Fractal Analysis of Artificial Financial Market with Crowd Behavior

The structure of market information transmission dynamics can affect homogeneity of the investors. It can influence market prices further as investor structure is one of the key factors for capital market which determines the volatility of market prices. In this paper, an cellular automata based Artificial Financial Market model, including information transmission network among investors, was built to provide an environment for the study of the relationship between crowd behavior and volatility of capital market. Through R/S analysis, it was found that the Hurst exponent of the price time series changes with the switch of different transmission dynamic structures. The analysis also reveals that herd behavior leads to deviation of price away from classic theories, and the transmission dynamic structure decides the durative or anti-durative of the price movement.