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
相关论文
共 50 条
  • [41] A simplified combat model based on a cellular automaton
    A. V. Kuznetsov
    Journal of Computer and Systems Sciences International, 2017, 56 : 397 - 409
  • [42] Computer model of sintering based on a cellular automaton
    Humenyuk, LO
    Lotysh, VV
    Rud', VD
    POWDER METALLURGY AND METAL CERAMICS, 1998, 37 (7-8) : 379 - 381
  • [43] Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis
    Fang, Yi
    JOURNAL OF EMPIRICAL FINANCE, 2012, 19 (04) : 528 - 547
  • [44] Modeling investor sentiment and overconfidence in an agent-based stock market
    Lovric, Milan
    Kaymak, Uzay
    Spronk, Jaap
    HUMAN SYSTEMS MANAGEMENT, 2010, 29 (02) : 89 - 101
  • [45] Analysis of the Effect of Berths on Passenger Boarding Time Using Cellular Automaton Model
    Xu, Keyu
    Wang, Tao
    Zhang, Jing
    Cui, JiaZhen
    Sun, Haining
    PROCEEDINGS OF THE 32ND 2020 CHINESE CONTROL AND DECISION CONFERENCE (CCDC 2020), 2020, : 1638 - 1641
  • [46] Predicting stock market crashes in MENA regions: study based on the irrationality of investor behavior and the NARX model
    Ben Yaala, Sirine
    Henchiri, Jamel Eddine
    JOURNAL OF FINANCIAL REGULATION AND COMPLIANCE, 2024,
  • [47] The Influence of Investor Emotion on the Stock Market: Evidence from an Infectious Disease Model
    Chen, Yutao
    Zhu, Shuzhen
    He, Haoyuan
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2021, 2021
  • [48] Bicycle longitudinal elastic cellular automaton model based on behavior characteristics analysis
    Yang, Xiaofang
    Fu, Qiang
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2025, 667
  • [49] Holiday Effect in Chinese Stock Market: Based on GARCH Model
    Shan Lifei
    Zhou Minghua
    Li Aming
    DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 140 - 145
  • [50] Stochastic cellular automata model for stock market dynamics
    Bartolozzi, M
    Thomas, AW
    PHYSICAL REVIEW E, 2004, 69 (04) : 7
12345