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

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Autores

Leonardo Hernán Talero Sarmiento http://orcid.org/0000-0002-4129-9163
Juan Benjamín Duarte Duarte http://orcid.org/0000-0003-2232-325X
Laura Daniela Garcés Carreño http://orcid.org/0000-0002-3630-7683

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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