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

• Autores: Barrantes Limahuaya, Jesús, Pino Romero, Neisser, Wainer, Gabriel
• Formato: artículo
• Fecha de Publicación: 2018
• Institución: Universidad Nacional Mayor de San Marcos
• Repositorio: Revistas - Universidad Nacional Mayor de San Marcos
• Lenguaje: español
• OAI Identifier: oai:ojs.csi.unmsm:article/15102
• Enlace del recurso: https://revistasinvestigacion.unmsm.edu.pe/index.php/econo/article/view/15102
• Nivel de acceso: acceso abierto
• Materia: Activo financiero; riesgo; interdependencia; contagio financiero; epidemiologia matemática; simulación computacional; autómatas celulares; Financial assets; risk; interdependence; financial contagion; mathematical epidemiology; computer simulation; cellular automata

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.