Endogenous and exogenous dynamics in the fluctuations of capital fluxes

  title={Endogenous and exogenous dynamics in the fluctuations of capital fluxes},
  author={Z. Jiang and L. Guo and W. Zhou},
  journal={The European Physical Journal B},
  • Z. Jiang, L. Guo, W. Zhou
  • Published 2007
  • Physics, Economics
  • The European Physical Journal B
  • Abstract.A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out 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 the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σexo / σendo of individual stocks. Both the scaling exponent… CONTINUE READING
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