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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Autores:
Tipo de recurso:
http://purl.org/coar/resource_type/c_7070
Fecha de publicación:
2017
Institución:
Universidad Pedagógica y Tecnológica de Colombia
Repositorio:
RiUPTC: Repositorio Institucional UPTC
Idioma:
spa
OAI Identifier:
oai:repositorio.uptc.edu.co:001/11960
Acceso en línea:
https://revistas.uptc.edu.co/index.php/cenes/article/view/5421
https://repositorio.uptc.edu.co/handle/001/11960
Palabra clave:
behavioral finance
underlying principles
computational techniques
simulation modeling.
finanzas conductuales
principios subyacentes
técnicas computacionales
modelado y simulación.
Rights
License
http://creativecommons.org/licenses/by-nc-sa/4.0
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oai_identifier_str oai:repositorio.uptc.edu.co:001/11960
network_acronym_str REPOUPTC2
network_name_str RiUPTC: Repositorio Institucional UPTC
repository_id_str
spelling 2017-06-202024-07-05T18:44:37Z2024-07-05T18:44:37Zhttps://revistas.uptc.edu.co/index.php/cenes/article/view/542110.19053/01203053.v36.n64.2017.5421https://repositorio.uptc.edu.co/handle/001/11960The 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.text/htmlapplication/pdfspaspaUniversidad Pedagógica y Tecnológica de Colombiahttps://revistas.uptc.edu.co/index.php/cenes/article/view/5421/5413https://revistas.uptc.edu.co/index.php/cenes/article/view/5421/5669Copyright (c) 2017 Leonardo Hernán Talero Sarmiento, Juan Benjamín Duarte Duarte, Laura Daniela Garcés Carreñohttp://creativecommons.org/licenses/by-nc-sa/4.0http://purl.org/coar/access_right/c_abf571http://purl.org/coar/access_right/c_abf2Apuntes del Cenes; Vol. 36 No. 64 (2017); 199-223Apuntes del Cenes; Vol. 36 Núm. 64 (2017); 199-2232256-57790120-3053behavioral financeunderlying principlescomputational techniquessimulation modeling.finanzas conductualesprincipios subyacentestécnicas computacionalesmodelado y simulación.The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton ModelLa complejidad del mercado bursátil latinoamericano a partir de un modelo autómata celular conductualinfo:eu-repo/semantics/articlePeer reviewed Articlehttp://purl.org/coar/resource_type/c_7070http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a654http://purl.org/coar/version/c_970fb48d4fbd8a85Talero Sarmiento, Leonardo HernánDuarte Duarte, Juan BenjamínGarcés Carreño, Laura Daniela001/11960oai:repositorio.uptc.edu.co:001/119602025-07-18 12:13:57.98metadata.onlyhttps://repositorio.uptc.edu.coRepositorio Institucional UPTCrepositorio.uptc@uptc.edu.co
dc.title.en-US.fl_str_mv The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
dc.title.es-ES.fl_str_mv La complejidad del mercado bursátil latinoamericano a partir de un modelo autómata celular conductual
title The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
spellingShingle The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
behavioral finance
underlying principles
computational techniques
simulation modeling.
finanzas conductuales
principios subyacentes
técnicas computacionales
modelado y simulación.
title_short The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
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_sort The Complexity of Latin-American Stock Market using a Behavioral Cellular Automaton Model
dc.subject.en-US.fl_str_mv behavioral finance
underlying principles
computational techniques
simulation modeling.
topic behavioral finance
underlying principles
computational techniques
simulation modeling.
finanzas conductuales
principios subyacentes
técnicas computacionales
modelado y simulación.
dc.subject.es-ES.fl_str_mv finanzas conductuales
principios subyacentes
técnicas computacionales
modelado y simulación.
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.
publishDate 2017
dc.date.accessioned.none.fl_str_mv 2024-07-05T18:44:37Z
dc.date.available.none.fl_str_mv 2024-07-05T18:44:37Z
dc.date.none.fl_str_mv 2017-06-20
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.en-US.fl_str_mv Peer reviewed Article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.spa.fl_str_mv http://purl.org/coar/resource_type/c_7070
dc.type.version.spa.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.coarversion.spa.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a654
format http://purl.org/coar/resource_type/c_7070
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.uptc.edu.co/index.php/cenes/article/view/5421
10.19053/01203053.v36.n64.2017.5421
dc.identifier.uri.none.fl_str_mv https://repositorio.uptc.edu.co/handle/001/11960
url https://revistas.uptc.edu.co/index.php/cenes/article/view/5421
https://repositorio.uptc.edu.co/handle/001/11960
identifier_str_mv 10.19053/01203053.v36.n64.2017.5421
dc.language.none.fl_str_mv spa
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistas.uptc.edu.co/index.php/cenes/article/view/5421/5413
https://revistas.uptc.edu.co/index.php/cenes/article/view/5421/5669
dc.rights.en-US.fl_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.coar.spa.fl_str_mv http://purl.org/coar/access_right/c_abf571
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0
http://purl.org/coar/access_right/c_abf571
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv text/html
application/pdf
dc.publisher.en-US.fl_str_mv Universidad Pedagógica y Tecnológica de Colombia
dc.source.en-US.fl_str_mv Apuntes del Cenes; Vol. 36 No. 64 (2017); 199-223
dc.source.es-ES.fl_str_mv Apuntes del Cenes; Vol. 36 Núm. 64 (2017); 199-223
dc.source.none.fl_str_mv 2256-5779
0120-3053
institution Universidad Pedagógica y Tecnológica de Colombia
repository.name.fl_str_mv Repositorio Institucional UPTC
repository.mail.fl_str_mv repositorio.uptc@uptc.edu.co
_version_ 1839633904038838272

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