Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Sociedad Mexicana de Física A.C.
2005
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| _version_ | 1876485173507260416 |
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| author | H. F. Coronel-Brizio |
| author_facet | H. F. Coronel-Brizio |
| contents | Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index H. F. Coronel-Brizio A. R. Hernández-Montoya Física, Astronomía y Matemáticas Law Power Levý regime Econophysics stock market In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. Asample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its dailylogarithmic variations studied. Results show that the cumulative distribution function for extreme variations, can be described by a Pareto-Levý model with shape parameters ® = 3:634 § 0:272 and ® = 3:540 § 0:278 for its positive and negative tails, respectively. This result isconsistent with previous studies, where it has been found that 2:5 < ® < 4 for other financial markets worldwide. 2005 artículo científico 0035-001X https://www.redalyc.org/articulo.oa?id=57063705 en http://www.redalyc.org/revista.oa?id=570 Revista Mexicana de Física application/pdf Sociedad Mexicana de Física A.C. Revista Mexicana de Física (México) Num.1 Vol.51 |
| format | Artículo científico |
| id | redalyc_57063705 |
| institution | Redalyc |
| language | en |
| publishDate | 2005 |
| publisher | Sociedad Mexicana de Física A.C. |
| spellingShingle | Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index H. F. Coronel-Brizio Física, Astronomía y Matemáticas Law Power Levý regime Econophysics stock market Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index H. F. Coronel-Brizio A. R. Hernández-Montoya Física, Astronomía y Matemáticas Law Power Levý regime Econophysics stock market In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. Asample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its dailylogarithmic variations studied. Results show that the cumulative distribution function for extreme variations, can be described by a Pareto-Levý model with shape parameters ® = 3:634 § 0:272 and ® = 3:540 § 0:278 for its positive and negative tails, respectively. This result isconsistent with previous studies, where it has been found that 2:5 < ® < 4 for other financial markets worldwide. 2005 artículo científico 0035-001X https://www.redalyc.org/articulo.oa?id=57063705 en http://www.redalyc.org/revista.oa?id=570 Revista Mexicana de Física application/pdf Sociedad Mexicana de Física A.C. Revista Mexicana de Física (México) Num.1 Vol.51 |
| title | Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index |
| topic | Física, Astronomía y Matemáticas Law Power Levý regime Econophysics stock market |
| url | https://www.redalyc.org/articulo.oa?id=57063705 |