{"id":"https://openalex.org/W2737267463","doi":"https://doi.org/10.1007/978-3-319-63558-3_15","title":"Discovery of Jump Breaks in Joint Volatility for Volume and Price of High-Frequency Trading Data in China","display_name":"Discovery of Jump Breaks in Joint Volatility for Volume and Price of High-Frequency Trading Data in China","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2737267463","doi":"https://doi.org/10.1007/978-3-319-63558-3_15","mag":"2737267463"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-319-63558-3_15","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-63558-3_15","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5035127673","display_name":"Xiao-Wei Ai","orcid":null},"institutions":[{"id":"https://openalex.org/I927504317","display_name":"Nanchang Hangkong University","ror":"https://ror.org/0369pvp92","country_code":"CN","type":"education","lineage":["https://openalex.org/I927504317"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Xiao-Wei Ai","raw_affiliation_strings":["Nanchang Hangkong University, Nanchang, China"],"affiliations":[{"raw_affiliation_string":"Nanchang Hangkong University, Nanchang, China","institution_ids":["https://openalex.org/I927504317"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035368517","display_name":"Tianming Hu","orcid":"https://orcid.org/0000-0002-9254-5862"},"institutions":[{"id":"https://openalex.org/I2799850029","display_name":"Dongguan University of Technology","ror":"https://ror.org/01m8p7q42","country_code":"CN","type":"education","lineage":["https://openalex.org/I2799850029"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Tianming Hu","raw_affiliation_strings":["Dongguan University of Technology, Dongguan, China"],"affiliations":[{"raw_affiliation_string":"Dongguan University of Technology, Dongguan, China","institution_ids":["https://openalex.org/I2799850029"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079483234","display_name":"Gong-Ping Bi","orcid":null},"institutions":[{"id":"https://openalex.org/I927504317","display_name":"Nanchang Hangkong University","ror":"https://ror.org/0369pvp92","country_code":"CN","type":"education","lineage":["https://openalex.org/I927504317"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Gong-Ping Bi","raw_affiliation_strings":["Nanchang Hangkong University, Nanchang, China"],"affiliations":[{"raw_affiliation_string":"Nanchang Hangkong University, Nanchang, China","institution_ids":["https://openalex.org/I927504317"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5010305831","display_name":"Cheng-Feng Lei","orcid":null},"institutions":[{"id":"https://openalex.org/I927504317","display_name":"Nanchang Hangkong University","ror":"https://ror.org/0369pvp92","country_code":"CN","type":"education","lineage":["https://openalex.org/I927504317"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Cheng-Feng Lei","raw_affiliation_strings":["Nanchang Hangkong University, Nanchang, China"],"affiliations":[{"raw_affiliation_string":"Nanchang Hangkong University, Nanchang, China","institution_ids":["https://openalex.org/I927504317"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101862105","display_name":"Hui Xiong","orcid":"https://orcid.org/0009-0000-1293-4044"},"institutions":[{"id":"https://openalex.org/I102322142","display_name":"Rutgers, The State University of New Jersey","ror":"https://ror.org/05vt9qd57","country_code":"US","type":"education","lineage":["https://openalex.org/I102322142"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hui Xiong","raw_affiliation_strings":["Rutgers University, New Brunswick, USA"],"affiliations":[{"raw_affiliation_string":"Rutgers University, New Brunswick, USA","institution_ids":["https://openalex.org/I102322142"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5035127673"],"corresponding_institution_ids":["https://openalex.org/I927504317"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.06526424,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":93},"biblio":{"volume":null,"issue":null,"first_page":"174","last_page":"182"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.7191557884216309},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.7102688550949097},{"id":"https://openalex.org/keywords/transaction-data","display_name":"Transaction data","score":0.5625649690628052},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5564951300621033},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5109612345695496},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.5050755143165588},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4477892518043518},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.4165347218513489},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.348122775554657},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.28577685356140137},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.08215618133544922},{"id":"https://openalex.org/keywords/database","display_name":"Database","score":0.07783034443855286},{"id":"https://openalex.org/keywords/geology","display_name":"Geology","score":0.07349565625190735}],"concepts":[{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.7191557884216309},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7102688550949097},{"id":"https://openalex.org/C127722929","wikidata":"https://www.wikidata.org/wiki/Q7833714","display_name":"Transaction data","level":3,"score":0.5625649690628052},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5564951300621033},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5109612345695496},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.5050755143165588},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4477892518043518},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4165347218513489},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.348122775554657},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.28577685356140137},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.08215618133544922},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.07783034443855286},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.07349565625190735},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-319-63558-3_15","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-63558-3_15","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":6,"referenced_works":["https://openalex.org/W2051235503","https://openalex.org/W2125142831","https://openalex.org/W2133491221","https://openalex.org/W2363766738","https://openalex.org/W2371682493","https://openalex.org/W3125987794"],"related_works":["https://openalex.org/W2989589039","https://openalex.org/W3007554386","https://openalex.org/W2780247929","https://openalex.org/W3108131348","https://openalex.org/W2000646855","https://openalex.org/W4213307675","https://openalex.org/W3005442585","https://openalex.org/W2035952186","https://openalex.org/W2136233809","https://openalex.org/W3095070775"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
