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The cellular automaton model of investment behavior in the stock market

Author

Listed:
  • Wei, Yi-ming
  • Ying, Shang-jun
  • Fan, Ying
  • Wang, Bing-Hong

Abstract

The modeling theory and method using cellular automata are applied to the study on the complexity in the stock market. An evolution model based on cellular automaton for the investment behavior in the stock market is formulated. The simulation results and analyses of various states of the stock market show that investors’ imitation degree and the macro factors are the key determinants to the stability of the stock market. We observed that more diversity in the investment views of agents and lower imitation among investors are in favor of the normal development of the stock market.

Suggested Citation

  • Wei, Yi-ming & Ying, Shang-jun & Fan, Ying & Wang, Bing-Hong, 2003. "The cellular automaton model of investment behavior in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 325(3), pages 507-516.
    • Handle: RePEc:eee:phsmap:v:325:y:2003:i:3:p:507-516
    DOI: 10.1016/S0378-4371(03)00144-4
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    Citations

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    Cited by:

    1. Ying, Shangjun & Fan, Ying, 2014. "Complexity in the Chinese stock market and its relationships with monetary policy intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 338-345.
    2. Stefan, F.M. & Atman, A.P.F., 2015. "Is there any connection between the network morphology and the fluctuations of the stock market index?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 630-641.
    3. Ducha, F.A. & Atman, A.P.F. & Bosco de Magalhães, A.R., 2021. "Information flux in complex networks: Path to stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    4. Bakker, L. & Hare, W. & Khosravi, H. & Ramadanovic, B., 2010. "A social network model of investment behaviour in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1223-1229.
    5. Bian, Yue-tang & Xu, Lu & Li, Jin-sheng, 2016. "Evolving dynamics of trading behavior based on coordination game in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 281-290.

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