The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model

被引：20
|
作者：
Fan, Ying [1 ]
Ying, Shang-Jun [2 ]
Wang, Bing-Hong [3 ,4 ]
Wei, Yi-Ming [1 ]
机构：
[1] Chinese Acad Sci, Inst Policy & Management, Ctr Energy & Environm Policy, Beijing 100080, Peoples R China
[2] Shanghai Inst Foreign Trade, Inst Int Business, Finance Sch, Shanghai 201600, Peoples R China
[3] Univ Sci & Technol China, Dept Modern Phys, Hefei 230026, Peoples R China
[4] Univ Sci & Technol China, Ctr Nonlinear Sci, Hefei 230026, Peoples R China
来源：
COMPUTERS & INDUSTRIAL ENGINEERING | 2009年 / 56卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Cellular automata; Complexity; Hurst exponent; Discrete level; Investor psychology;
D O I：
10.1016/j.cie.2008.03.015
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In this paper, using a developed cellular automaton model of the stock market. variables reflecting fractal and stability properties are introduced to describe complexity in the stock market: the concept of discrete level is defined to characterize market stability. Based on the model, the dependency of market complexity on the investors' imitation degree is investigated. The results show a clear correlation between investors' imitation degree and complexity of the stock market. (C) 2008 Elsevier Ltd. All rights reserved.
引用
收藏
页码：63 / 69
页数：7
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