Mercado eficiente, mapas autoorganizados y sus aplicaciones en las finanzas

Abstract

[en] The aim of this paper is to study the efficient market fundamentals, to analyse in detail the technique of self-organising maps and to see how both tools complement each other to create efficient portfolios. Part I introduces the efficient market and Markowitz theory about portfolios optimization. We will also the market indices, their behaviour, construction and usefulness in the investment field. We will think about possible ways to optimise them and we will learn about the SP&500, the most important index at present. Part II studies how Self-Organising Maps work and how they are able to reduce a large volume of data to smaller dimensions, taking an in-depth look at the algorithmic part behind this technique. Part III seeks to create efficient or optimal portfolios using the self-organised maps, working in an environment constrained by the assets that compose the SP&500 and compare them.