Jogo da Minoria: um modelo baseado em agentes aplicado ao mercado financeiro

Nos últimos anos houve uma contribuição significativa dos físicos para a construção de um tipo de modelo baseado em agentes que busca reproduzir, em simulação computacional, o comportamento do mercado financeiro. Esse modelo, chamado Jogo da Minoria consiste de um grupo de agentes que vão ao mercado comprar ou vender ativos. Eles tomam decisões com base em estratégias e, por meio delas, os agentes estabelecem um intrincado jogo de competição e coordenação pela distribuição da riqueza. O modelo tem demonstrado resultados bastante ricos e surpreendentes, tanto na dinâmica do sistema como na capacidade de reproduzir características estatísticas e comportamentais do mercado financeiro. Neste artigo, são apresentadas a estrutura e a dinâmica do Jogo da Minoria, bem como as contribuições recentes relacionadas ao Jogo da Minoria denominado de Grande Canônico, que é um modelo mais bem ajustado às características do mercado financeiro e reproduz as regularidades estatísticas do preço dos ativos chamadas fatos estilizados.

A crise econômica no Japão após os anos 90

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Finanças comportamentais e a formação de bolhas especulativas

Economic crises caused by speculative bubbles are recurring in economic history but there is still no consensus on how it begins, grows and overflows. Economists and regulators seem to be inefficient in predicting and preventing this process, which is so detrimental to economic functioning. This failure proved to be obvious with the American subprime crises, which had great impact on various sectors of the U.S. economy. In this paper, we perform a literature review of the traditional theory of finance, mainly represented by the Efficient Market Hypothesis. According to this theory, asset prices always reflect their intrinsic value, assumption that doesn’t match the price boom followed by a crash, observed in the crisis generated by speculative bubbles. Finally, we present a new way to analyze this phenomenon, in the light of the investors’ behavioral aspects and the flaws inherent to the financial markets

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Inflation and relative prices: the Brazilian experience, 1970/79.

Based on behaviour of output growth and industrial sector prices, it tries to define the several stages comprising the cyclic trends of the Brazilian economy. Analyzes the behaviour of inflation rates and of relative prices, and shows that there is a positive association between the measures of inflation rates and of their variables as well as between both these measures and dispersion of relative price changes. Demonstrates the assymetric behaviour of relative price changes and differentiated behaviour in relative prices of farm produce and industrial products. -from Authors

Glycerol: Production, consumption, prices, characterization and new trends in combustion

The demand for petroleum has been rising rapidly due to increasing industrialization and modernization. This economic development has led to a huge demand for energy, most of which is derived from fossil fuel. However, the limited reserve of fossil fuel has led many researchers to look for alternative fuels which can be produced from renewable feedstock. Increasing fossil fuel prices have prompted the global oil industry to look at biodiesel, which is from renewable energy sources. Biodiesel is produced from animal fats and vegetable oils and has become more attractive because it is more environmentally friendly and is obtained from renewable sources. Glycerol is the main by-product of biodiesel production; about 10% of the weight of biodiesel is generated in glycerol. The large amount of glycerol generated may become an environmental problem, since it cannot be disposed of in the environment. In this paper, an attempt has been made to review the different approaches and techniques used to produce glycerol (hydrolysis, transesterification, refining crude glycerol). The world biodiesel/glycerol production and consumption market, the current world glycerin and glycerol prices as well as the news trends for the use of glycerol mainly in Brazil market are analyzed. The technological production and physicochemical properties of glycerol are described, as is the characterization of crude glycerol obtained from different seed oil feedstock. Finally, a simple way to use glycerol in large amounts is combustion, which is an advantageous method as it does not require any purification. However, the combustion process of crude glycerol is not easy and there are technological difficulties. The news and mainly research about the combustion of glycerol was also addressed in this review. © 2013 Elsevier Ltd.