| Revista: | Brazilian journal of physics |
| Base de datos: | PERIÓDICA |
| Número de sistema: | 000397219 |
| ISSN: | 0103-9733 |
| Autores: | Atman, A.P.F1 Goncalves, Bruna Amin2 |
| Instituciones: | 1Centro Federal de Educacao Tecnologica de Minas Gerais, Departamento de Fisica, Belo Horizonte, Minas Gerais. Brasil 2Centro Federal de Educacao Tecnologica de Minas Gerais, Mestrado em Modelagem Matematica e Computacional, Belo Horizonte, Minas Gerais. Brasil |
| Año: | 2012 |
| Periodo: | Abr |
| Volumen: | 42 |
| Número: | 1-2 |
| Paginación: | 137-145 |
| País: | Brasil |
| Idioma: | Inglés |
| Tipo de documento: | Artículo |
| Enfoque: | Analítico |
| Resumen en inglés | One of the pillars of the finance theory is the efficient-market hypothesis, which is used to analyze the stock market. However, in recent years, this hypothesis has been questioned by a number of studies showing evidence of unusual behaviors in the returns of financial assets (“anomalies”) caused by behavioral aspects of the economic agents. Therefore, it is time to initiate a debate about the efficient-market hypothesis and the “behavioral finances.” We here introduce a cellular automaton model to study the stock market complexity, considering different behaviors of the economical agents. From the analysis of the stationary standard of investment observed in the simulations and the Hurst exponents obtained for the term series of stock index, we draw conclusions concerning the complexity of the model compared to real markets. We also investigate which conditions of the investors are able to influence the efficient market hypothesis statements |
| Disciplinas: | Física y astronomía, Matemáticas, Economía |
| Palabras clave: | Termodinámica y física estadística, Matemáticas aplicadas, Finanzas públicas, Física estadística, Econofísica, Autómatas celulares, Bolsa de valores, Exponente de Hurst |
| Keyword: | Physics and astronomy, Mathematics, Economics, Thermodynamics and statistical physics, Applied mathematics, Public finance, Statistical physics, Econophysics, Cellular automatas, Stock market, Hurst exponent |
| Texto completo: | Texto completo (Ver PDF) |
