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Self-similarity and network perspective of the Chinese fund market

Author

Listed:
  • Deng, Weibing
  • Li, Wei
  • Cai, Xu
  • Wang, Qiuping A.

Abstract

By testing 88 different funds of the Chinese fund market (CFM), we find fractal behavior and long-range correlations in the return series, which are insensitive to the kind of funds. Meanwhile, a power-law relationship between the deviation D of prices and the Hurst exponent H has been obtained, which may be useful for predicting the price time series. In addition, with funds being viewed as nodes, and the connections among the funds being determined by the cross-correlation coefficients, using a winner-takes-all approach, we investigate the topological properties of the fund network. Our analysis reveals that, during different time periods, the cumulative degree distributions of the fund network all obey the double power-law format. Moreover, the small-world property is also found for the fund network.

Suggested Citation

  • Deng, Weibing & Li, Wei & Cai, Xu & Wang, Qiuping A., 2011. "Self-similarity and network perspective of the Chinese fund market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3826-3834.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:21:p:3826-3834
    DOI: 10.1016/j.physa.2011.06.029
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    Cited by:

    1. Zilong Zhang & Bing Xue & Jiaxing Pang & Xingpeng Chen, 2016. "The Decoupling of Resource Consumption and Environmental Impact from Economic Growth in China: Spatial Pattern and Temporal Trend," Sustainability, MDPI, vol. 8(3), pages 1-13, February.
    2. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

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