dorsal/arxiv
View SchemaEndogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
| Authors | Zhi-Qiang Jiang, Liang Guo, Wei-Xing Zhou |
|---|---|
| Categories | |
| ArXiv ID | physics/0702035 |
| URL | https://arxiv.org/abs/physics/0702035 |
| DOI | 10.1140/epjb/e2007-00174-7 |
| Journal | The European Physical Journal B 57, 347-355 (2007) |
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 $<f_i>$, 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.
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"abstract": "A phenomenological investigation of the endogenous and exogenous dynamics in\nthe fluctuations of capital fluxes is investigated on the Chinese stock market\nusing mean-variance analysis, fluctuation analysis and their generalizations to\nhigher orders. Non-universal dynamics have been found not only in $\\alpha$\nexponents different from the universal value 1/2 and 1 but also in the\ndistributions of the ratios $\\eta_i = \\sigma_i^{\\rm{exo}} /\n\\sigma_i^{\\rm{endo}}$. Both the scaling exponent $\\alpha$ of fluctuations and\nthe Hurst exponent $H_i$ increase in logarithmic form with the time scale\n$\\Delta t$ and the mean traded value per minute $\u003cf_i\u003e$, respectively. We find\nthat the scaling exponent $\\alpha^{\\rm{endo}}$ of the endogenous fluctuations\nis found to be independent of the time scale, while the exponent of exogenous\nfluctuations $\\alpha^{\\rm{exo}}=1$. Multiscaling and multifractal features are\nobserved in the data as well. However, the inhomogeneous impact model is not\nverified.",
"arxiv_id": "physics/0702035",
"authors": [
"Zhi-Qiang Jiang",
"Liang Guo",
"Wei-Xing Zhou"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1140/epjb/e2007-00174-7",
"journal_ref": "The European Physical Journal B 57, 347-355 (2007)",
"title": "Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market",
"url": "https://arxiv.org/abs/physics/0702035"
},
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