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Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating...
Persistent link: https://www.econbiz.de/10009325483
We introduce an instantaneous and an average instantaneous cross-correlation function to detect the temporal cross-correlations between individual stocks based on the daily data of the United States and the Chinese stock markets. The memory effect of the instantaneous cross-correlations is...
Persistent link: https://www.econbiz.de/10010591510
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual...
Persistent link: https://www.econbiz.de/10008615492
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as $P_{q}(\tau)=1/\bar{\tau} f(\tau/\bar{\tau})$ to obtain a uniform scaling...
Persistent link: https://www.econbiz.de/10005098581
Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there exists another investment opportunity, market...
Persistent link: https://www.econbiz.de/10010779278
The bid–ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By...
Persistent link: https://www.econbiz.de/10010591462
How trading volume responds to price return is investigated by the return–volume correlation dynamics, based on the daily data of two typical financial markets, i.e., the Chinese and the United States stock markets. Whereas the price returns being observed to be positively correlated with the...
Persistent link: https://www.econbiz.de/10011194063
Considering the time scales of global information and personal reaction, we study the role of dynamic response time in the evolution of collective behavior in an evolving market. The insensitiveness to the market information makes the population cluster around a kind of extreme behavior, in...
Persistent link: https://www.econbiz.de/10010873958
In the coevolution of network structures and opinion formation, we investigate the effects of a mixed population with distinctive relinking preferences on both the convergence time and the network structures. It has been found that a heterogeneous network structure is easier to be reached with...
Persistent link: https://www.econbiz.de/10011064118
Cooperative behavior is common in nature even if selfishness is sometimes better for an individual. Empirical and theoretical studies have shown that the invasion and expansion of cooperators are related to an inhomogeneous connectivity distribution. Here we study the evolution of cooperation on...
Persistent link: https://www.econbiz.de/10010589978