Mercado de capitais artificial : uma simulação baseada em agentes

Detalhes bibliográficos
Ano de defesa: 2021
Autor(a) principal: Castro, Conceição Jacqueline Xavier Barbosa de lattes
Orientador(a): Hadad Junior, Eli lattes
Banca de defesa: Basso, Leonardo Fernando Cruz lattes, Kimura, Herbert lattes
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Presbiteriana Mackenzie
Programa de Pós-Graduação: Administração de Empresas
Departamento: Centro de Ciências Sociais e Aplicadas (CCSA)
País: Brasil
Palavras-chave em Português:
modelagem baseada em agentes
mercado de ações artificial
netlogo
Área do conhecimento CNPq:
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
Link de acesso: https://dspace.mackenzie.br/handle/10899/28378
Resumo: This dissertation aimed to compare and evaluate the predictive power of an artificial stock market model developed by agent-based modeling techniques (ABM). An empirical study was carried out to forecast the values of certain shares of B3, the Brazilian stock exchange, through the model of Collective Behavior in the Stock Market, created by Silva (2014). The values generated were compared with the reais collected between the dates: 06/05/2019 and the end date on 08/17/2020. The environment used was the Netlogo. The sample of data for comparison included 299 observations, with a simulation of 5400 models for each stock. The analysis comprised the comparison between the forecast and the actual closing price within established periods. The selection of models was performed using the Directional Accuracy test of Pesaran-Timmerman (2006). The results of the models were compared with a model based on statistics, using an ARIMA algorithm, by Box and Jenkins (1976). The models showed satisfactory initial results for the predictive power.
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spelling 2021-12-13T18:18:47Z2021-12-13T18:18:47Z2021-08-09CASTRO, Conceição Jacqueline Xavier Barbosa de. Mercado de capitais artificial : uma simulação baseada em agentes. 2021. 42 f. Dissertação (Mestrado em Administração de Empresas) - Universidade Presbiteriana Mackenzie, São Paulo. 2021.https://dspace.mackenzie.br/handle/10899/28378This dissertation aimed to compare and evaluate the predictive power of an artificial stock market model developed by agent-based modeling techniques (ABM). An empirical study was carried out to forecast the values of certain shares of B3, the Brazilian stock exchange, through the model of Collective Behavior in the Stock Market, created by Silva (2014). The values generated were compared with the reais collected between the dates: 06/05/2019 and the end date on 08/17/2020. The environment used was the Netlogo. The sample of data for comparison included 299 observations, with a simulation of 5400 models for each stock. The analysis comprised the comparison between the forecast and the actual closing price within established periods. The selection of models was performed using the Directional Accuracy test of Pesaran-Timmerman (2006). The results of the models were compared with a model based on statistics, using an ARIMA algorithm, by Box and Jenkins (1976). The models showed satisfactory initial results for the predictive power.Esta dissertação teve como objetivo comparar e avaliar o poder de predição de um modelo de mercado de ações artificial desenvolvido por técnicas de modelagem baseada em agentes (Agent-based modelling - ABM). Foi realizado um estudo empírico de previsão dos valores de determinadas ações da B3, a bolsa de valores do Brasil, através do modelo Collective Behavior in the Stock Market, criado por Silva (2014).Os valores gerados foram comparados com os reais coletados entre as datas: 05/06/2019 e da data de fim em 17/08/2020. O ambiente utilizado foi o Netlogo. A amostra de dados para comparação contemplou 299 observações, com simulação de 5400 modelos para cada ação. A análise compreendeu na comparação entre a previsão e o preço de fechamento efetivo dentro de períodos estabelecidos. A seleção dos modelos foi realizada através do teste Direcional Accuracy de Pesaran-Timmerman (2006). Os resultados dos modelos foram comparados com um modelo baseado em estatística, utilizando de um algoritmo ARIMA, de Box e Jenkins (1976). Os modelos demonstraram resultados iniciais satisfatórios para o poder preditivo.application/pdfporUniversidade Presbiteriana MackenzieAdministração de EmpresasUPMBrasilCentro de Ciências Sociais e Aplicadas (CCSA)modelagem baseada em agentesmercado de ações artificialnetlogoCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESASMercado de capitais artificial : uma simulação baseada em agentesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisHadad Junior, Elihttp://lattes.cnpq.br/2030318390506756Basso, Leonardo Fernando Cruzhttp://lattes.cnpq.br/1866154361601651Kimura, Herberthttp://lattes.cnpq.br/2048706172366367http://lattes.cnpq.br/7415666746467452Castro, Conceição Jacqueline Xavier Barbosa deagent based modelingartificial stock marketnetlogoinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações do Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEORIGINALCONCEIÇÃO JACQUELINE XAVIER BARBOSA DE CASTRO1.pdfCONCEIÇÃO JACQUELINE XAVIER BARBOSA DE CASTROapplication/pdf959165https://dspace.mackenzie.br/bitstream/10899/28378/1/CONCEI%c3%87%c3%83O%20JACQUELINE%20XAVIER%20BARBOSA%20DE%20CASTRO1.pdf0f81cc0a278a001259d9edfb4bf1ad4fMD51LICENSElicense.txttext/plain2108https://dspace.mackenzie.br/bitstream/10899/28378/2/license.txt1ca4f25d161e955cf4b7a4aa65b8e96eMD52TEXTCONCEIÇÃO JACQUELINE XAVIER BARBOSA DE CASTRO1.pdf.txtCONCEIÇÃO JACQUELINE XAVIER BARBOSA DE CASTRO1.pdf.txtExtracted texttext/plain67731https://dspace.mackenzie.br/bitstream/10899/28378/3/CONCEI%c3%87%c3%83O%20JACQUELINE%20XAVIER%20BARBOSA%20DE%20CASTRO1.pdf.txtb706f6ae31cd6a6c63a7e1bf660bd74bMD53THUMBNAILCONCEIÇÃO JACQUELINE XAVIER BARBOSA DE CASTRO1.pdf.jpgCONCEIÇÃO JACQUELINE XAVIER BARBOSA DE CASTRO1.pdf.jpgGenerated Thumbnailimage/jpeg1248https://dspace.mackenzie.br/bitstream/10899/28378/4/CONCEI%c3%87%c3%83O%20JACQUELINE%20XAVIER%20BARBOSA%20DE%20CASTRO1.pdf.jpg1d539c4485f9a77e6b6ab80b57fae394MD5410899/283782021-12-14 03:03:37.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Biblioteca Digital de Teses e Dissertaçõeshttp://tede.mackenzie.br/jspui/PRI
dc.title.por.fl_str_mv Mercado de capitais artificial : uma simulação baseada em agentes
title Mercado de capitais artificial : uma simulação baseada em agentes
spellingShingle Mercado de capitais artificial : uma simulação baseada em agentes
Castro, Conceição Jacqueline Xavier Barbosa de
modelagem baseada em agentes
mercado de ações artificial
netlogo
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
title_short Mercado de capitais artificial : uma simulação baseada em agentes
title_full Mercado de capitais artificial : uma simulação baseada em agentes
title_fullStr Mercado de capitais artificial : uma simulação baseada em agentes
title_full_unstemmed Mercado de capitais artificial : uma simulação baseada em agentes
title_sort Mercado de capitais artificial : uma simulação baseada em agentes
author Castro, Conceição Jacqueline Xavier Barbosa de
author_facet Castro, Conceição Jacqueline Xavier Barbosa de
author_role author
dc.contributor.advisor1.fl_str_mv Hadad Junior, Eli
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/2030318390506756
dc.contributor.referee1.fl_str_mv Basso, Leonardo Fernando Cruz
dc.contributor.referee1Lattes.fl_str_mv http://lattes.cnpq.br/1866154361601651
dc.contributor.referee2.fl_str_mv Kimura, Herbert
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/2048706172366367
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/7415666746467452
dc.contributor.author.fl_str_mv Castro, Conceição Jacqueline Xavier Barbosa de
contributor_str_mv Hadad Junior, Eli
Basso, Leonardo Fernando Cruz
Kimura, Herbert
dc.subject.por.fl_str_mv modelagem baseada em agentes
mercado de ações artificial
netlogo
topic modelagem baseada em agentes
mercado de ações artificial
netlogo
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
description This dissertation aimed to compare and evaluate the predictive power of an artificial stock market model developed by agent-based modeling techniques (ABM). An empirical study was carried out to forecast the values of certain shares of B3, the Brazilian stock exchange, through the model of Collective Behavior in the Stock Market, created by Silva (2014). The values generated were compared with the reais collected between the dates: 06/05/2019 and the end date on 08/17/2020. The environment used was the Netlogo. The sample of data for comparison included 299 observations, with a simulation of 5400 models for each stock. The analysis comprised the comparison between the forecast and the actual closing price within established periods. The selection of models was performed using the Directional Accuracy test of Pesaran-Timmerman (2006). The results of the models were compared with a model based on statistics, using an ARIMA algorithm, by Box and Jenkins (1976). The models showed satisfactory initial results for the predictive power.
publishDate 2021
dc.date.accessioned.fl_str_mv 2021-12-13T18:18:47Z
dc.date.available.fl_str_mv 2021-12-13T18:18:47Z
dc.date.issued.fl_str_mv 2021-08-09
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv CASTRO, Conceição Jacqueline Xavier Barbosa de. Mercado de capitais artificial : uma simulação baseada em agentes. 2021. 42 f. Dissertação (Mestrado em Administração de Empresas) - Universidade Presbiteriana Mackenzie, São Paulo. 2021.
dc.identifier.uri.fl_str_mv https://dspace.mackenzie.br/handle/10899/28378
identifier_str_mv CASTRO, Conceição Jacqueline Xavier Barbosa de. Mercado de capitais artificial : uma simulação baseada em agentes. 2021. 42 f. Dissertação (Mestrado em Administração de Empresas) - Universidade Presbiteriana Mackenzie, São Paulo. 2021.
url https://dspace.mackenzie.br/handle/10899/28378
dc.language.iso.fl_str_mv por
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dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Presbiteriana Mackenzie
dc.publisher.program.fl_str_mv Administração de Empresas
dc.publisher.initials.fl_str_mv UPM
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Centro de Ciências Sociais e Aplicadas (CCSA)
publisher.none.fl_str_mv Universidade Presbiteriana Mackenzie
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações do Mackenzie
instname:Universidade Presbiteriana Mackenzie (MACKENZIE)
instacron:MACKENZIE
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instacron_str MACKENZIE
institution MACKENZIE
reponame_str Biblioteca Digital de Teses e Dissertações do Mackenzie
collection Biblioteca Digital de Teses e Dissertações do Mackenzie
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