The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model |
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| Authors: | Ying Fan Shang-Jun Ying Bing-Hong Wang Yi-Ming Wei |
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| Affiliation: | 1. Center for Energy & Environmental Policy, Institute of Policy and Management, Chinese Academy of Sciences, P.O. Box 8712, Beijing 100080, China;2. Institute of International Business, Finance School, Shanghai Institute of Foreign Trade, Shanghai 201600, China;3. Department of Modern Physics and Nonlinear Science Center, University of Science and Technology of China, Hefei 230026, China;1. Department of Physics, Inha University, Incheon, 402-751, South Korea;2. Department of Computer Science and Telecommunication Engineering, Noakhali Science and Technology University, Sonapur Noakhali-3802, Bangladesh;1. School of Optical–electrical and Computer Engineering, University of Shanghai for Science and Technology, Shanghai 200093, China;2. School of Management, University of Shanghai for Science and Technology, Shanghai, China;3. Sino-British College, University of Shanghai for Science and Technology, Shanghai, China;4. Shanghai Key Lab of Modern Optical System, Shanghai, China;5. Engineering Research Center of Optical Instrument and System, Ministry of Education, Shanghai, China |
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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. |
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