Resumo

ORTIZ SANDOVAL, Juan David; PENA CUELLAR, David René  e  ESPITIA CUCHANGO, Helbert Eduardo. THE DAY-EFFECT ON THE RETURNS OF COLCAP INDEX ANALYSED WITH SELF-ORGANIZING MAPS. Cienc. Ing. Neogranad. [online]. 2016, vol.26, n.1, pp.97-108. ISSN 0124-8170.  https://doi.org/10.18359/rcin.1665.

In this article is analyzed the historic value of Colcap index (which is the reference index of colombian stock market), by using a model of Kohonen's Self-Organizing Map (SOM). This is done in order to find a correlation between weekday with the daily return of index. It is explained what data were used, as well as the configuration of SOM for training. The trained SOM was then visualized by each component of input vector to graphically reveal any existing predominancy in the value index return Colcap in regard of the weekday.

Palavras-chave : Day effect; efficient market hypothesis; self-organizing maps; colombian stock market; daily return.

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