1 research outputs found
Trend and Fractality Assessment of Mexico's Stock Exchange
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.Comment: 19 pages and 10 figure