arXiv subjects

Wei-Xing Zhou

Publications and source records attributed to Wei-Xing Zhou.

At least 163 records · Page 9Linked to original sources

arXiv2008

A case study of speculative financial bubbles in the South African stock market 2003-2006

We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with significant log-periodic oscillations. The faster-than-exponential acceleration characteristics are tested with several different metrics, including nonlinearity on the logarithm of the price and power law fits. The log-periodic properties are investigated in detail using the first-order log-periodic power-law (LPPL) formula, the parametric detrending method, the $(H,q)$-analysis, and the second-order Weierstrass-type model, resulting in a consistent and robust estimation of the fundamental angular log-frequency $ω_1 =7\pm 2$, in reasonable agreement with previous estimations on many other bubbles in developed and developing markets. Sensitivity tests of the estimated critical times and of the angular log-frequency are performed by varying the first date and the last date of the stock price time series. These tests show that the estimated parameters are robust. With the insight of 6 additional month of data since the analysis was performed, we observe that many of the stocks on the South Africa market experienced an abrupt drop mid-June 2006, which is compatible with the predicted $t_c$ for several of the stocks, but not all. This suggests that the mini-crash that occurred around mid-June of 2006 was only a partial correction, which has resumed into a renewed bubbly acceleration bound to end some times in 2007, similarly to what happened on the S&P500 US market from Oct. 1997 to Aug. 1998.

physics.soc-ph↗

arXiv2008

Multiscaling behavior in the volatility return intervals of Chinese indices

We investigate the probability distribution of the return intervals $τ$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of $τ$, which follows a stretched exponential form $f_q(τ/< τ>)\sim e^{- a(τ/ < τ>)^γ}$ with different correlation exponent $γ$ for different threshold $q$, where $<τ>$ is the mean return interval corresponding to a certain value of $q$. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals.

q-fin.ST↗

arXiv2008

Statistical properties of world investment networks

We have performed a detailed investigation on the world investment networks constructed from the Coordinated Portfolio Investment Survey (CPIS) data of the International Monetary Fund, ranging from 2001 to 2006. The distributions of degrees and node strengthes are scale-free. The weight distributions can be well modeled by the Weibull distribution. The maximum flow spanning trees of the world investment networks possess two universal allometric scaling relations, independent of time and the investment type. The topological scaling exponent is $1.17\pm0.02$ and the flow scaling exponent is $1.03\pm0.01$.

physics.soc-ph↗

arXiv2008

Multifractal analysis of the fracture surfaces of foamed polypropylene/polyethylene blends

The two-dimensional multifractal detrended fluctuation analysis is applied to reveal the multifractal properties of the fracture surfaces of foamed polypropylene/polyethylene blends at different temperatures. Nice power-law scaling relationship between the detrended fluctuation function $F_{q}$ and the scale $s$ is observed for different orders $q$ and the scaling exponent $h(q)$ is found to be a nonlinear function of $q$, confirming the presence of multifractality in the fracture surfaces. The multifractal spectra $f(α)$ are obtained numerically through Legendre transform. The shape of the multifractal spectrum of singularities can be well captured by the width of spectrum $Δα$ and the difference of dimension $Δf$. With the increase of the PE content, the fracture surface becomes more irregular and complex, as is manifested by the facts that $Δα$ increases and $Δf$ decreases from positive to negative. A qualitative interpretation is provided based on the foaming process.

cond-mat.mtrl-sci↗

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

Detrended fluctuation analysis of intertrade durations

The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse $U$-shaped intraday pattern in the intertrade durations with an abrupt drop in the first minute of the afternoon trading is observed. Based on the detrended fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large box sizes and strong evidence in favor of long memory in both regimes. In addition, the multifractal nature of intertrade durations in both regimes is confirmed by a multifractal detrended fluctuation analysis for individual stocks with a few exceptions in the small-duration regime. The intraday pattern has little influence on the long memory and multifractaility.

q-fin.TR↗

arXiv2008

On the probability distribution of stock returns in the Mike-Farmer model

Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement and cancelation in a purely order-driven market, which can successfully reproduce the whole distribution of returns, not only the well-known power-law tails, together with several other important stylized facts. There are three key ingredients in the Mike-Farmer (MF) model: the long memory of order signs characterized by the Hurst index $H_s$, the distribution of relative order prices $x$ in reference to the same best price described by a Student distribution (or Tsallis' $q$-Gaussian), and the dynamics of order cancelation. They showed that different values of the Hurst index $H_s$ and the freedom degree $α_x$ of the Student distribution can always produce power-law tails in the return distribution $f(r)$ with different tail exponent $α_r$. In this paper, we study the origin of the power-law tails of the return distribution $f(r)$ in the MF model, based on extensive simulations with different combinations of the left part $f_L(x)$ for $x<0$ and the right part $f_R(x)$ for $x>0$ of $f(x)$. We find that power-law tails appear only when $f_L(x)$ has a power-law tail, no matter $f_R(x)$ has a power-law tail or not. In addition, we find that the distributions of returns in the MF model at different timescales can be well modeled by the Student distributions, whose tail exponents are close to the well-known cubic law and increase with the timescale.

q-fin.ST↗

arXiv2008

Scaling in the distribution of intertrade durations of Chinese stocks

The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also observed in the intertrade duration distributions for filled and partially filled trades and in the conditional distributions. The ensemble distributions for all stocks are modeled by the Weibull and the Tsallis $q$-exponential distributions. Maximum likelihood estimation shows that the Weibull distribution outperforms the $q$-exponential for not-too-large intertrade durations which account for more than 98.5% of the data. Alternatively, nonlinear least-squares estimation selects the $q$-exponential as a better model, in which the optimization is conducted on the distance between empirical and theoretical values of the logarithmic probability densities. The distribution of intertrade durations is Weibull followed by a power-law tail with an asymptotic tail exponent close to 3.

q-fin.ST↗

arXiv2008

Universal price impact functions of individual trades in an order-driven market

The trade size $ω$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization $C$ is included as an argument in the scaling relation. However, the rationale of introducing stock capitalization in the scaling is unclear and the anomalous negative correlation between price change $r$ and trade size $ω$ for small trades is unexplained. Here we show that these issues can be addressed by taking into account the aggressiveness of orders that result in trades together with a proper normalization technique. Using order book data from the Chinese market, we show that trades from filled and partially filled limit orders have very different price impact. The price impact of trades from partially filled orders is constant when the volume is not too large, while that of filled orders shows power-law behavior $r\sim ω^α$ with $α\approx2/3$. When returns and volumes are normalized by stock-dependent averages, capitalization-independent scaling laws emerge for both types of trades. However, no scaling relation in terms of stock capitalization can be constructed. In addition, the relation $α=α_ω/α_r$ is verified, where $α_ω$ and $α_r$ are the tail exponents of trade sizes and returns. These observations also enable us to explain the anomalous negative correlation between $r$ and $ω$ for small-size trades. We anticipate that these regularities may hold in other order-driven markets.

q-fin.TR↗

arXiv2008

Multifractal detrended cross-correlation analysis for two nonstationary signals

It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended cross-correlation analysis (MF-DXA) to investigate the multifractal behaviors in the power-law cross-correlations between two records in one or higher dimensions. The method is validated with cross-correlated 1D and 2D binomial measures and multifractal random walks. Application to two financial time series is also illustrated.

physics.data-an↗

arXiv2008

Process Flow Diagram of an Ammonia Plant as a Complex Network

Complex networks have attracted increasing interests in almost all disciplines of natural and social sciences. However, few efforts have been afforded in the field of chemical engineering. We present in this work an example of complex technological network, investigating the process flow of an ammonia plant (AP). We show that the AP network is a small-world network with scale-free distribution of degrees. Adopting Newman's maximum modularity algorithm for the detection of communities in complex networks, evident modular structures are identified in the AP network, which stem from the modular sections in chemical plants. In addition, we find that the resultant AP tree exhibits excellent allometric scaling.

physics.bio-ph↗

arXiv2008

Multifractal analysis of Chinese stock volatilities based on partition function approach

We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $χ_q(s)$ scales as a power law with respect to box size $s$. The scaling exponents $τ(q)$ form a nonlinear function of $q$. Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the $p$-model in turbulence with $p = 0.40 \pm 0.02$. Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets.

q-fin.ST↗

arXiv2008

Empirical shape function of limit-order books in the Chinese stock market

We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell LOBs. The LOB shape function has nice exponential form in the right tail. The buy LOB is found to be abnormally thicker for the price levels close to the same best although there are much more sell orders on the book. We also find that the LOB shape functions for both buy and sell sides have periodic peaks with a period of five. The 1-min averaged volumes at fixed tick level follow lognormal distributions, except for the left tails which display power-law behaviors, and exhibit long memory. Academic implications of our empirical results are also discussed briefly.

q-fin.TR↗

arXiv2008

Direct evidence for inversion formula in multifractal financial volatility measure

The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency turbulent financial data. We construct conservative volatility measure based on minutely S&P 500 index from 1982 to 1999 and its inverse measure of exit time. Both the direct and inverse measures exhibit nice multifractal nature, whose scaling ranges are not irrelevant. Empirical investigation shows that the inversion formula holds in financial markets.

q-fin.ST↗

arXiv2008

Long-term temporal dependence of droplets transiting through a fixed spatial point in gas-liquid twophase turbulent jets

We perform rescaled range analysis upon the signals measured by Dual Particle Dynamical Analyzer in gas-liquid two-phase turbulent jets. A novel rescaled range analysis is proposed to investigate these unevenly sampled signals. The Hurst exponents of velocity and other passive scalars in the bulk of spray are obtained to be 0.59$\pm $0.02 and the fractal dimension is hence 1.41$\pm $ 0.02, which are in remarkable agreement with and much more precise than previous results. These scaling exponents are found to be independent of the configuration and dimensions of the nozzle and the fluid flows. Therefore, such type of systems form a universality class with invariant scaling properties.

physics.flu-dyn↗

arXiv2007

Empirical regularities of order placement in the Chinese stock market

Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid-ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.

q-fin.TR↗

arXiv2007

Endogenous and exogenous dynamics of pressure fluctuations in an impinging entrained-flow gasifier

This paper has been withdrawn by the authors due to a fatal error in the analysis. The manuscript was submitted to Chemical Engineering Science. To clarify the situation, we copy the main comment from an anonymous referee here: "To my understanding, the authors analyze i = 1 ... 63 time series and calculate their mean and standard deviation. These time series correspond to individual, single ignition processes. Is this correct? If yes, these processes, as Fig. 3 shows very clearly, are not stationary, and the pressure difference (i.e., the signal) quickly decays to zero. In this case both the mean and the standard deviation are poorly defined, for example because both depend in a trivial fashion on the observation period T. I am not aware of any study (including those cited by the authors) which allows for any conclusion from such non-stationary signals. The results of Menezes and Barabasi are strictly only valid for stationary time series, and they cannot be applied at all in this case." We agree with this insightful comment that our data are not stationary and the method adopted in our manuscript does not apply. We do not see any possibility to correct this error and decide to withdraw it. We would like to thank gratefully the referee and apologize for any inconvenience caused by our oversight.

physics.flu-dyn↗

arXiv2007

Multifractal detrended fluctuation analysis of combustion flames in four-burner impinging entrained-flow gasifier

On a laboratory-scale testing platform of impinging entrained-flow gasifier with four opposed burners, the flame images for diesel combustion and gasification process were measured with a single charge coupled device (CCD) camera. The two-dimensional multifractal detrended fluctuation analysis was employed to investigate the multifractal nature of the flame images. Sound power-law scaling in the annealed average of detrended fluctuations was unveiled when the order $q>0$ and the multifractal feature of flame images were confirmed. Further analyses identified two multifractal parameters, the minimum and maximum singularity $α_{\min}$ and $α_{\max}$, serving as characteristic parameters of the multifractal flames. These two characteristic multifractal parameters vary with respect to different experimental conditions.

physics.flu-dyn↗