Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index
Loading...
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results showed that the cumulative distribution function for extreme variations, can be described by a Pareto-Levy model with shape parameters alpha=3.634 +- 0.272 and alpha=3.540 +- 0.278 for its positive and negative tails respectively. This result is consistent with previous studies, where it has been found that 2.5< alpha <4 for other financial markets worldwide.
Econophysics paper. 5 pages 4 figures. Rev.Mex.Fis (in press). Updated version: Corrected typos, added references and footnotes
Econophysics paper. 5 pages 4 figures. Rev.Mex.Fis (in press). Updated version: Corrected typos, added references and footnotes