Analysis of intra-day fluctuations in the mexican financial market index
Por:
Alfonso, L., Garcia-Ramirez, D. E., Mansilla, R., Terrero-Escalante, C. A.
Publicada:
1 sep 2020
Resumen:
In this paper, a statistical analysis of high-frequency fluctuations of
the IPC, the Mexican Stock Market Index, is presented. A sample of
tick-to-tick data covering the period from January 1999 to December 2002
was analyzed, as well as several other sets obtained using temporal
aggregation. The results indicate that the highest frequency is not
useful to understand the Mexican market because almost two-thirds of the
information corresponds to inactivity. For the frequency where
fluctuations start to be relevant, the IPC data does not follow any
alpha-stable distribution, including the Gaussian, perhaps because of
the presence of autocorrelations. For a long-range of lower-frequencies,
but still, in the intra-day regime, fluctuations can be described as a
truncated Levy flight, while for frequencies above two-days, a Gaussian
distribution yields the best fit. Thought these results are consistent
with other previously reported for several markets, there are
significant differences in the details of the corresponding
descriptions.
Filiaciones:
Alfonso, L.:
Univ Autonoma Ciudad Mexico, Ciudad De Mexico 09790, Mexico
Garcia-Ramirez, D. E.:
Univ Guanajuato, Dept Astron, DCNE CGT, Guanajuato 36023, Mexico
Mansilla, R.:
Univ Nacl Autonoma Mexico, Ctr Invest Interdisciplinarias Ciencias & Humanid, Ciudad Univ, Ciudad De Mexico 04510, Mexico
Terrero-Escalante, C. A.:
Univ Colima, Fac Ciencias, Bernal Diaz Castillo 340, Colima 28045, Mexico
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