28 research outputs found
On the growth of primary industry and population of China's counties
The growth dynamics of complex organizations have attracted much interest of
econophysicists and sociophysicists in recent years. However, most of the
studies are done for developed countries. We investigate the growth dynamics of
the primary industry and the population of 2079 counties in mainland China
using the data from the China County Statistical Yearbooks from 2000 to 2006.
We find that the annual growth rates are distributed according to Student's
distribution with the tail exponent less than 2. We find power-law
relationships between the sample standard deviation of the growth rates and the
initial size. The scaling exponent is less than 0.5 for the primary industry
and close to 0.5 for the population.Comment: 8 page
The near-extreme density of intraday log-returns
The extreme event statistics plays a very important role in the theory and
practice of time series analysis. The reassembly of classical theoretical
results is often undermined by non-stationarity and dependence between
increments. Furthermore, the convergence to the limit distributions can be
slow, requiring a huge amount of records to obtain significant statistics, and
thus limiting its practical applications. Focussing, instead, on the closely
related density of "near-extremes" -- the distance between a record and the
maximal value -- can render the statistical methods to be more suitable in the
practical applications and/or validations of models. We apply this recently
proposed method in the empirical validation of an adapted financial market
model of the intraday market fluctuations
Cultural Neuroeconomics of Intertemporal Choice
According to theories of cultural neuroscience, Westerners and Easterners may have distinct styles of cognition (e.g., different allocation of attention). Previous research has shown that Westerners and Easterners tend to utilize analytical and holistic cognitive styles, respectively. On the other hand, little is known regarding the cultural differences in neuroeconomic behavior. For instance, economic decisions may be affected by cultural differences in neurocomputational processing underlying attention; however, this area of neuroeconomics has been largely understudied. In the present paper, we attempt to bridge this gap by considering the links between the theory of cultural neuroscience and neuroeconomic theory\ud
of the role of attention in intertemporal choice. We predict that (i) Westerners are more impulsive and inconsistent in intertemporal choice in comparison to Easterners, and (ii) Westerners more steeply discount delayed monetary losses than Easterners. We examine these predictions by utilizing a novel temporal discounting model based on Tsallis' statistics (i.e. a q-exponential model). Our preliminary analysis of temporal discounting of gains and losses by Americans and Japanese confirmed the predictions from the cultural neuroeconomic theory. Future study directions, employing computational modeling via neural networks, are briefly outlined and discussed
Empirical regularities of opening call auction in Chinese stock market
We study the statistical regularities of opening call auction using the
ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock
Exchange in 2003. The distribution of the relative price, defined as the
relative difference between the order price in opening call auction and the
closing price of last trading day, is asymmetric and that the distribution
displays a sharp peak at zero relative price and a relatively wide peak at
negative relative price. The detrended fluctuation analysis (DFA) method is
adopted to investigate the long-term memory of relative order prices. We
further study the statistical regularities of order sizes in opening call
auction, and observe a phenomenon of number preference, known as order size
clustering. The probability density function (PDF) of order sizes could be well
fitted by a -Gamma function, and the long-term memory also exists in order
sizes. In addition, both the average volume and the average number of orders
decrease exponentially with the price level away from the best bid or ask price
level in the limit-order book (LOB) established immediately after the opening
call auction, and a price clustering phenomenon is observed.Comment: 11 pages, 6 figures, 3 table
Neural complexity -- Statistical-mechanical approach of human electroencephalograms
The brain is a complex system whose understanding enables potentially deeper
approaches to mental phenomena. Dynamics of wide classes of complex systems
have been satisfactorily described within -statistics, a current
generalization of Boltzmann-Gibbs (BG) statistics. Here, we study human
electroencephalograms of typical human adults (EEG), very specifically their
inter-occurrence times across an arbitrarily chosen threshold of the signal
(observed, for instance, at the midparietal location in scalp). The
distributions of these inter-occurrence times differ from those usually
emerging within BG statistical mechanics. They are instead well approached
within the -statistical theory, based on non-additive entropies
characterized by the index . The present method points towards a suitable
tool for quantitatively accessing brain complexity, thus potentially opening
useful studies of the properties of both typical and altered brain physiology
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
Intertrade duration of equities is an important financial measure
characterizing the trading activities, which is defined as the waiting time
between successive trades of an equity. Using the ultrahigh-frequency data of a
liquid Chinese stock and its associated warrant, we perform a comparative
investigation of the statistical properties of their intertrade duration time
series. The distributions of the two equities can be better described by the
shifted power-law form than the Weibull and their scaled distributions do not
collapse onto a single curve. Although the intertrade durations of the two
equities have very different magnitude, their intraday patterns exhibit very
similar shapes. Both detrended fluctuation analysis (DFA) and detrending moving
average analysis (DMA) show that the 1-min intertrade duration time series of
the two equities are strongly correlated. In addition, both multifractal
detrended fluctuation analysis (MFDFA) and multifractal detrending moving
average analysis (MFDMA) unveil that the 1-min intertrade durations possess
multifractal nature. However, the difference between the two singularity
spectra of the two equities obtained from the MFDMA is much smaller than that
from the MFDFA.Comment: 10 latex pages, 4 figure