Analyzing the Chaotic Behavior of an ACO Based Arti.cial Stock Market
An evolution model based on the ant colony optimization algorithm for investment behavior in the stock market is formulated. The largest Lyapunov exponents of the stock price time series created from the model are calculated. The simulation results show that this model can not only create stock price trends rather similar to the real stock market, but also show the chaotic behavior like the real stock market. We observed that the more speculators among the investors the bigger the largest Lyapunov exponent and the stronger the chaotic behavior in stock markets.
TANG Maoning SUN Yongzheng LI Wang LIU Maoxing
Department of Mathematics, Huzhou University, Huzhou 313000, P.R.China School of Sciences, China University of Mining and Technology, Xuzhou 221008, P.R.China Department of Mathematics, North University of China, Taiyuan 030051, P.R.China
国际会议
The 30th Chinese Control Conference(第三十届中国控制会议)
烟台
英文
1-5
2011-07-01（万方平台首次上网日期，不代表论文的发表时间）