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 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 alpha, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio eta= sigma(exo)/sigma(endo) of individual stocks. Both the scaling exponent alpha of fluctuations and the Hurst exponent H-i increase in logarithmic form with the time scale Delta t and the mean traded value per minute [f(i)], respectively. We find that the scaling exponent alpha(endo) of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.