The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
The aim of this research is to evaluate the complexity level of Latin-American stock market using a cellular automaton model. For this purpose six indexes are studied: COLCAP, IPSA, MERVAL, MEXBOL, SPBLPGPT and IBOV respectively, during the period 2004 and 2016. The series are analyzed from their st...
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Universidad Pedagógica y Tecnológica de Colombia
2017
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| Online Access: | https://revistas.uptc.edu.co/index.php/cenes/article/view/5421 |
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| author | Talero Sarmiento, Leonardo Hernán Duarte Duarte, Juan Benjamín Garcés Carreño, Laura Daniela |
| author_facet | Talero Sarmiento, Leonardo Hernán Duarte Duarte, Juan Benjamín Garcés Carreño, Laura Daniela |
| author_sort | Talero Sarmiento, Leonardo Hernán |
| collection | OJS |
| description | The aim of this research is to evaluate the complexity level of Latin-American stock market using a cellular automaton model. For this purpose six indexes are studied: COLCAP, IPSA, MERVAL, MEXBOL, SPBLPGPT and IBOV respectively, during the period 2004 and 2016. The series are analyzed from their statistical behavior, adjustment of returns and estimation of its complexity. The last one is contrasted with the complexity level obtained simulating an artificial stock market model. Concluding that although Latin-American stock markets present differences they have similar tendencies and their complexity level cannot be predicted by a purely behavioral cellular automaton model. |
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-5421 |
| institution | Revista Apuntes del Cenes |
| language | spa |
| publishDate | 2017 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-54212022-06-17T21:34:29Z The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model La complejidad del mercado bursátil latinoamericano a partir de un modelo autómata celular conductual Talero Sarmiento, Leonardo Hernán Duarte Duarte, Juan Benjamín Garcés Carreño, Laura Daniela behavioral finance underlying principles computational techniques simulation modeling. finanzas conductuales principios subyacentes técnicas computacionales modelado y simulación. The aim of this research is to evaluate the complexity level of Latin-American stock market using a cellular automaton model. For this purpose six indexes are studied: COLCAP, IPSA, MERVAL, MEXBOL, SPBLPGPT and IBOV respectively, during the period 2004 and 2016. The series are analyzed from their statistical behavior, adjustment of returns and estimation of its complexity. The last one is contrasted with the complexity level obtained simulating an artificial stock market model. Concluding that although Latin-American stock markets present differences they have similar tendencies and their complexity level cannot be predicted by a purely behavioral cellular automaton model. La presente investigación busca evaluar el nivel de complejidad del mercado latinoamericano, mediante la construcción de un modelo autómata celular. Para ello se estudian seis índices bursátiles: COLCAP, IPSA, MERVAL, MEXBOL, SPBLPGPT e IBOV, en el periodo 2004-2016. Estas series son analizadas a partir de su comportamiento estadístico, el ajuste de retornos y la estimación de su grado de complejidad. Este último es contrastado posteriormente con el nivel de complejidad obtenido mediante la simulación de un mercado bursátil artificial, y se concluye que los mercados latinoamericanos, a pesar de presentar diferencias, suelen tener tendencias similares, ya que su grado de complejidad no puede ser pronosticado por un modelo autómata celular conductual basado netamente en la imitación. Universidad Pedagógica y Tecnológica de Colombia 2017-06-20 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer reviewed Article text/html application/pdf https://revistas.uptc.edu.co/index.php/cenes/article/view/5421 10.19053/01203053.v36.n64.2017.5421 Apuntes del Cenes; Vol. 36 No. 64 (2017); 199-223 Apuntes del Cenes; Vol. 36 Núm. 64 (2017); 199-223 2256-5779 0120-3053 spa https://revistas.uptc.edu.co/index.php/cenes/article/view/5421/5413 https://revistas.uptc.edu.co/index.php/cenes/article/view/5421/5669 Copyright (c) 2017 Leonardo Hernán Talero Sarmiento, Juan Benjamín Duarte Duarte, Laura Daniela Garcés Carreño http://creativecommons.org/licenses/by-nc-sa/4.0 |
| spellingShingle | behavioral finance underlying principles computational techniques simulation modeling. finanzas conductuales principios subyacentes técnicas computacionales modelado y simulación. Talero Sarmiento, Leonardo Hernán Duarte Duarte, Juan Benjamín Garcés Carreño, Laura Daniela The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model |
| title | The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model |
| title_alt | La complejidad del mercado bursátil latinoamericano a partir de un modelo autómata celular conductual |
| title_full | The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model |
| title_fullStr | The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model |
| title_full_unstemmed | The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model |
| title_short | The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model |
| title_sort | complexity of latin american stock market using a behavioral cellular automaton model |
| topic | behavioral finance underlying principles computational techniques simulation modeling. finanzas conductuales principios subyacentes técnicas computacionales modelado y simulación. |
| topic_facet | behavioral finance underlying principles computational techniques simulation modeling. finanzas conductuales principios subyacentes técnicas computacionales modelado y simulación. |
| url | https://revistas.uptc.edu.co/index.php/cenes/article/view/5421 |
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