Mercado de capitais artificial : uma simulação baseada em agentes
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Tipo
Dissertação
Data de publicação
2021-08-09
Periódico
Citações (Scopus)
Autores
Castro, Conceição Jacqueline Xavier Barbosa de
Orientador
Hadad Junior, Eli
Título da Revista
ISSN da Revista
Título de Volume
Membros da banca
Basso, Leonardo Fernando Cruz
Kimura, Herbert
Kimura, Herbert
Programa
Administração de Empresas
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.
Descrição
Palavras-chave
modelagem baseada em agentes , mercado de ações artificial , netlogo
Assuntos Scopus
Citação
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.