Trend and fractality assessment of Mexico's stock exchange

DOI10.1016/J.AMC.2016.03.014zbMATH Open1410.91372arXiv1411.3399OpenAlexW2126416396MaRDI QIDQ1733486FDOQ1733486

Authors: Javier Morales, Víctor Tercero, José-Fernando Camacho-Vallejo, Alvaro E. Cordero, Luis E. López Nerio, F.-Javier Almaguer 

Publication date: 21 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be predicted. However, randomness within the stock indexes makes forecasting a difficult task. To address this issue, in this work, trends and fractality were studied using GNU-R over the opening and closing prices indexes over the past 23 years. Returns, Kernel density estimation, autocorrelation function and R/S analysis and the Hurst exponent were used in this research. As a result, it was found that the Kernel estimation density and the autocorrelation function shown the presence of long-range memory effects. In a first approximation, the returns of closing prices seems to behave according to a Markovian random walk with a length of step size given by an alpha-stable random process. For extreme values, returns decay asymptotically as a power law with a characteristic exponent approximately equal to 2.5.

Full work available at URL: https://arxiv.org/abs/1411.3399

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zbMATH Keywords

power lawkernel density estimationfinancial time seriesHurst exponentempirical autocorrelation function\(R/S\) analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited In (3)

• Statistical analysis of strait time index and a simple model for trend and trend reversal
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• stabledist
• astsa
• kedd

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