基于元胞自动机的投资者心理与股价波动分析  

Analysis of Investor's Psychology and Fluctuations of Stock's Price in Stock Market Based On Cellular Automata

作　　者：刘源远[1] 董宏光[2] 高建喜[2] 崔姗姗[1] 秦学志[1] 

机构地区：[1]大连理工大学经济系,大连116023 [2]大连理工大学化工学院,大连116012

出　　处：《科技通报》2008年第3期427-432,共6页Bulletin of Science and Technology

基　　金：国家自然科学基金资助项目(No.70273020)

摘　　要：建立了描述投资者心理和股票交易量的元胞自动机模型。综合零邻居、Von Neumann和Moore三种邻居形式制定不同的规则,用模糊隶属度函数刻画投资者的选择心理。模拟结果表明:交易者之间自信程度的不一致性越高,价格的波动和相对交易量越大;Hurst指数与自信程度系数有关。A cellular automata model is established on investor＇s psychology and fluctuations of stock＇s price in this paper. Various rules are set up by considering three types of neighbors, including non-neighbor, Von Neumann and Moore neighbor. We describe the psychology of the investors in stock market with fuzzy membership function and establish the relationship between the price and relative trading amount according to the nature of the relation between these two factors. The results of simulation show that the larger the inconformity of self-confidence coefficient among the investors is, the larger the fluctuations of the price and the trade amount are, and there is a certain relationship between Hurst exponent andself-confidence coefficient.

关 键 词：股市波动 元胞自动机 心理因素 HURST指数 模糊 股价 

分 类 号：F830.91[经济管理—金融学]