Endogenous and exogenous dynamics in the fluctuations of capital fluxes

Z.-Q. Jiang, L. Guo and Wei-Xing Zhou

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 57, issue 3, 347-355

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

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, 89.75.Da Systems obeying scaling laws, 05.45.Df Fractals, (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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DOI: 10.1140/epjb/e2007-00174-7

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