arXiv subjects

Liang Guo

Publications and source records attributed to Liang Guo.

57 records · Page 4Linked to original sources

arXiv2008

Statistical properties of volatility return intervals of Chinese stocks

The statistical properties of the return intervals $τ_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks exhibit scaling behaviors in the distributions of $τ_q$ for different thresholds $q$. Furthermore, the KS test and weighted KS test shows that the scaled return interval distributions of 6 stocks (out of the 12 stocks) can be nicely fitted by a stretched exponential function $f(τ/\barτ)\sim e^{- α(τ/\barτ)^γ}$ with $γ\approx0.31$ under the significance level of 5%, where $\barτ$ is the mean return interval. The investigation of the conditional probability distribution $P_q(τ| τ_0)$ and the mean conditional return interval $<τ| τ_0>$ demonstrates the existence of short-term correlation between successive return interval intervals. We further study the mean return interval $<τ| τ_0>$ after a cluster of $n$ intervals and the fluctuation $F(l)$ using detrended fluctuation analysis and find that long-term memory also exists in the volatility return intervals.

q-fin.ST↗

arXiv2008

Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market

We investigate the probability distribution of the volatility return intervals $τ$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(τ)$ and the volatility return intervals $τ$ as $P_{q}(τ)=1/\barτ f(τ/\barτ)$ to obtain a uniform scaling curve for different threshold value $q$. The scaling curve can be well fitted by the stretched exponential function $f(x) \sim e^{-αx^γ}$, which suggests memory exists in $τ$. To demonstrate the memory effect, we investigate the conditional probability distribution $P_{q} (τ|τ_{0})$, the mean conditional interval $<τ|τ_{0}>$ and the cumulative probability distribution of the cluster size of $τ$. The results show clear clustering effect. We further investigate the persistence probability distribution $P_{\pm}(t)$ and find that $P_{-}(t)$ decays by a power law with the exponent far different from the value 0.5 for the random walk, which further confirms long memory exists in $τ$. The scaling and long memory effect of $τ$ for the Chinese stock market are similar to those obtained from the United States and the Japanese financial markets.

q-fin.ST↗

arXiv2007

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

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 $α$ 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 $ $, 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.

physics.soc-ph↗