Artículo

Analysis of intra-day fluctuations in the Mexican financial market index

Alfonso, L.; Garcia Ramirez, D. E.; Mansilla, R.; Terrero Escalante, C. A.

Facultad de Ciencias, UNAM, publicado en Revista Mexicana de Física, y cosechado de Revistas UNAM

Licencia de uso

Procedencia del contenido

Entidad o dependencia
Facultad de Ciencias, UNAM
Revista
Repositorio
Contacto
Revistas UNAM. Dirección General de Publicaciones y Fomento Editorial, UNAM en revistas@unam.mx

Cita

Alfonso, L., et al. (2020). Analysis of intra-day fluctuations in the Mexican financial market index. Revista Mexicana de Física; Vol 66, No 5 Sept-Oct: 700-709. Recuperado de https://repositorio.unam.mx/contenidos/4107824

Descripción del recurso

Autor(es)
Alfonso, L.; Garcia Ramirez, D. E.; Mansilla, R.; Terrero Escalante, C. A.
Tipo
Artículo de Investigación
Área del conocimiento
Físico Matemáticas y Ciencias de la Tierra
Título
Analysis of intra-day fluctuations in the Mexican financial market index
Fecha
2020-09-01
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. Our results indicates 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 follows any \α-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 L\'evy 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.
Tema
complex systems, financial dynamics, high frequency fluctuations distribution, tail behavior, autocorrelations
Idioma
eng
ISSN
2683-2224 (digital); 0035-001X (impresa)

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