Cellular Automata based Artificial

Rational investor hypothesis, efficient markets hypothesis(EMH), and random walk of yield rate are three basic concepts of modern capital market theory. However, it could not be proved that real capital markets are full with rational investors. The theory, which regards the price movement of capital market as random walks, and regards the yield time series as a normal distribution, is not supported by the real statistics data usually. A capital market, in essence, could be regarded as a complex system, which consists of masses of investors. Investors make investment decision basing on the public or private information inside or outside the market. The movement of price and volume is the emergency of investors' group behavior. With the sustained growth of computational capabilities and the appearance of complexity science, artificial life, multi-agent system (MAS), and cellular automata (CA) are provided for the modeling of complex system. Researchers got powerful tools to build discrete dynamics model for the capital market for the first time. The Santa Fe artificial stock market(SF-ASM), which is presented by Santa Fe institution in 1970s, is the original version of the artificial financial market(AFM). Modeling for the microstructure of the capital market, made the verification and falsification of economics theories possible. On the part of macroscopic statistical data of the market, a series non-linear dynamic analysis method, such as fractal statistics, had been applied to analysis of financial time series. New research methods, which are used both in microscopic and macroscopic aspects of capital market, help us build brand new dynamic models for capital markets. The appearance of SF-ASM has influenced this area deeply. Most successors are the variety or improvement of SF-ASM. SF-ASM is a kind of MAS, which focuses on simulating heterogeneous investors' investment behaviours. In my opinion, the investment process of an investor can be divided into 2 steps: forecasting and decision. The forecasting step is how an investor considers public or private information inside or outside of the market. And the decision step is how an investor reacts to the prediction. Rational investor hypothesis and various investment decision processes in SF-ASM are just different ways to deal with information. Basing on neoclassicism economics, EMH announce that the price in the market reflects all information, or at least all public information, and that rational investors react to these information in the same way. Multi-Agent based SF-ASM supports heterogeneous investors in reacting to information in various ways, but provides public price as the only information. The fact that information relating to the market is homogeneous and public to each investor can be compared to the gas filling the whole