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

Authors:
Ying Fan;Shang-Jun Ying;Bing-Hong Wang;Yi-Ming Wei
Affiliations:
Center for Energy & Environmental Policy, Institute of Policy and Management, Chinese Academy of Sciences, P.O. Box 8712, Beijing 100080, China;Institute of International Business, Finance School, Shanghai Institute of Foreign Trade, Shanghai 201600, China;Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China, Hefei 230026, China;Center for Energy & Environmental Policy, Institute of Policy and Management, Chinese Academy of Sciences, P.O. Box 8712, Beijing 100080, China
Venue:
Computers and Industrial Engineering
Year:
2009

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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.