The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model

Authors

DOI:

https://doi.org/10.19053/01203053.v36.n64.2017.5421

Keywords:

behavioral finance, underlying principles, computational techniques, simulation modeling.

Abstract

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.

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Author Biographies

Leonardo Hernán Talero Sarmiento, Universidad Industrial de Santander

Ingeniero Industrial. Estudiante de Maestría en Ingeniería Industrial. Escuela de Estudios Industriales y Empresariales. Universidad Industrial de Santander

Juan Benjamín Duarte Duarte, Universidad Industrial de Santander

Ingeniero Industrial. Doctor en Finanzas de Empresa. Profesor Titular. Escuela de Estudios Industriales y Empresariales. Universidad Industrial de Santander. Carrera 27, Calle 9 – Ciudad Universitaria

Laura Daniela Garcés Carreño, Universidad Industrial de Santander

Ingeniera Industrial. Estudiante de Maestría en Ingeniería Industrial. Profesor auxiliar. Escuela de Estudios Industriales y Empresariales. Universidad Industrial de Santander

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Published

2017-06-20

How to Cite

Talero Sarmiento, L. H., Duarte Duarte, J. B., & Garcés Carreño, L. D. (2017). The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model. Apuntes Del Cenes, 36(64), 199–223. https://doi.org/10.19053/01203053.v36.n64.2017.5421

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Economic policy

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