Forecasting stock market dynamics using market cap time series of firms and fuctuating selection

Fort, Hugo

Resumen:

Evolutionary economics has been instrumental in explaining the nature of innovation processes and providing valuable heuristics for applied research. However, quantitative tests in this field remain scarce. A significant challenge is accurately estimating the fitness of companies. We propose the estimation of the financial fitness of a company by its market capitalization (MC) time series using Malthusian fitness and the selection equation of evolutionary biology. This definition of fitness implies that all companies, regardless of their industry, compete for investors’ money through their stocks. The resulting fluctuating selection from market capitalization (FSMC) formula allows forecasting companies’ shares of total MC through this selection equation. We validate the method using the daily MC of public-owned Fortune 100 companies over the period 2000–2021.

Detalles Bibliográficos
2024
Stock market dynamics forecasting
Evolutionary economics
Market capitalization time series
Inglés
Universidad de la República
COLIBRI
https://hdl.handle.net/20.500.12008/48770
Acceso abierto
Licencia Creative Commons Atribución (CC - By 4.0)
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author Fort, Hugo
author_facet Fort, Hugo
author_role author
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dc.contributor.filiacion.none.fl_str_mv Fort Hugo, Universidad de la República (Uruguay). Facultad de Ciencias. Instituto de Física.
dc.creator.none.fl_str_mv Fort, Hugo
dc.date.accessioned.none.fl_str_mv 2025-03-26T16:04:41Z
dc.date.available.none.fl_str_mv 2025-03-26T16:04:41Z
dc.date.issued.none.fl_str_mv 2024
dc.description.abstract.none.fl_txt_mv Evolutionary economics has been instrumental in explaining the nature of innovation processes and providing valuable heuristics for applied research. However, quantitative tests in this field remain scarce. A significant challenge is accurately estimating the fitness of companies. We propose the estimation of the financial fitness of a company by its market capitalization (MC) time series using Malthusian fitness and the selection equation of evolutionary biology. This definition of fitness implies that all companies, regardless of their industry, compete for investors’ money through their stocks. The resulting fluctuating selection from market capitalization (FSMC) formula allows forecasting companies’ shares of total MC through this selection equation. We validate the method using the daily MC of public-owned Fortune 100 companies over the period 2000–2021.
dc.description.es.fl_txt_mv Presentado en: 10th International Conference on Time Series and Forecasting, Gran Canaria, Spain, 15–17 July 2024
dc.format.extent.es.fl_str_mv 10 h.
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dc.identifier.citation.es.fl_str_mv Fort, H. "Forecasting stock market dynamics using market cap time series of firms and fuctuating selection". Engineering Proceedings. [en línea] 2024, 68: 21. 10 h. DOI: 10.3390/engproc2024068021
dc.identifier.doi.none.fl_str_mv 10.3390/engproc2024068021
dc.identifier.eissn.none.fl_str_mv 2673-4591
dc.identifier.uri.none.fl_str_mv https://hdl.handle.net/20.500.12008/48770
dc.language.iso.none.fl_str_mv en
eng
dc.publisher.es.fl_str_mv MDPI
dc.relation.none.fl_str_mv Engineering Proceedings, 2024, 68: 21
dc.rights.license.none.fl_str_mv Licencia Creative Commons Atribución (CC - By 4.0)
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.source.none.fl_str_mv reponame:COLIBRI
instname:Universidad de la República
instacron:Universidad de la República
dc.subject.es.fl_str_mv Stock market dynamics forecasting
Evolutionary economics
Market capitalization time series
dc.title.none.fl_str_mv Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
dc.type.es.fl_str_mv Artículo
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identifier_str_mv Fort, H. "Forecasting stock market dynamics using market cap time series of firms and fuctuating selection". Engineering Proceedings. [en línea] 2024, 68: 21. 10 h. DOI: 10.3390/engproc2024068021
10.3390/engproc2024068021
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repository.name.fl_str_mv COLIBRI - Universidad de la República
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rights_invalid_str_mv Licencia Creative Commons Atribución (CC - By 4.0)
spelling Fort Hugo, Universidad de la República (Uruguay). Facultad de Ciencias. Instituto de Física.2025-03-26T16:04:41Z2025-03-26T16:04:41Z2024Fort, H. "Forecasting stock market dynamics using market cap time series of firms and fuctuating selection". Engineering Proceedings. [en línea] 2024, 68: 21. 10 h. DOI: 10.3390/engproc2024068021https://hdl.handle.net/20.500.12008/4877010.3390/engproc20240680212673-4591Presentado en: 10th International Conference on Time Series and Forecasting, Gran Canaria, Spain, 15–17 July 2024Evolutionary economics has been instrumental in explaining the nature of innovation processes and providing valuable heuristics for applied research. However, quantitative tests in this field remain scarce. A significant challenge is accurately estimating the fitness of companies. We propose the estimation of the financial fitness of a company by its market capitalization (MC) time series using Malthusian fitness and the selection equation of evolutionary biology. This definition of fitness implies that all companies, regardless of their industry, compete for investors’ money through their stocks. The resulting fluctuating selection from market capitalization (FSMC) formula allows forecasting companies’ shares of total MC through this selection equation. We validate the method using the daily MC of public-owned Fortune 100 companies over the period 2000–2021.Submitted by Pintos Natalia (nataliapintosmvd@gmail.com) on 2025-03-21T11:37:54Z No. of bitstreams: 2 license_rdf: 24942 bytes, checksum: 58cb336ce230a47d2f88ad02838a665f (MD5) 10.3390engproc2024068021.pdf: 2160767 bytes, checksum: bf983ffc971e883752df9069aaa53f06 (MD5)Approved for entry into archive by Faget Cecilia (lfaget@fcien.edu.uy) on 2025-03-26T13:02:56Z (GMT) No. of bitstreams: 2 license_rdf: 24942 bytes, checksum: 58cb336ce230a47d2f88ad02838a665f (MD5) 10.3390engproc2024068021.pdf: 2160767 bytes, checksum: bf983ffc971e883752df9069aaa53f06 (MD5)Made available in DSpace by Luna Fabiana (fabiana.luna@seciu.edu.uy) on 2025-03-26T16:04:41Z (GMT). No. of bitstreams: 2 license_rdf: 24942 bytes, checksum: 58cb336ce230a47d2f88ad02838a665f (MD5) 10.3390engproc2024068021.pdf: 2160767 bytes, checksum: bf983ffc971e883752df9069aaa53f06 (MD5) Previous issue date: 202410 h.application/pdfenengMDPIEngineering Proceedings, 2024, 68: 21Las obras depositadas en el Repositorio se rigen por la Ordenanza de los Derechos de la Propiedad Intelectual de la Universidad de la República.(Res. Nº 91 de C.D.C. de 8/III/1994 – D.O. 7/IV/1994) y por la Ordenanza del Repositorio Abierto de la Universidad de la República (Res. Nº 16 de C.D.C. de 07/10/2014)info:eu-repo/semantics/openAccessLicencia Creative Commons Atribución (CC - By 4.0)Stock market dynamics forecastingEvolutionary economicsMarket capitalization time seriesForecasting stock market dynamics using market cap time series of firms and fuctuating selectionArtículoinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionreponame:COLIBRIinstname:Universidad de la Repúblicainstacron:Universidad de la RepúblicaFort, HugoLICENSElicense.txtlicense.txttext/plain; charset=utf-84267http://localhost:8080/xmlui/bitstream/20.500.12008/48770/5/license.txt6429389a7df7277b72b7924fdc7d47a9MD55CC-LICENSElicense_urllicense_urltext/plain; charset=utf-844http://localhost:8080/xmlui/bitstream/20.500.12008/48770/2/license_urla0ebbeafb9d2ec7cbb19d7137ebc392cMD52license_textlicense_texttext/html; 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públicahttps://udelar.edu.uy/https://www.colibri.udelar.edu.uy/oai/requestkarina.camps@seciu.edu.uyUruguayopendoar:47712025-03-31T12:16:14COLIBRI - Universidad de la Repúblicafalse
spellingShingle Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
Fort, Hugo
Stock market dynamics forecasting
Evolutionary economics
Market capitalization time series
status_str publishedVersion
title Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
title_full Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
title_fullStr Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
title_full_unstemmed Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
title_short Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
title_sort Forecasting stock market dynamics using market cap time series of firms and fuctuating selection
topic Stock market dynamics forecasting
Evolutionary economics
Market capitalization time series
url https://hdl.handle.net/20.500.12008/48770