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Evaluación del efecto de la psicología del inversionista en un mercado bursátil artificial mediante su grado de eficiencia

Author

Listed:
  • Juan Benjamin Duarte Duarte

    (Universidad Industrial de Santander, Colombia)

  • Leonardo Hernán Talero Sarmiento

    (Universidad Industrial de Santander, Colombia)

  • Katherine Julieth Sierra Suárez

    (Universidad Industrial de Santander, Colombia)

Abstract

El objetivo principal de este artículo es desarrollar un modelo autómata celular en el que interactúen más de un tipo de agentes bursátiles, donde el uso y el intercambio de información entre los inversionistas describen la complejidad medida a través de la estimación del coeficiente de Hurst, que representa un mercado eficiente o aleatorio al tener un valor igual a 0.5. Gracias a las variantes propuestas, en esta investigación se puede determinar que debe existir un componente racional en el simulador con el fin de generar un comportamiento eficiente.

Suggested Citation

  • Juan Benjamin Duarte Duarte & Leonardo Hernán Talero Sarmiento & Katherine Julieth Sierra Suárez, 2017. "Evaluación del efecto de la psicología del inversionista en un mercado bursátil artificial mediante su grado de eficiencia," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1345-1360, Octubre-D.
    • Handle: RePEc:nax:conyad:v:62:y:2017:i:4:p:1345-1360
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    References listed on IDEAS

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    More about this item

    Keywords

    Autómata celular; Complejidad; Exponente de Hurst; Psicología del inversionista;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G19 - Financial Economics - - General Financial Markets - - - Other

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