Pruebas de comportamiento caótico en índices bursátiles americanos


Franco Parisi
Christian Espinosa
Antonio Parisi


Este artículo valida el comportamiento caótico en las Bolsas de Valores de Argentina, Brasil, Canadá, Chile, Estados Unidos, Perú y México utilizando los índices accionarios Merval, Bovespa, S&P TSX Composite, IPSA, IGPA, S&P 500, Dow Jones Industrials, Nasdaq, IGBVL e IPC, respectivamente. Los resultados de distintas técnicas y métodos como análisis gráfico, análisis de recurrencia, entropía de espacio temporal, coeficiente de Hurst, exponente de Lyapunov y dimensión de correlación, apoyan la hipótesis de que los mercados bursátiles americanos se comportan de forma caótica, en contra de la hipótesis de mercados eficientes y la hipótesis de aleatoriedad. Esta conclusión valida el uso de instrumentos predictivos de rendimientos accionarios en los mercados de renta variable americanos. Destacable es el resultado de la técnica coeficiente de Hurst, que en promedio fue de 0.75 para los índices en estudio, lo que estaría justificando la utilización de modelos tipo Arfima, entre otros, para la predicción de dichas series.
Palabras clave:
teoría de caos, análisis de recurrencia, entropía de espacio temporal, coeficiente de Hurst, exponente de Lyapunov, dimensión de correlación, prueba BDS


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