Aplicação da teoria dos jogos na análise de riscos e decisões no mercado de ações

Abstract

The stock market is characterized by its high volatility and the complexity of the interactions between investors, where strategic decisions have significant impacts both on an individual level and on the overall behaviour of the market. Identifying optimal strategies that balance risk and return is a constant challenge, especially in uncertain scenarios. This dissertation investigates the application of game theory to risk analysis and decision-making in the stock market, integrating technical and financial indicators into a model that allows investment strategies to be predicted and optimized. Indicators such as the Relative Strength Index (RSI), MACD, Return on Equity (ROE), EBITDA Margin, and General Liquidity Index were analyzed and combined in payoff matrices to simulate strategic decisions and identify Nash equilibria in different market scenarios. The results indicate that the application of game theory, combined with integrated technical and fundamental analysis, offers an effective tool for identifying investment strategies that balance risk and return. The research demonstrated that it is possible to identify Nash equilibria in different market contexts, providing valuable insights for strategic decision-making. This dissertation advances the understanding of the use of game theory in the stock market and proposes an innovative model applicable both in academia and in professional practice to improve risk analysis and asset allocation.