Efeitos das taxas de juros de curto prazo e esperada sobre os valores intrínsecos da carteira teórica do Ibovespa: análise a partir de um modelo multiagente de finanças computacionais

Abstract

The objective of this dissertation is to present the structure and results of a computational finance multiagent model conceived for estimed weekly time-series of intrinsic values and gap values of Ibovespa`s theoretical portfolio. The gap value is a new index of value investing proposed by Passos (2012). The results of the model, in one hand, could be helpful to detect and quantify stock market bubbles and bear market situations. In the other hand, the model permits the use of “sensitivity analysis” that measure the effects of changes in interest rates expected and short-term of the intrinsic Ibovespa weekly, as a whole, and the values of each of the intrinsic 68 actions that comprise this index. It is concluded that the model of computational finance is efficient, so that it points correlations between weekly series of intrinsic values and gaps as well as the effects of interest rates and expected shortterm.