Evaluation of the effect of investor psychology on an artificial stock market through its degree of efficiency

Juan Benjamin Duarte Duarte (), Leonardo Hernán Talero Sarmiento and Katherine Julieth Sierra Suárez
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Juan Benjamin Duarte Duarte: Universidad Industrial de Santander, Colombia
Leonardo Hernán Talero Sarmiento: Universidad Industrial de Santander, Colombia
Katherine Julieth Sierra Suárez: Universidad Industrial de Santander, Colombia

Contaduría y Administración, 2017, vol. 62, issue 4, 1361-1376

Abstract: The main objective of this article is to develop a Cellular Automaton Model in which more than one type of stockbroker interact, and where the use and exchange of information between investors describe the complexity measured through the estimation of the Hurst exponent. This exponent represents an efficient or random market when it has a value equal to 0.5. Thanks to the various proposals, it can be determined in this investigation that a rational component must exist in the simulator in order to generate an efficient behavior.

Keywords: Cellular automaton; Complexity; Hurst exponent; Investor psychology (search for similar items in EconPapers)
JEL-codes: G14 G17 G19 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:62:y:2017:i:4:p:1361-1376

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