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

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dc.creatorJiang, Zhi-Qiang
dc.creatorGuo, Liang
dc.creatorZhou, Wei-Xing
dc.date2007-02-05
dc.date.accessioned2026-07-07T12:07:56Z
dc.date.available2026-07-07T12:07:56Z
dc.descriptionA 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 $α$ exponents different from the universal value 1/2 and 1 but also in the distributions of the ratios $η_i = σ_i^{\rm{exo}} / σ_i^{\rm{endo}}$. 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 $α^{\rm{endo}}$ of the endogenous fluctuations is found to be independent of the time scale, while the exponent of exogenous fluctuations $α^{\rm{exo}}=1$. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.
dc.description9 Latx pages for EPJB including 13 figures
dc.identifierhttps://arxiv.org/abs/physics/0702035
dc.identifierhttp://arxiv.org/abs/physics/0702035
dc.identifierThe European Physical Journal B 57, 347-355 (2007)
dc.identifierdoi:10.1140/epjb/e2007-00174-7
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209146
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleEndogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
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