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Master's Dissertation
DOI
10.11606/D.100.2016.tde-10082016-100833
Document
Author
Full name
Wagner Vieira Ramos
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2016
Supervisor
Committee
Rodrigues Neto, Camilo (President)
Amaral, Amaury de Souza
Ferreira, Fernando Fagundes
Title in Portuguese
O efeito da diversidade de perfis de investidores na dinâmica de preços de um modelo virtual do mercado de ações da BM&FBOVESPA
Keywords in Portuguese
Aprendizado de máquinas
Fatos estilizados
Mercado financeiro
Modelo baseado em agentes
Abstract in Portuguese
O objetivo deste trabalho é estudar como a distribuição de investidores entre aleatórios, grafistas, fundamentalistas e híbridos afeta a dinâmica de um mercado de ações representada por fatos estilizados. Para realização desse trabalho, foi desenvolvido um simulador de mercado de ações baseado em agentes, no qual são incorporadas regras e características do mercado de ações da BM&FBOVESPA. Os agentes grafistas, fundamentalistas e híbridos aprendem com a experiência. O simulador foi executado um número de vezes para diversas distribuições de perfis e os resultados foram analisados com o objetivo de identificar relações entre tais distribuições e os fatos estilizados estudados
Title in English
The effect of investors profiles diversity in pricing dynamic of a virtual model of BM&FBOVESPA stock market
Keywords in English
Agent-based models
Machine learning
Stock market
Stylized facts
Abstract in English
The objective of this work is to study how the distribution of investors among random, chartists, fundamentalists and hybrids affects the dynamics of a stock market represented by stylized facts. To carry out this work, we developed a stock market simulator based on agents, which incorporates rules and characteristics of the BM&FBOVESPA stock market. Chartists, fundamentalists and hybrids agents can learn from experience. The simulation was performed a number of times for various profiles distributions and the results were analyzed in order to identify relationships between these distributions and the stylized facts studied
 
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Publishing Date
2016-09-20
 
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