in football games. Most studies on the transfer of football players focus on the transfer system and transfer fees but not on the transfer behavior itself. Based on the 470,792 transfer records from 1990 to 2016 among 23,605 football clubs in 206 countries and regions, we construct a directed fo...
Article
Full-text available
Engineering science and technology are important driving forces to change the world and engineering fronts are important guidelines for the future development directions of engineering science and technology. Grasping the global engineering science and technology trend and keenly grasping the new directions of the scientific and technological revol...
Article
The Pearson correlation coefficient is used by many researchers to construct complex financial networks. However, it is difficult to capture the structural characteristics of financial markets that have extreme fluctuations. To solve this problem, we resort to tail dependence networks. We first build the edge information of the stock network by ado...
Preprint
We introduce the concept of time series motifs for time series analysis. Time series motifs consider not only the spatial information of mutual visibility but also the temporal information of relative magnitude between the data points. We study the profiles of the six triadic time series. The six motif occurrence frequencies are derived for uncorre...
Preprint
Full-text available
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock Exchange Composite Index (SZCI). The characteristics of the corresponding multifractal spectra are defined as...
Preprint
Full-text available
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of f...
Article
Taylor's law of temporal and ensemble fluctuation scaling has been ubiquitously observed in diverse complex systems including financial markets. Stock illiquidity is an important nonadditive financial quantity, which is found to comply with Taylor's temporal fluctuation scaling law. In this paper, we perform the cross-sectional analysis of the 1 mi...
Article
Using the partial least squares approach, we construct an aligned sentiment index in weekly frequency. We investigate the predictive power of short-term investor sentiment on the characteristic-sorted portfolio returns. We find that sentiment changes have a positive impact on future stock returns in the Chinese A-share market. We further uncover th...
Article
Full-text available
Stock markets are efficient in the weak form in the sense that no significant autocorrelations can be identified in the returns. However, the microscopic mechanisms are unclear. We aim at understanding the impacts of order flows on the weak-form efficiency through computational experiments based on an empirical order-driven model. Three possible de...
Article
User activity fluctuations reflect the performance of online society. We investigate the statistical properties of 1 min user activity time series of simultaneously online users inhabited in 95 independent virtual worlds. The number of online users exhibits clear intraday and weekly patterns due to human’s circadian rhythms and weekly cycles. Stati...
Article
Full-text available
In the canonical framework, we propose an alternative approach for the multifractal analysis based on the detrending moving average method (MF-DMA). We define a canonical measure such that the multifractal mass exponent τ(q) is related to the partition function and the multifractal spectrum f(α) can be directly determined. The performances of the d...
Article
Full-text available
As a huge threat to the public health, China’s air pollution has attracted extensive attention and continues to grow in tandem with the economy. Although the real-time air quality report can be utilized to update our knowledge on air quality, questions about how pollutants evolve across time and how pollutants are spatially correlated still remain...