Spatio-temporal correlations and large volatilities in financial dynamics

We briefly review progress in econophysics, and report our recent results on spatio-temporal correlations and large volatilities in financial dynamics, with special emphasis on comparative studies of the western and Chinese stock markets. Our phenomenological analysis reveals that the return-volatility correlation of western markets shows the leverage effect, while that of the Chinese market exhibits anti-leverage effects; a feedback interaction between returns and volatilities may explain the origin of the leverage and anti-leverage effects.The cross-correlations between individual stocks in western markets display the structure of standard business sectors, while those of the Chinese market show unusual structures like the ST and blue-chip sectors.Large volatilities in financial dynamics may be classified into “exogenous” and “endogenous” events. The breakdown of time-reversal symmetry in financial dynamics is mainly attributed to “exogenous”events.