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 $\alpha$ exponents different from the universal value 1/2 and 1 but also in the distributions of the ratios $\eta_i = \sigma_i^{\rm{exo}} / \sigma_i^{\rm{endo}}$. 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 $\alpha^{\rm{endo}}$ of the endogenous fluctuations is found to be independent of the time scale, while the exponent of exogenous fluctuations $\alpha^{\rm{exo}}=1$. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.