arXiv subjects

Wen-Jie Xie

Publications and source records attributed to Wen-Jie Xie.

At least 55 records · Page 3Linked to original sources

arXiv2018

Triadic time series motifs

We introduce the concept of time series motifs for time series analysis. Time series motifs consider not only the spatial information of mutual visibility but also the temporal information of relative magnitude between the data points. We study the profiles of the six triadic time series. The six motif occurrence frequencies are derived for uncorrelated time series, which are approximately linear functions of the length of the time series. The corresponding motif profile thus converges to a constant vector $(0.2,0.2,0.1,0.2,0.1,0.2)$. These analytical results have been verified by numerical simulations. For fractional Gaussian noises, numerical simulations unveil the nonlinear dependence of motif occurrence frequencies on the Hurst exponent. Applications of the time series motif analysis uncover that the motif occurrence frequency distributions are able to capture the different dynamics in the heartbeat rates of healthy subjects, congestive heart failure (CHF) subjects, and atrial fibrillation (AF) subjects and in the price fluctuations of bullish and bearish markets. Our method shows its potential power to classify different types of time series and test the time irreversibility of time series.

physics.soc-ph↗

arXiv2018

Multifractal analysis of financial markets

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.

q-fin.ST↗

arXiv2018

The cooling-off effect of price limits in the Chinese stock markets

In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some financial variables over a period of time before the stock price hits its limit. Secondly, from the probability perspective, we investigate, with the logit model, the existence of the cooling-off effect through analyzing the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 and inspecting the trading period from the opening phase prior to the moment that the stock price hits its limits. A comparison is made of the properties between up-limit hits and down-limit hits, and the possible difference will also be compared between bullish and bearish market state by dividing the whole period into three alternating bullish periods and three bearish periods. We find that the cooling-off effect emerges for both up-limit hits and down-limit hits, and the cooling-off effect of the down-limit hits is stronger than that of the up-limit hits. The difference of the cooling-off effect between bullish period and bearish period is quite modest. Moreover, we examine the sub-optimal orders effect, and infer that the professional individual investors and institutional investors play a positive role in the cooling-off effects. All these findings indicate that the price limit trading rule exerts a positive effect on maintaining the stability of the Chinese stock markets.

q-fin.ST↗

arXiv2017

Individual position diversity in dependence socioeconomic networks increases economic output

The availability of big data recorded from massively multiplayer online role-playing games (MMORPGs) allows us to gain a deeper understanding of the potential connection between individuals' network positions and their economic outputs. We use a statistical filtering method to construct dependence networks from weighted friendship networks of individuals. We investigate the 30 distinct motif positions in the 13 directed triadic motifs which represent microscopic dependences among individuals. Based on the structural similarity of motif positions, we further classify individuals into different groups. The node position diversity of individuals is found to be positively correlated with their economic outputs. We also find that the economic outputs of leaf nodes are significantly lower than that of the other nodes in the same motif. Our findings shed light on understanding the influence of network structure on economic activities and outputs in socioeconomic system.

physics.soc-ph↗

arXiv2016

Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks

Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into $k$ classes using the $k$-shell decomposition method. We investigate the influences of trading behaviors on the price impact by comparing a closed national market (A-shares) with an international market (B-shares), individuals and institutions, partially filled and filled trades, buyer-initiated and seller-initiated trades, and trades at different positions of a trading network. Institutional traders professionally use some trading strategies to reduce the price impact and individuals at the same positions in the trading network have a higher price impact than institutions. We also find that trades in the core have higher price impacts than those in the peripheral shell.

q-fin.TR↗

arXiv2016

Understanding transport simulations of heavy-ion collisions at 100 and 400 AMeV: Comparison of heavy ion transport codes under controlled conditions

Transport simulations are very valuable for extracting physics information from heavy-ion collision experiments. With the emergence of many different transport codes in recent years, it becomes important to estimate their robustness in extracting physics information from experiments. We report on the results of a transport code comparison project. 18 commonly used transport codes were included in this comparison: 9 Boltzmann-Uehling-Uhlenbeck-type codes and 9 Quantum-Molecular-Dynamics-type codes. These codes have been required to simulate Au+Au collisions using the same physics input for mean fields and for in-medium nucleon-nucleon cross sections, as well as the same initialization set-up, the impact parameter, and other calculational parameters at 100 and 400 AMeV incident energy. Among the codes we compare one-body observables such as rapidity and transverse flow distributions. We also monitor non-observables such as the initialization of the internal states of colliding nuclei and their stability, the collision rates and the Pauli blocking. We find that not completely identical initializations constitute partly for different evolutions. Different strategies to determine the collision probabilities, and to enforce the Pauli blocking, also produce considerably different results. There is a substantial spread in the predictions for the observables, which is much smaller at the higher incident energy. We quantify the uncertainties in the collective flow resulting from the simulation alone as about $30\%$ at 100 AMeV and $13\%$ at 400 AMeV, respectively. We propose further steps within the code comparison project to test the different aspects of transport simulations in a box calculation of infinite nuclear matter. This should, in particular, improve the robustness of transport model predictions at lower incident energies where abundant amounts of data are available.

nucl-th↗

arXiv2016

Market correlation structure changes around the Great Crash

We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges. Both raw correlation matrix and partial correlation matrix with respect to the market index in two time periods of one year are investigated. We find that the Chinese stocks have stronger average correlation and partial correlation in 2008 than in 2007 and the average partial correlation is significantly weaker than the average correlation in each period. Accordingly, the largest eigenvalue of the correlation matrix is remarkably greater than that of the partial correlation matrix in each period. Moreover, each largest eigenvalue and its eigenvector reflect an evident market effect, while other deviating eigenvalues do not. We find no evidence that deviating eigenvalues contain industrial sectorial information. Surprisingly, the eigenvectors of the second largest eigenvalues in 2007 and of the third largest eigenvalues in 2008 are able to distinguish the stocks from the two exchanges. We also find that the component magnitudes of the some largest eigenvectors are proportional to the stocks' capitalizations.

q-fin.ST↗

arXiv2016

Communication cliques in mobile phone calling networks

People in modern societies form different social networks through numerous means of communication. These communication networks reflect different aspects of human's societal structure. The billing records of calls among mobile phone users enable us to construct a directed calling network (DCN) and its Bonferroni network (SVDCN) in which the preferential communications are statistically validated. Here we perform a comparative investigation of the cliques of the original DCN and its SVDCN constructed from the calling records of more than nine million individuals in Shanghai over a period of 110 days. We find that the statistical properties of the cliques of the two calling networks are qualitatively similar and the clique members in the DCN and the SVDCN exhibit idiosyncratic behaviors quantitatively. Members in large cliques are found to be spatially close to each other. Based on the clique degree profile of each mobile phone user, the most active users in the two calling networks can be classified in to several groups. The users in different groups are found to have different calling behaviors. Our study unveils interesting communication behaviors among mobile phone users that are densely connected to each other.

physics.soc-ph↗

arXiv2015

Two-state Markov-chain Poisson nature of individual cellphone call statistics

Humans are heterogenous and the behaviors of individuals could be different from that at the population level. We conduct an in-depth study of the temporal patterns of cellphone conversation activities of 73'339 anonymous cellphone users with the same truncated Weibull distribution of inter-call durations. We find that the individual call events exhibit a pattern of bursts, in which high activity periods are alternated with low activity periods. Surprisingly, the number of events in high activity periods are found to conform to a power-law distribution at the population level, but follow an exponential distribution at the individual level, which is a hallmark of absence of memory in individual call activities. Such exponential distribution is also observed for the number of events in low activity periods. Together with the exponential distributions of inter-call durations within bursts and of the intervals between consecutive bursts, we demonstrate that the individual call activities are driven by two independent Poisson processes, which can be combined within a minimal model in terms of a two-state first-order Markov chain giving very good agreement with the empirical distributions using the parameters estimated from real data for about half of the individuals in our sample. By measuring directly the distributions of call rates across the population, which exhibit power-law tails, we explain the difference with previous population level studies, purporting the existence of power-law distributions, via the "Superposition of Distributions" mechanism: The superposition of many exponential distributions of activities with a power-law distribution of their characteristic scales leads to a power-law distribution of the activities at the population level.

physics.soc-ph↗

arXiv2015

Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application

Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important issues about these methods are not well understood and most methods consider only one moment order. We study the joint multifractal analysis based on partition function with two moment orders, which was initially invented to investigate fluid fields, and derive analytically several important properties. We apply the method numerically to binomial measures with multifractal cross correlations and bivariate fractional Brownian motions without multifractal cross correlations. For binomial multifractal measures, the explicit expressions of mass function, singularity strength and multifractal spectrum of the cross correlations are derived, which agree excellently with the numerical results. We also apply the method to stock market indexes and unveil intriguing multifractality in the cross correlations of index volatilities.

q-fin.ST↗

arXiv2015

In-medium and isospin effects on particle production near threshold energies in heavy-ion collisions

Dynamics of pseudoscalar mesons ($π$, $η$, $K$ and $\overline{K}$ ) and hyperons ($Λ$ and $Σ$) produced in heavy-ion collisions near threshold energies has been investigated within the Lanzhou quantum molecular dynamics (LQMD) transport model. The in-medium modifications on particle production in dense nuclear matter are implemented in the model through corrections on the elementary cross sections and by inclusion of the meson (hyperon)-nucleon potentials, in which the isospin effects are considered. It is found that the transportation of particles are influenced with the in-medium corrections. The total number of pions is reduced with an isospin, density and momentum dependent pion-nucleon potential. However, the ratios of charged pions is enhanced with inclusion of the potential. The production of eta in the domain of mid-rapidities and high momenta is sensitive to the $η$-nucleon potential, but weakly depends on symmetry energy. The attractive antikaon-nucleon potential enhances the subthreshold $\overline{K}$ production and also influences the structure of phase-space distributions. Dynamics of etas, kaons, antikaons and hyperons is also influenced by the pion potential because of collisions between pions and nucleons (resonances). The impacts of mean-field potentials on particle dynamics are investigated, such as the phase-space distributions from rapidity and transverse momentum spectra, inclusive invariant spectra, collective flows etc.

nucl-th↗

arXiv2015

Club Convergence of House Prices: Evidence from China's Ten Key Cities

The latest global financial tsunami and its follow-up global economic recession has uncovered the crucial impact of housing markets on financial and economic systems. The Chinese stock market experienced a markedly fall during the global financial tsunami and China's economy has also slowed down by about 2\%-3\% when measured in GDP. Nevertheless, the housing markets in diverse Chinese cities seemed to continue the almost nonstop mania for more than ten years. However, the structure and dynamics of the Chinese housing market are less studied. Here we perform an extensive study of the Chinese housing market by analyzing ten representative key cities based on both linear and nonlinear econophysical and econometric methods. We identify a common collective driving force which accounts for 96.5\% of the house price growth, indicating very high systemic risk in the Chinese housing market. The ten key cities can be categorized into clubs and the house prices of the cities in the same club exhibit an evident convergence. These findings from different methods are basically consistent with each other. The identified city clubs are also consistent with the conventional classification of city tiers. The house prices of the first-tier cities grow the fastest, and those of the third- and fourth-tier cities rise the slowest, which illustrates the possible presence of a ripple effect in the diffusion of house prices in different cities.

q-fin.ST↗

arXiv2015

Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.

q-fin.ST↗

arXiv2015

Division of labor, skill complementarity, and heterophily in socioeconomic networks

Constituents of complex systems interact with each other and self-organize to form complex networks. Empirical results show that the link formation process of many real networks follows either the global principle of popularity or the local principle of similarity or a tradeoff between the two. In particular, it has been shown that in social networks individuals exhibit significant homophily when choosing their collaborators. We demonstrate, however, that in populations in which there is a division of labor, skill complementarity is an important factor in the formation of socioeconomic networks and an individual's choice of collaborators is strongly affected by heterophily. We analyze 124 evolving virtual worlds of a popular "massively multiplayer online role-playing game" (MMORPG) in which people belong to three different professions and are allowed to work and interact with each other in a somewhat realistic manner. We find evidence of heterophily in the formation of collaboration networks, where people prefer to forge social ties with people who have professions different from their own. We then construct an economic model to quantify the heterophily by assuming that individuals in socioeconomic systems choose collaborators that are of maximum utility. The results of model calibration confirm the presence of heterophily. Both empirical analysis and model calibration show that the heterophilous feature is persistent along the evolution of virtual worlds. We also find that the degree of complementarity in virtual societies is positively correlated with their economic output. Our work sheds new light on the scientific research utility of virtual worlds for studying human behaviors in complex socioeconomic systems.

physics.soc-ph↗

arXiv2014

Correlation structure and principal components in global crude oil market

This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports Weiner's (1991) regionalization hypothesis of the global oil market. We find that intra-cluster pairs of time series are highly correlated while inter-cluster pairs have relatively low correlations. Principal component analysis shows that most eigenvalues of the correlation matrix locate outside the prediction of the random matrix theory and these deviating eigenvalues and their corresponding eigenvectors contain rich economic information. Specifically, the largest eigenvalue reflects a collective effect of the global market, other four largest eigenvalues possess a partitioning function to distinguish the six clusters, and the smallest eigenvalues highlight the pairs of time series with the largest correlation coefficients. We construct an index of the global oil market based on the eigenfortfolio of the largest eigenvalue, which evolves similarly as the average price time series and has better performance than the benchmark $1/N$ portfolio under the buy-and-hold strategy.

q-fin.ST↗

arXiv2014

A comparative analysis of the statistical properties of large mobile phone calling networks

Mobile phone calling is one of the most widely used communication methods in modern society. The records of calls among mobile phone users provide us a valuable proxy for the understanding of human communication patterns embedded in social networks. Mobile phone users call each other forming a directed calling network. If only reciprocal calls are considered, we obtain an undirected mutual calling network. The preferential communication behavior between two connected users can be statistically tested and it results in two Bonferroni networks with statistically validated edges. We perform a comparative analysis of the statistical properties of these four networks, which are constructed from the calling records of more than nine million individuals in Shanghai over a period of 110 days. We find that these networks share many common structural properties and also exhibit idiosyncratic features when compared with previously studied large mobile calling networks. The empirical findings provide us an intriguing picture of a representative large social network that might shed new lights on the modelling of large social networks.

cs.SI↗

arXiv2014

Triadic motifs in the dependence networks of virtual societies

In friendship networks, individuals have different numbers of friends, and the closeness or intimacy between an individual and her friends is heterogeneous. Using a statistical filtering method to identify relationships about who depends on whom, we construct dependence networks (which are directed) from weighted friendship networks of avatars in more than two hundred virtual societies of a massively multiplayer online role-playing game (MMORPG). We investigate the evolution of triadic motifs in dependence networks. Several metrics show that the virtual societies evolved through a transient stage in the first two to three weeks and reached a relatively stable stage. We find that the unidirectional loop motif (${\rm{M}}_9$) is underrepresented and does not appear, open motifs are also underrepresented, while other close motifs are overrepresented. We also find that, for most motifs, the overall level difference of the three avatars in the same motif is significantly lower than average, whereas the sum of ranks is only slightly larger than average. Our findings show that avatars' social status plays an important role in the formation of triadic motifs.

physics.soc-ph↗

arXiv2013

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relationships, but also have potential impacts on market dynamics. Here, we present a detailed analysis on how the market behaviors are correlated with the structures of traders in trading networks based on audit trail data for the Baosteel stock and its warrant at the transaction level from 22 August 2005 to 23 August 2006. In our investigation, we divide each trade day into 48 time windows with a length of five minutes, construct a trading network within each window, and obtain a time series of over 1,100 trading networks. We find that there are strongly simultaneous correlations between the topological metrics (including network centralization, assortative index, and average path length) of trading networks that characterize the patterns of order execution and the financial variables (including return, volatility, intertrade duration, and trading volume) for the stock and its warrant. Our analysis may shed new lights on how the microscopic interactions between elements within complex system affect the system's performance.

q-fin.ST↗