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Master's Dissertation
DOI
10.11606/D.100.2013.tde-04122013-114154
Document
Author
Full name
Michel Alexandre da Silva
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2013
Supervisor
Committee
Rodrigues Neto, Camilo (President)
Araujo, Luiz Jurandir Simões de
Ferreira, Fernando Fagundes
Title in Portuguese
Livro de ofertas e dinâmica de preços: evidências a partir de dados da BOVESPA
Keywords in Portuguese
Econofísica
Livro de ofertas
Modelo baseado em agentes
Abstract in Portuguese
Este trabalho possui um duplo objetivo: i) estudar os fatos estilizados do livro de ofertas dos papéis negociados na Bolsa de Valores de São Paulo (BOVESPA), assim como dos retornos engendrados pela dinâmica do livro de ofertas e ii) desenvolver um modelo de livro de ofertas baseado em agentes com o propósito de reproduzir tais fatos estilizados. Trabalhou-se com dados de junho/2006 a janeiro/2009 de uma amostra formada pelos vinte papéis mais negociados da BOVESPA. Os resultados empíricos corroboraram alguns fatos estilizados observados no estudo de papéis de outros países, mas refutaram outros. O modelo baseado em agentes conseguiu emular satisfatoriamente os fatos estilizados relacionados aos retornos, mas em se tratando da reprodução dos fatos estilizados do livro de ofertas o modelo foi menos eficaz.
Title in English
Order book and price dynamics: evidence from São Paulo Stock Exchange data
Keywords in English
Agent-based models
Econophysics
Order book
Abstract in English
This study has two aims: i) analyze the stylized facts of the order book of stocks traded in the São Paulo Stock Exchange (BOVESPA), as well as of the returns engendered by the order book dynamics and ii) develop an order book agent-based model able to reproduce such stylized facts. It was used data from June 2006 to January 2009 regarding a sample composed by the twenty most traded stocks in BOVESPA. The empirical results corroborated some stylized facts observed in stocks of other countries, but refuted others. The agent-based model successfully emulated the stylized facts concerning the returns; however, the model was less efficient in reproducing the stylized facts of the order book.
 
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Publishing Date
2015-04-02
 
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