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

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

doi:10.1016/j.cya.2017.06.014

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

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

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

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

10 Scopus citations

Abstract

The main objective of this article is to develop a Cellular Automaton Model in which more than one type of stockbroker interact, and where the use and exchange of information between investors describe the complexity measured through the estimation of the Hurst exponent. This exponent represents an efficient or random market when it has a value equal to 0.5. Thanks to the various proposals, it can be determined in this investigation that a rational component must exist in the simulator in order to generate an efficient behavior.

Translated title of the contribution	Evaluation of the effect of investor psychology on an artificial stock market through its degree of efficiency
Original language	English
Pages (from-to)	1361-1376
Number of pages	16
Journal	Contaduria y Administracion
Volume	62
Issue number	4
DOIs	https://doi.org/10.1016/j.cya.2017.06.014
State	Published - Oct 2017
Externally published	Yes

Keywords

Cellular automaton
Complexity
Hurst exponent
Investor psychology

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10.1016/j.cya.2017.06.014

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

abstract = "The main objective of this article is to develop a Cellular Automaton Model in which more than one type of stockbroker interact, and where the use and exchange of information between investors describe the complexity measured through the estimation of the Hurst exponent. This exponent represents an efficient or random market when it has a value equal to 0.5. Thanks to the various proposals, it can be determined in this investigation that a rational component must exist in the simulator in order to generate an efficient behavior.",

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

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

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AU - Sierra Juárez, Katherine Julieth

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AB - The main objective of this article is to develop a Cellular Automaton Model in which more than one type of stockbroker interact, and where the use and exchange of information between investors describe the complexity measured through the estimation of the Hurst exponent. This exponent represents an efficient or random market when it has a value equal to 0.5. Thanks to the various proposals, it can be determined in this investigation that a rational component must exist in the simulator in order to generate an efficient behavior.

KW - Cellular automaton

KW - Complexity

KW - Hurst exponent

KW - Investor psychology

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

Abstract

Keywords

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