We investigate the return-volatility correlation both local and nonlocal in time with daily and minutely data of the German DAX and Chinese indices, and observe a leverage effect for the German DAX, while an antileverage effect for the Chinese indices. In the negative time direction, i.e., for the volatility-return correlation, an antileverage effect nonlocal in time is detected for both the German DAX and Chinese indices, although the duplicate local in time does not exist. A retarded volatility model may describe the asymmetric properties of the financial indices in the positive time direction.

-Based on a hybrid algorithm incorporating the heat conduction and probability spreading processes (Proc. Natl. Acad. Sci. U.S.A., 107 (2010) 4511), in this letter, we propose an improved method by introducing an item-oriented function, focusing on solving the dilemma of the recommendation accuracy between the cold and popular items. Differently from previous works, the present algorithm does not require any additional information (e.g., tags). Further experimental results obtained in three real datasets, RYM, Netflix and MovieLens, show that, compared with the original hybrid method, the proposed algorithm significantly enhances the recommendation accuracy of the cold items, while it keeps the recommendation accuracy of the overall and the popular items. This work might shed some light on both understanding and designing effective methods for long-tailed online applications of recommender systems.

This study examines ways in which economic and sociological explanations of higher education (HE) choices may intersect through student's use of information. We find substantial positive associations between intention to go to university in England and each of: (i) parents' education; (ii) cultural capital; and (iii) expectations of the size of the graduate premium. We also find an association between beliefs about the size of the graduate premium and cultural capital. These results support an integrated model of participation in HE in which social and economic factors are treated as complementary rather than competing explanations. The results run counter to previous research which has found that associations between participation in HE and socio-economic status (SES) largely disappear once students' attainment is taken into account. One policy implication of this research is that some indicators of SES (notably household income, eligibility for free school meals or parental occupation) are sub-optimal for interventions to widen participation in HE.

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 stock prices, and leads to a stable topological structure in the dynamic evolution. Long-range timecorrelations are revealed for the average clustering coefficient, average degree and crosscorrelation of degrees. The dynamic network shows a two-peak behavior in the degree distribution.

No abstract

We investigate the probability distribution of the volatility return intervals τ for the Chinese stock market. We rescale both the probability distribution P q (τ ) and the volatility return intervals τ as P q (τ ) = 1/τ f (τ /τ ) to obtain a uniform scaling curve for different threshold value q. The scaling curve can be well fitted by the stretched exponential function f (x) ∼ e −αx γ , which suggests memory exists in τ . To demonstrate the memory effect, we investigate the conditional probability distribution P q (τ |τ 0 ), the mean conditional interval τ |τ 0 and the cumulative probability distribution of the cluster size of τ . The results show clear clustering effect. We further investigate the persistence probability distribution P ± (t) and find that P − (t) decays by a power law with the exponent far different from the value 0.5 for the random walk, which further confirms long memory exists in τ . The scaling and long memory effect of τ for the Chinese stock market are similar to those obtained from the United States and the Japanese financial markets.

The recently discovered two-phase phenomenon in financial markets [Nature 421, 130 (2003)] is examined with the German financial index DAX, minority games, and dynamic herding models. It is observed that the two-phase phenomenon is an important characteristic of financial dynamics, independent of volatility clustering. An interacting herding model correctly produces the two-phase phenomenon.

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.