| 单支股票市场的元胞自动机模型及其动力学研究 |
| |
| 引用本文： | 应尚军,范英,魏一鸣.单支股票市场的元胞自动机模型及其动力学研究[J].系统工程,2006,24(7):31-36. |
| |
| 作者姓名： | 应尚军 范英 魏一鸣 |
| |
| 作者单位： | 1. 上海对外贸易学院,金融研究所,上海,201600
2. 中国科学院,科技政策与管理科学研究所,北京,100080 |
| |
| 摘 要： | 在基于投资分析的股票市场演化元胞自动机模型的基础上．建立了兖州煤业股票市场的单支股票元胞自动机演化模型，并以演化模型产生的股价指数序列为研究对象进行了动力学分析。通过考察股价指数序列在重构相空间中的轨迹，我们发现了股票市场中的混沌现象；通过相空间的分形维计算．说明了建立股票市场的动力学方程是有可能的；根据模拟模型和现实市场的对比分析，进一步证实了基于投资分析的股票市场演化元胞自动机模型，在模拟股票市场复杂性方面的可行性。
|
| 关 键 词： | 元胞自动机 股票市场 动力学 相空间 分形维 |
| 文章编号： | 1001-4098（2006）07-0031-06 |
| 收稿时间： | 2006-05-04 |
| 修稿时间： | 2006-05-04 |
A CA Model for Single Stock Market and Its Dynamical Analysis |
| |
| YING Shang-jun,FAN Ying,WEI Yi-ming.A CA Model for Single Stock Market and Its Dynamical Analysis[J].Systems Engineering,2006,24(7):31-36. |
| |
| Authors: | YING Shang-jun FAN Ying WEI Yi-ming |
| |
| Institution: | 1. Shanghai Institute of Foreign Trade, Shanghai 21600, China ; 2. Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080,China |
| |
| Abstract: | Following the CA evolving model on stock markets established before, this paper take YZMY stock as an exampie to formulate a single stock CA model. Based on the simulated price index series, a dynamical analysis is conducted.By analyzing the tracks of the price series in the reconstructed phase space, chaos in the stock market is found; by estimating the fractal dimension, the possibility to construct dynamic equations in stock market is illustrated; by the comparing the evolving model with the real stock market of YZMY, the feasibility of simulating the complexity of stock markets is explored. |
| |
| Keywords: | Cellular Automaton Stock Market Dynamics Phase Space Fractal |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
