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

Ying Fan; Shang Jun Ying; Bing Hong Wang; Yi Ming Wei

doi:10.1016/j.cie.2008.03.015

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

Ying Fan
, Shang Jun Ying
, Bing Hong Wang
, Yi Ming Wei^*

^*此作品的通讯作者

CAS - Institutes of Science and Development
Shanghai University of International Business and Economics
University of Science and Technology of China

科研成果: 期刊稿件 › 文章 › 同行评审

29 引用（Scopus）

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.

源语言	英语
页（从-至）	63-69
页数	7
期刊	Computers and Industrial Engineering
卷	56
期	1
DOI	https://doi.org/10.1016/j.cie.2008.03.015
出版状态	已出版 - 2月 2009
已对外发布	是

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

abstract = "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.",

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AB - 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.

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KW - Complexity

KW - Discrete level

KW - Hurst exponent

KW - Investor psychology

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

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