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Vol. 36 No. 64 (2017)

Economic policy

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

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

Published 2017-06-20

  • Leonardo Hernán Talero Sarmiento
    • ,
  • Juan Benjamín Duarte Duarte
    • ,
  • Laura Daniela Garcés Carreño

Leonardo Hernán Talero Sarmiento
Universidad Industrial de Santander

Juan Benjamín Duarte Duarte
Universidad Industrial de Santander

Laura Daniela Garcés Carreño
Universidad Industrial de Santander

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.

Keywords

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

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Author Biography

Leonardo Hernán Talero Sarmiento

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

Juan Benjamín Duarte Duarte

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

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

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