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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
Affiliation: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
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