Dinâmica de precificação de ativos financeiros e contágio comportamental

O presente estudo buscou contribuir à literatura por meio da proposição de um modelo de mercado financeiro artificial ajustado para série de dados diários do IBOVESPA, sob a presença de um formador de mercado e negociantes interativos com racionalidade limitada. Dentre as principais contribuições me...

Nível de Acesso:openAccess
Publication Date:2016
Main Author: Santos, John Leno Castro dos lattes
Orientador/a: Vieira, Wilson da Cruz
Format: Tese
Language:por
Published: Universidade Federal de Viçosa
Áreas de Conhecimento:
Online Access:http://www.locus.ufv.br/handle/123456789/9196
Citação:SANTOS, John Leno Castro dos. Dinâmica de precificação de ativos financeiros e contágio comportamental. 2016. 186 f. Tese (Doutorado em Economia Aplicada) - Universidade Federal de Viçosa, Viçosa. 2016.
Resumo inglês:The aim of this study was to propose a artificial stock market calibrated to daily IBOVESPA time series, under the assumption of a market populated by interactive traders with bounded rationality. The methodological contributions were:(i) the market maker as an agent of liquidity, who sets prices; (ii) market clearing made by system dynamics ; (iii) communication between agentes through orders; (iv) orders' registration on book orders; (v) setting the trading enviroment as an agent, which provides market indicators; and (vi) the calibration and validation of the model to the daily IBOVESPA series. Therefore, it was possible to reproduce statistical properties of Ibovespa returns, such as: fat tails, intermittency, aggregative gaussianity, absolute returns and squared returns autocorrelations and conditional fat tails. It was also noted that some traders stop trading during periods of lower volatility and intensify it during higher volatility. The expectations schemes identified that fundamentalist assumptions contribute to system stability. However, the technical assumptions triggered price fluctuations and the subjective assumptions introduces instability. Finally, the diffusion of negative rumors started an expiral of price falling. Although, later we see a recovery its previous path, but this recovery, interrupted when the threshold of contamination, and prices tend to stabilize at levels below the previous level .