Resumo

VELASQUEZ CEBALLOS, Hermilson  e  RESTREPO RESTREPO, Jorge Humberto. ANALYSIS OF THE COLOMBIAN STOCK EXCHANGE INDEX AND ITS YIELDS SEEN FROM THE CHAOS THEORY 2001-2011. Semest. Econ. [online]. 2012, vol.15, n.31, pp.79-98. ISSN 0120-6346.

The objective of this article is to present an alternative for analyzing time series in financial markets, the foundations consider the possible existence of fractal objects and chaotic structure elements within them, thus enabling the design negotiation strategies that take this information into account. In order to test the hypothesis the following elements had to be validated: non-linearity, non-normality, self-similarity, persistency and chaos. The proposed scheme is applied to the series of the Colombian stock exchange index (IGBC) and its yields between July 2001 and May 2011. Evidence was found confirming the presence of chaos and fractal behavior in the analyzed series and one of the direct consequences is the possibility of designing alternative negotiation strategies that could be used in the trading process in the Colombian stock exchange.

Palavras-chave : Fractal markets; self-similarity; persistence; chaos; stock market index.

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