Evaluation of the effect of investor psychology on an artificialstock market through its degree of efficiency

Juan Benjamin Duarte Duarte; Leonardo Hernán Talero Sarmiento; Katherine Julieth Sierra Suárez

doi:10.1016/j.cya.2017.06.007

Evaluation of the effect of investor psychology on an artificialstock market through its degree of efficiency

Translated title of the contribution: Evaluation of the effect of investor psychology on an artificialstock market through its degree of efficiency

Juan Benjamin Duarte Duarte, Leonardo Hernán Talero Sarmiento, Katherine Julieth Sierra Suárez

Research output: Articles / Notes › Scientific Article › peer-review

1 Scopus citations

Abstract

The main objective in this paper is developing a cellular automaton model where interact more than one kind of broker, where the use and exchange of information between the investors explain the complexity through the Hurst coefficient estimation, this, represents an efficient or random market when the value is equal to 0.5. Due to the variants proposed in this research it can be determined that should exist a rational component in the simulator in order to generate an efficient behavior.

Translated title of the contribution	Evaluation of the effect of investor psychology on an artificialstock market through its degree of efficiency
Original language	English
Pages (from-to)	1345-1360
Number of pages	16
Journal	Contaduria y Administracion
Volume	62
Issue number	4
DOIs	https://doi.org/10.1016/j.cya.2017.06.007
State	Published - Oct 2017
Externally published	Yes

Keywords

Cellular automata
Complexity
Hurst exponent
Investor psychology

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10.1016/j.cya.2017.06.007

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title = "Evaluation of the effect of investor psychology on an artificialstock market through its degree of efficiency",

abstract = "The main objective in this paper is developing a cellular automaton model where interact more than one kind of broker, where the use and exchange of information between the investors explain the complexity through the Hurst coefficient estimation, this, represents an efficient or random market when the value is equal to 0.5. Due to the variants proposed in this research it can be determined that should exist a rational component in the simulator in order to generate an efficient behavior.",

keywords = "Cellular automata, Complexity, Hurst exponent, Investor psychology",

author = "{Duarte Duarte}, {Juan Benjamin} and {Talero Sarmiento}, {Leonardo Hern{\'a}n} and {Sierra Su{\'a}rez}, {Katherine Julieth}",

note = "Publisher Copyright: {\textcopyright} 2017 Universidad Nacional Aut{\'o}noma de M{\'e}xico, Facultad de Contadur{\'i}a y Administraci{\'o}n",

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KW - Cellular automata

KW - Complexity

KW - Hurst exponent

KW - Investor psychology

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Evaluation of the effect of investor psychology on an artificialstock market through its degree of efficiency

Abstract

Keywords

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