arXiv subjects

Tian Qiu

Publications and source records attributed to Tian Qiu.

112 records · Page 7Linked to original sources

arXiv2010

Memory effect and multifractality of cross-correlations in financial markets

An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average instantaneous cross-correlations is investigated over different price return time intervals. Long-range time-correlations are revealed, and are found to persist up to a month-order magnitude of the price return time interval. Multifractal nature is investigated by a multifractal detrended fluctuation analysis.

q-fin.ST↗

arXiv2010

Adaptive financial networks with static and dynamic thresholds

Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual stock prices, and leads to a stable topological structure in the dynamic evolution. Long-range time-correlations are revealed for the average clustering coefficient, average degree and cross-correlation of degrees. The dynamic network shows a two-peak behavior in the degree distribution.

q-fin.ST↗

arXiv2009

Effects of attachment preferences on coevolution of opinions and networks

In the coevolution of network structures and opinion formation, we investigate the effects of a mixed population with distinctive relinking preferences on both the convergence time and the network structures. It has been found that a heterogeneous network structure is easier to be reached with more high-degree-preferential(HDP) nodes. There exists high correlation between the convergence time and the network heterogeneity. The heterogeneous degree distribution caused by preferential attachment accelerates the convergence to a consensus state and the shortened convergence time inhibits the occurrence of the following disquieting situation that occurs in a continuously evolving network: with preferential attachment and long-time evolvement, most of the nodes would become separated and only a few leaders would have immediate neighbors. Analytical calculations based on mean field theory reveal that both the transition point ptr and the consensus time tc depend upon the standard deviation of the degree distribution.ptr increases while tc decreases with the rise of it.Functions of ptr and tc are found.Theoretical analyses are in accordance with simulation data.

physics.soc-ph↗

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↗