Initial value sensitivity of the Chinese stock market and its relationship with the investment psychology

Shangjun Ying, Xiaojun Li and Xiuqin Zhong ()
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Shangjun Ying: Finance School, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China
Xiaojun Li: Finance School, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China
Xiuqin Zhong: School of Computer Science & Engineering, University of Electronic, Science and Technology of China, Chengdu 611731, P. R. China

International Journal of Modern Physics C (IJMPC), 2015, vol. 26, issue 11, 1-16

Abstract: This paper discusses the initial value sensitivity (IVS) of Chinese stock market, including the single stock market and the Chinese A-share stock market, with respect to real markets and evolving models. The aim is to explore the relationship between IVS of the Chinese A-share stock market and the investment psychology based on the evolving model of genetic cellular automaton (GCA). We find: (1) The Chinese stock market is sensitively dependent on the initial conditions. (2) The GCA model provides a considerable reliability in complexity simulation (e.g. the IVS). (3) The IVS of stock market is positively correlated with the imitation probability when the intensity of the imitation psychology reaches a certain threshold. The paper suggests that the government should seek to keep the imitation psychology under a certain level, otherwise it may induce severe fluctuation to the market.

Keywords: Initial value sensitivity; investment psychology; imitation probability; GCA model; Stock market (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1142/S0129183115501284

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