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Autómata Evolutivo (AE) para el mercado accionario usando Martingalas y un Algoritmo Genético

Author

Listed:
  • Jaime Alberto Gómez Vilchis

    (Universidad Nacional Autónoma de México, México)

  • Federico Hernández Álvarez

    (Universidad Nacional Autónoma de México, México)

  • Luis Ignacio Román de la Sancha

    (Universidad Nacional Autónoma de México, México)

Abstract

El objetivo de este trabajo es desarrollar un Autómata Evolutivo (AE) que opera con base a un modelo de martingalas con el que se definen estrategias de inversión, las cuales utilizan información inmediata histórica, límites de ganancia, pérdida y tiempos de permanencia; brinda señales de compra, venta o mantener la posición del activo basadas en la combinación óptima de medias móviles seleccionadas mediante un algoritmo genético. Se probó para dos índices accionarios antes, durante y después de la crisis subprime, mostrando que, cuando los mercados estaban en fase alcista, la estrategia comprar-manter (BH) generó un rendimiento superior al AE; en contraste, para el periodo de crisis observado, el AE logró un rendimiento mayor; finalmente, en todo el periodo de prueba, el rendimiento del AE fue superior. El AE tiene la restricción que solo puede ser usado por una acción/índice por periodo, aunque esto puede ser solventado al ciclarlo por el número de instrumentos del portafolio. La autenticidad del trabajo radica en la combinación de modelos que se complementan para generar un sistema que ayuda en la toma de decisiones.

Suggested Citation

  • Jaime Alberto Gómez Vilchis & Federico Hernández Álvarez & Luis Ignacio Román de la Sancha, 2021. "Autómata Evolutivo (AE) para el mercado accionario usando Martingalas y un Algoritmo Genético," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-22, Octubre -.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:4:a:8
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    References listed on IDEAS

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    More about this item

    Keywords

    Autómata evolutivo; martingalas; tiempos de paro; medias móviles; algoritmo genético;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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