The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
- Leonardo Hernán Talero Sarmiento
, - Juan Benjamín Duarte Duarte,
- Laura Daniela Garcés Carreño
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.
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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