Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index

Details Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index

2003-12-16

arxiv.org/abs/cond-mat/0312413v2

Revista Mexicana de Fisica 51 (1) 27-31 (2005)

Physics

Condensed Matter

Other Condensed Matter

Econophysics paper. 5 pages 4 figures. Rev.Mex.Fis (in press). Updated version: Corrected typos, added references and footnote

Scientific paper

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.

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