

Preprint 48/2011
Self-similarity and network perspective of the Chinese fund market
Weibing Deng, Wei Li, Xu Cai, and Qiuping Wang
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Submission date: 20. Jul. 2011
Pages: 17
published in: Physica / A, 390 (2011) 21/22, p. 3826-3834
DOI number (of the published article): 10.1016/j.physa.2011.06.029
Bibtex
Keywords and phrases: Self-similarity, Scaling, Network
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Abstract:
By testing 88 different funds of the Chinese fund market (CFM), we find fractal behavior
and long-range correlations in the return series, which are insensitive to the kind of funds.
Meanwhile, a power-law relationship between the deviation D of prices and the Hurst
exponent H has been obtained, which may be useful for predicting the price time series. In
addition, with funds being viewed as nodes, and the connections among the funds being
determined by the cross-correlation coefficients, using a winner-takes-all approach, we
investigate the topological properties of the fund network. Our analysis reveals that, during
different time periods, the cumulative degree distributions of the fund network all obey the
double power-law format. Moreover, the small-world property is also found for the fund
network.