IDEAS home Printed from https://ideas.repec.org/a/spr/eurphb/v57y2007i3p347-355.html
   My bibliography  Save this article

Endogenous and exogenous dynamics in the fluctuations of capital fluxes

Author

Listed:
  • Z.-Q. Jiang
  • L. Guo
  • W.-X. Zhou

Abstract

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out 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 the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σ exo / σ endo of individual stocks. Both the scaling exponent α of fluctuations and the Hurst exponent H i increase in logarithmic form with the time scale Δt and the mean traded value per minute 〈f i 〉, respectively. We find that the scaling exponent α endo of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Suggested Citation

  • 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.
    • Handle: RePEc:spr:eurphb:v:57:y:2007:i:3:p:347-355
    DOI: 10.1140/epjb/e2007-00174-7
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1140/epjb/e2007-00174-7
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1140/epjb/e2007-00174-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. János Kertész & Zoltán Eisler, 2006. "Non-trivial scaling of fluctuations in the trading activity of NYSE," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 19-23, Springer.
    2. 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, Decembrie.
    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 & 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.
    2. 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.
    3. Tahira, Yoshifumi & Mizuno, Takayuki, 2016. "Amount of news before stock market fluctuations," HIT-REFINED Working Paper Series 45, Institute of Economic Research, Hitotsubashi University.
    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 & 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.
    7. 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.
    8. Cao, Guangxi & Xu, Wei, 2016. "Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 505-523.
    9. Yoshifumi Tahira & Takayuki Mizuno, 2016. "Trading strategy of a stock index based on the frequency of news releases for listed companies," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 437-444, December.

    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. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Slobodan Maletić & Danijela Horak & Milan Rajković, 2012. "Cooperation, Conflict And Higher-Order Structures Of Social Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(supp0), pages 1-29.
    12. Giorgio Fagiolo & Marco Valente & Nicolaas J. Vriend, 2009. "A Dynamic Model of Segregation in Small-World Networks," Lecture Notes in Economics and Mathematical Systems, in: Ahmad K. Naimzada & Silvana Stefani & Anna Torriero (ed.), Networks, Topology and Dynamics, pages 111-126, Springer.
    13. H. Lin & C.-X. Wu, 2006. "Dynamics of congestion transition triggered by multiple walkers on complex networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 51(4), pages 543-547, June.
    14. Derzsi, A. & Derzsy, N. & Káptalan, E. & Néda, Z., 2011. "Topology of the Erasmus student mobility network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2601-2610.
    15. Gómez-Gardeñes, J. & Moreno, Y. & Floría, L.M., 2005. "Michaelis–Menten dynamics in complex heterogeneous networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 352(2), pages 265-281.
    16. G. De Masi & Y. Fujiwara & M. Gallegati & B. Greenwald & J. E. Stiglitz, 2009. "An Analysis of the Japanese Credit Network," Papers 0901.2384, arXiv.org, revised Nov 2010.
    17. P. Toranj Simin & Gholam Reza Jafari & Marcel Ausloos & Cesar Federico Caiafa & Facundo Caram & Adeyemi Sonubi & Alberto Arcagni & Silvana Stefani, 2018. "Dynamical phase diagrams of a love capacity constrained prey–predator model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 91(2), pages 1-18, February.
    18. Tibély, Gergely, 2012. "Criterions for locally dense subgraphs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1831-1847.
    19. A. O. Sousa & T. Yu-Song & M. Ausloos, 2008. "Effects of agents' mobility on opinion spreading in Sznajd model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 66(1), pages 115-124, November.
    20. Selen Onel & Abe Zeid & Sagar Kamarthi, 2011. "The structure and analysis of nanotechnology co-author and citation networks," Scientometrics, Springer;Akadémiai Kiadó, vol. 89(1), pages 119-138, October.

    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:spr:eurphb:v:57:y:2007:i:3:p:347-355. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.