The effect of investor psychology on the complexity of stock market: An analysis based on cellular automaton model

0360-8352/$ see front matter 2008 Elsevier Ltd. A doi:10.1016/j.cie.2008.03.015 q Grant Sponsors: National Natural Science Foundatio Grants Nos. 70425001, 70573104 and 70733005. * Corresponding author. Tel./fax: +86 10 62650861. E-mail addresses: [email protected], [email protected] In this paper, using a developed cellular automaton model of the stock market, variables reflecting fractal and stability properties are introduced to describe complexity in the stock market; the concept of discrete level is defined to characterize market stability. Based on the model, the dependency of market complexity on the investors’ imitation degree is investigated. The results show a clear correlation between investors’ imitation degree and complexity of the stock market. 2008 Elsevier Ltd. All rights reserved.