基于元胞自动机的股市模拟及分析——投资者心理和股票交易量  

Analysis and Simulation of Stock Market Based On Cellular Automata——investors′ choice psychology and stock′s trading amount

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

机构地区：[1]大连理工大学化工学院,大连116012 [2]大连理工大学管理学院,大连116023

出　　处：《数学的实践与认识》2009年第4期6-12,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70273020);大连理工大学学科建设项目

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:自信程度系数与绝对总交易量之间呈现稳定的"倒U形"结构;信息交流程度对股市活跃程度有影响;投资者数目对市场活跃程度起关键作用.A cellular automata model is established on investors＇ choice psychology and stock＇s trading amount in this paper. Various principles are established synthesizing three types of neighbors, including non-neighbor, Von Neumann and Moore neighbor, describing investors＇ choice psychology with fuzzy membership function. The results of simulation show that there is stable inverted U shape between self-confidence coefficient and the absolute trading amount; the extent of information exchange has an impact on the dynamism of the stock market; the number of involved investors has a crucial effect on the dynamism of the stock market.

关 键 词：股市波动 元胞自动机 心理因素 倒U型 模糊 HURST指数 

分 类 号：F830.91[经济管理—金融学] F224