Computational Model Applied to the Behavior of Financial Agents Using Cellular Automata (Cell-DEVS)

Authors

  • Jesús Barrantes Limahuaya Tail Risk Consulting, Área de Finanzas Cuantitativas.
  • Neisser Pino Romero Universidad Nacional Mayor de San Marcos, Facultad de Ciencias Económicas. Lima, Perú
  • Gabriel Wainer Carleton University. Ottawa, Canadá

DOI:

https://doi.org/10.15381/pc.v23i1.15102

Keywords:

Financial assets, risk, interdependence, financial contagion, mathematical epidemiology, computer simulation, cellular automata

Abstract

In the present paper, the effect of interdependence and contagion will be performed in the purchase and sale decisions of investors in a Black-Schole financial market, where there are two financial assets: stocks (risky assets) and bonds (risk-free asset); and two investor states: lover and risk aversion; under different probabilities of contagion. This economic-financial phenomenon could be modeled by a system of stochastic equations; however, not all stochastic equations have a closed solution, so it is decided to perform computational simulations to analyze their numerical behavior. In this sense, a computational simulation will be performed using cellular automata.

Author Biographies

  • Jesús Barrantes Limahuaya, Tail Risk Consulting, Área de Finanzas Cuantitativas.

    Analista del área de Finanzas Cuantitativas en TailRiskConsulting. Responsable de la proyección de variables financieras para la plataforma Bloomberg.

  • Neisser Pino Romero, Universidad Nacional Mayor de San Marcos, Facultad de Ciencias Económicas. Lima, Perú

    Docente de la Universidad Nacional Mayor de San Marcos, Facultad de Ciencias Económicas. Lima,
    Perú. Docente de la Facultad de Ciencias y Filosofía de la Universidad Peruana Cayetano Heredia.
    Docente de la Facultad de Ciencias de la Universidad Tecnológica del Perú.

  • Gabriel Wainer, Carleton University. Ottawa, Canadá

    Profesor y Director Asociado de Estudios de Postgrado. Departamento de Ingeniería de Sistemas y
    Computación, Carleton University (Canada’s Capital University)

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Published

2018-09-07

Issue

Vol. 23 No. 1 (2018)

Section

Artículos

License

Copyright (c) 2018 Jesús Barrantes Limahuaya, Neisser Pino Romero, Gabriel Wainer

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How to Cite

Computational Model Applied to the Behavior of Financial Agents Using Cellular Automata (Cell-DEVS). (2018). Pensamiento Crítico, 23(1), 121-152. https://doi.org/10.15381/pc.v23i1.15102