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| P2P Network Loan Market Have Nonlinear Dependence and Long Memory Characteristics |
| LIU Fengtao,XU Huan,ZHAO Yuanjun
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| Glorious Sun School of Business and Management, Donghua University, Shanghai 200051, China |
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Abstract Data acquisition of four time series of day trading on the whole Chinese P2P lending market is completed for empirical analysis. Using BDS nonlinear test method, the nonlinear dependence of the Chinese P2P lending market is tested and confirmed,In addition, an empirical analysis about whether there exists long memory in Chinese P2P lending market is conducted, using the classical R/S analysis method and the modified R/S analysis method. Results show that time series of P2P lending is nonlinear and a maybe low-dimensional chaotic process. It is found that there doesn’t show any long memory characteristics in each of P2P time series. Still staying in the primary stage of development and evolution at present, the P2P lending market is on transition stage from simple linear system to complicated open giant system.
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Published: 16 May 2019
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