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

页码：63 / 69

页数：7

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