中文摘要：

从受到广泛关注的简单技术规则视角，运用新兴的计算实验金融方法研究股票市场收益的时间序列可预测性，证明投资者非理性心理和行为是造成时间序列收益可预测性的原因。基于Swarm仿真平台和Objective C语言构建仿真模型TA-ASM，并进行多组不同参数下的计算实验，通过对模拟数据的统计分析发现，简单技术规则能获得超额收益，表明其在一定程度上具有时间序列收益可预测，该结果意味着收益时间序列存在可被简单技术规则侦测的部分。为确定潜在的影响因素的作用，研究进一步定性定量地对可能的各个内外生因素进行分析，最后得出投资者的非理性心理和行为作为一种系统风险被市场收益吸收从而导致时间序列收益可预测性的结论，该结论支持了行为金融理论关于个体的非理性存在于市场收益过程的假说。

英文摘要：

Tbe paper uses brand-new computational experimental method to research stock market time series returns predictability from favored simple technical rules perspective and proves investor irrational psychology and behavior is reason on this phenomenon. After building simulation model with Objective C language under Swarm platform and doing many experiments with different initial parameters, data analysis shows that these technical rules can gain excess returns at a certain extent, means that time series returns contain some parts being detected by simple technical rules. In order to identify the possible effects of all underlying factors, qualitative and quantitative analyses are given to analyze those endogenous and exogenous factors. Finally result proves that investor irrational psychology and behavior having been absorbed by market returns as a sort of systematic risk leads to time series predictability. This conclusion supports behavioral finance hypothesis on individuals irrationality exists in the returns process.