Brain & Economics

Understanding decision making

World Market

The modern world financial market is subject to synchronizing forces that allow the different stock markets to exert strong influences upon each other. Prices t Market X followed those in Market X … is a common media headline. .

Principal Components Analysis is the statistical tool to study this kind of market synchronization. This analysis groups those variables that covary together into distinct components or factors. Each component, therefore, is a associated with a pattern of covariance between the set of studied variables.The load of each variable on each of these components measures the strength of such covariance for each covariance pattern.

This analysis shows that the evolution of the indices of 20 different Stock Markets from January, 2, 2007 to August, 13, 2008, may be grouped in two different patterns, called here components E and D. The Brazilian Stock Market (BOV in fig. 1) has the maximal load for the component E, wheras the Milan Stock Market (MIL in fig. 1). NASDAQ (NAS) and the Singapore Bourse (SING) have similar loadings in both components. As a matter of fact the countries having the highest loadings in component D are the so called developed countries, whereas those countries high loanding in E are the so called emergent countries.

Bourse Sychronization
Bovespa Trading

More information:



Power Averaged Index

Another calculation that allows comparisons between these two groups of countries is the Powered Mean Index (PIM) obtained by power averaging the normalized indices of these bourses. The normalized index is obtained by dividing the index by its maximum value. If the loading factors for patterns D and E are used as the powering factors for calculating PIM, the obtained indices disclose the evolution patterns of trading in the two groups of bourses. The results of such calculation are shown in the figure bellow.

Veja também:


A Eina é uma empresa que desenvolve pesquisa em inteligência natural e artificial para desenvolver tecnologias que tornem o cérebro mais produtivo.



ENSCER é um projeto que utiliza o conhecimento sobre como o cérebro aprende para desenvolver tecnologias educacionais e material pedagógico
:: Brain and Economics :: 2010 ::