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Zhi-Qiang Jiang

Publications and source records attributed to Zhi-Qiang Jiang.

60 records · Page 4Linked to original sources

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↗

Multifractality in stock indexes: Fact or fiction?

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent $τ(q)$ is linear and the singularity $α(q)$ is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of the shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion.

q-fin.ST↗

Statistical significance of rich-club phenomena in complex networks

We propose that the rich-club phenomena in complex networks should be defined in the spirit of bootstrapping, in which a null model is adopted to assess the statistical significance of the rich-club detected. Our method can be served as a definition of rich-club phenomenon and is applied to analyzing three real networks and three model networks. The results improve significantly compared with previously reported results. We report a dilemma with an exceptional example, showing that there does not exist an omnipotent definition for the rich-club phenomenon.

physics.soc-ph↗

Scale invariant multiplier and multifractality of absolute returns in stock markets

The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is larger than some crossover scale, providing direct evidence of the existence of scale invariance in financial data. The multipliers with base $a=2$ are well approximated by a normal distribution and the most probable multiplier scales as a power law in respect to the base $a$. We unravel that the volatility multipliers possess multifractal nature which is independent of construction of the multipliers, that is, the values of $s$ and $a$.

physics.soc-ph↗

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↗

Exploring self-similarity of complex cellular networks: The edge-covering method with simulated annealing and log-periodic sampling

Song, Havlin and Makse (2005) have recently used a version of the box-counting method, called the node-covering method, to quantify the self-similar properties of 43 cellular networks: the minimal number $N_V$ of boxes of size $\ell$ needed to cover all the nodes of a cellular network was found to scale as the power law $N_V \sim (\ell+1)^{-D_V}$ with a fractal dimension $D_V=3.53\pm0.26$. We propose a new box-counting method based on edge-covering, which outperforms the node-covering approach when applied to strictly self-similar model networks, such as the Sierpinski network. The minimal number $N_E$ of boxes of size $\ell$ in the edge-covering method is obtained with the simulated annealing algorithm. We take into account the possible discrete scale symmetry of networks (artifactual and/or real), which is visualized in terms of log-periodic oscillations in the dependence of the logarithm of $N_E$ as a function of the logarithm of $\ell$. In this way, we are able to remove the bias of the estimator of the fractal dimension, existing for finite networks. With this new methodology, we find that $N_E$ scales with respect to $\ell$ as a power law $N_E \sim \ell^{-D_E}$ with $D_E=2.67\pm0.15$ for the 43 cellular networks previously analyzed by Song, Havlin and Makse (2005). Bootstrap tests suggest that the analyzed cellular networks may have a significant log-periodicity qualifying a discrete hierarchy with a scaling ratio close to 2. In sum, we propose that our method of edge-covering with simulated annealing and log-periodic sampling minimizes the significant bias in the determination of fractal dimensions in log-log regressions.

cond-mat.dis-nn↗