The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model
Fan, Y; Ying, SJ; Wang, BH; Wei, YM
Source PublicationCOMPUTERS & INDUSTRIAL ENGINEERING
KeywordCellular Automata Complexity Hurst Exponent Discrete Level Investor Psychology
AbstractIn 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.
2009
Volume56Issue:1Pages:7,63-69
ISSN0360-8352
Subject AreaComputer Science ; Industrial ; Interdisciplinary Applications ; Engineering
Indexed BySCI
Language英语
WOS IDWOS:000262599000008
Citation statistics
Cited Times:18[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/4664
Collection中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
Recommended Citation
GB/T 7714
Fan, Y,Ying, SJ,Wang, BH,et al. The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model[J]. COMPUTERS & INDUSTRIAL ENGINEERING,2009,56(1):7,63-69.
APA Fan, Y,Ying, SJ,Wang, BH,&Wei, YM.(2009).The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model.COMPUTERS & INDUSTRIAL ENGINEERING,56(1),7,63-69.
MLA Fan, Y,et al."The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model".COMPUTERS & INDUSTRIAL ENGINEERING 56.1(2009):7,63-69.
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