Dehua Shen

Prof. Dehua Shen


Research Focus & Metrics

Academic Career Length

14Years (2013-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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1 January 2019 in Economics Letters
Verified
Journal Article
Open access
DSDehua Shen
Dehua Shen
AUAndrew Urquhart
Andrew Urquhart
PWPengfei Wang
Pengfei Wang

23 June 2018 in Applied Economics
Verified
Journal Article
Closed access
WZWei Zhang
Wei Zhang
PWPengfei Wang
Pengfei Wang
XLXiao Li
Xiao Li
DSDehua Shen
Dehua Shen
We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.

1 July 2013 in Economic Modelling
Verified
Journal Article
Closed access
WZWei Zhang
Wei Zhang
DSDehua Shen
Dehua Shen
YZYongjie Zhang
Yongjie Zhang
XXXiong Xiong
Xiong Xiong

1 December 2019 in Finance Research Letters
Verified
Journal Article
Closed access
PWPengfei Wang
Pengfei Wang
WZWei Zhang
Wei Zhang
XLXiao Li
Xiao Li
DSDehua Shen
Dehua Shen

1 November 2018 in Physica A: Statistical Mechanics and its Applications
Verified
Journal Article
Closed access
WZWei Zhang
Wei Zhang
PWPengfei Wang
Pengfei Wang
XLXiao Li
Xiao Li
DSDehua Shen
Dehua Shen

1 May 2020 in Finance Research Letters
Verified
Journal Article
Closed access
DSDehua Shen
Dehua Shen
AUAndrew Urquhart
Andrew Urquhart
PWPengfei Wang
Pengfei Wang