The Research On Investor Sentiment Contagion Model Based On Cellular Automata

Traditional financial theory, like the "Efficient Market Hypothesis" think investors are completely rational, pursue maximum utility as target, and they also can make accurate judgment to the information in stock market. But lots of facts and research prove that the stock market is non-effective, investors are limited rational. More and more phenomenon in real stock market can not be explained by the traditional financial theory.Securities market is a complex system, which is affected by many factors, in recent years, various research proves that the behavior and corresponding psychology of investors have important influence directly to Securities market. Thought and sentiment contagion of the investors, evolution of financial ideologies and their effects on markets, is one of popular issues in modern finance. Recently, more and more economists and physicists are committed to the research of investor sentiment contagion by complexity theory and have built many models. Based on Cellular Automata which applies to complex system and complexity theory research, this thesis will construct a model of investor sentiment contagion.In current study, there are several models of stock market based on Cellular Automata, which can reaction some reality and explain some phenomenon in stock market to a certain extent, but still have some disadvantages. To these disadvantages, this thesis will establish a new model of investor sentiment contagion based on Cellular Automata. Firstly brief introduce the theory of Cellular Automaton and Investor Sentiment Contagion, then establish a model of investor sentiment contagion based on Cellular Automata, the model has two characteristics:(1) To the disadvantages of the existing models, such as trading volume is constant, do not considering the restriction of investor wealth and trading mechanism, establish a more actual sentiment contagion model; (2) To the reality of Chinese stock market, policy market and stock manipulation, establish a model more accord with Chinese reality.Finally, using MATLAB to simulate the model, under different parameters settings, draw conclusions as:1,Stock Returnrate have leptokurtic distributions, so the modle of this thesis is feasibility and successful; 2,The induction coefficient of investor is one of major factors that affects the market stability, investors should be rationally when making decision; 3,Induction coefficient is an important factor to the production of price bubbles; 4,Macroscopical factor is another important factor that affects the market stability; 5,Chinese stock market has serious stock manipulation, stock manipulation serious affect the market stability.Assuming the market is non-effective and investors are limit rational, a model of investor sentiment contagion based on Cellular Automata is built in this thesis. It helps investors reduce irrational investment and avoid risks effectively, so as to improve the efficiency of the stock market. Combination with the reality of Chinese stock market, establish a more actual model, which has a very important practical significance to improve the regulatory quality and perfect the system of Chinese stock market.