IDEAS home Printed from https://ideas.repec.org/p/arx/papers/physics-0702035.html
   My bibliography  Save this paper

Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market

Author

Listed:
  • Zhi-Qiang Jiang

    (ECUST)

  • Liang Guo

    (ECUST)

  • Wei-Xing Zhou

    (ECUST)

Abstract

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to higher orders. Non-universal dynamics have been found not only in $\alpha$ exponents different from the universal value 1/2 and 1 but also in the distributions of the ratios $\eta_i = \sigma_i^{\rm{exo}} / \sigma_i^{\rm{endo}}$. Both the scaling exponent $\alpha$ of fluctuations and the Hurst exponent $H_i$ increase in logarithmic form with the time scale $\Delta t$ and the mean traded value per minute $ $, respectively. We find that the scaling exponent $\alpha^{\rm{endo}}$ of the endogenous fluctuations is found to be independent of the time scale, while the exponent of exogenous fluctuations $\alpha^{\rm{exo}}=1$. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.

Suggested Citation

  • Zhi-Qiang Jiang & Liang Guo & Wei-Xing Zhou, 2007. "Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market," Papers physics/0702035, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0702035
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/physics/0702035
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Dorogovtsev, S.N. & Mendes, J.F.F., 2003. "Evolution of Networks: From Biological Nets to the Internet and WWW," OUP Catalogue, Oxford University Press, number 9780198515906.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractal analysis of Chinese stock volatilities based on the partition function approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4881-4888.
    2. Ren, Fei & Guo, Liang & Zhou, Wei-Xing, 2009. "Statistical properties of volatility return intervals of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 881-890.
    3. Jiayi Lyu & Wanxing Jiang, 2023. "Internationalization Pace, Social Network Effect, and Performance among China’s Platform-Based Companies," Sustainability, MDPI, vol. 15(10), pages 1-21, May.
    4. Mu, Guo-Hua & Zhou, Wei-Xing, 2008. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
    5. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
    6. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
    7. Yang, Yan-Hong & Xie, Wen-Jie & Li, Ming-Xia & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2017. "Statistical properties of user activity fluctuations in virtual worlds," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 271-278.
    8. Rudy Calif & François G. Schmitt, 2015. "Taylor Law in Wind Energy Data," Resources, MDPI, vol. 4(4), pages 1-9, October.
    9. Ma, Yuan-yuan & Zhuang, Xin-tian & Li, Ling-xuan, 2011. "Research on the relationships of the domestic mutual investment of China based on the cross-shareholding networks of the listed companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 749-759.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ya-Chun Gao & Zong-Wen Wei & Bing-Hong Wang, 2013. "Dynamic Evolution Of Financial Network And Its Relation To Economic Crises," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-10.
    2. Zhou, Wei-Xing & Jiang, Zhi-Qiang & Sornette, Didier, 2007. "Exploring self-similarity of complex cellular networks: The edge-covering method with simulated annealing and log-periodic sampling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 741-752.
    3. Bezsudnov, I.V. & Snarskii, A.A., 2014. "From the time series to the complex networks: The parametric natural visibility graph," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 53-60.
    4. Mark S. Handcock & Adrian E. Raftery & Jeremy M. Tantrum, 2007. "Model‐based clustering for social networks," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(2), pages 301-354, March.
    5. Wang, Qingyun & Duan, Zhisheng & Chen, Guanrong & Feng, Zhaosheng, 2008. "Synchronization in a class of weighted complex networks with coupling delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5616-5622.
    6. F. W. S. Lima, 2015. "Evolution of egoism on semi-directed and undirected Barabási-Albert networks," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 26(12), pages 1-9.
    7. G. Ghoshal & M. E.J. Newman, 2007. "Growing distributed networks with arbitrary degree distributions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 58(2), pages 175-184, July.
    8. Chang, Y.F. & Han, S.K. & Wang, X.D., 2018. "The way to uncover community structure with core and diversity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 111-119.
    9. Chakrabarti, Anindya S., 2015. "Stochastic Lotka-Volterra equations: A model of lagged diffusion of technology in an interconnected world," IIMA Working Papers WP2015-08-05, Indian Institute of Management Ahmedabad, Research and Publication Department.
    10. Roth, Camille, 2007. "Empiricism for descriptive social network models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(1), pages 53-58.
    11. Douglas R. White & Jason Owen-Smith & James Moody & Walter W. Powell, 2004. "Networks, Fields and Organizations: Micro-Dynamics, Scale and Cohesive Embeddings," Computational and Mathematical Organization Theory, Springer, vol. 10(1), pages 95-117, May.
    12. L. da F. Costa & L. E.C. da Rocha, 2006. "A generalized approach to complex networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(1), pages 237-242, March.
    13. Perc, Matjaž, 2010. "Zipf’s law and log-normal distributions in measures of scientific output across fields and institutions: 40 years of Slovenia’s research as an example," Journal of Informetrics, Elsevier, vol. 4(3), pages 358-364.
    14. Florian Blöchl & Fabian J. Theis & Fernando Vega-Redondo & Eric O'N. Fisher, 2010. "Which Sectors of a Modern Economy are most Central?," CESifo Working Paper Series 3175, CESifo.
    15. M. C. González & A. O. Sousa & H. J. Herrmann, 2004. "Opinion Formation On A Deterministic Pseudo-Fractal Network," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 45-57.
    16. A. Chatterjee, 2009. "Kinetic models for wealth exchange on directed networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 67(4), pages 593-598, February.
    17. Z.-Q. Jiang & L. Guo & W.-X. Zhou, 2007. "Endogenous and exogenous dynamics in the fluctuations of capital fluxes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(3), pages 347-355, June.
    18. D Dylan Johnson Restrepo & Neil F Johnson, 2017. "Unraveling the Collective Dynamics of Complex Adaptive Biomedical Systems," Current Trends in Biomedical Engineering & Biosciences, Juniper Publishers Inc., vol. 8(5), pages 118-132, September.
    19. A. Santiago & J. P. Cárdenas & M. L. Mouronte & V. Feliu & R. M. Benito, 2008. "Modeling The Topology Of Sdh Networks," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 19(12), pages 1809-1820.
    20. Marc Barthélémy & Michele Campagna & Alessandro Chessa & Andrea De Montis & Alessandro Vespignani, 2005. "Emergent topological and dynamical properties of a real inter-municipal commuting network - perspectives for policy-making and planning," ERSA conference papers ersa05p607, European Regional Science Association.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:physics/0702035. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.