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Detección de periodos de crisis del NASDAQ con EEMD -AE

Author

Listed:
  • Gerardo Estrada Sánchez

    (Universidad Nacional Autónoma de México, México)

  • Federico Hernández Álvarez

    (Universidad Nacional Autónoma de México, México)

  • Andrés Giovanni Camacho Ardila

    (Universidad Nacional Autónoma de México, México)

Abstract

Se propone identificar el inicio y terminación de las crisis por SARS-CoV-2 y subprime en el NASDAQ. Se utilizó el EEMD para la descomposición del índice en series consecutivas con el mismo número de componentes y se calcularon sus coeficientes de correlación, también se analizó el espectro de potencia de la serie original. Se identificaron señales de inestabilidad asociadas a cambios tanto en las correlaciones de los componentes como del espectro del NASDAQ. Se recomienda aplicar el procedimiento sobre otras series y otras crisis; asimismo, el método se basa en la detección de discrepancias, lo que implica ser una herramienta de monitoreo, mas no una de pronósticos cuantitativos. La originalidad del trabajo radica en el uso del EEMD modificado para la descomposición de series consecutivas en el mismo número de componentes, y la utilización del coeficiente de correlación entre componentes y el espectro de la serie original como medidas de estabilidad del sistema. El enfoque mostró ser útil para identificar y anticipar grandes cambios en el comportamiento de una serie de tiempo.

Suggested Citation

  • Gerardo Estrada Sánchez & Federico Hernández Álvarez & Andrés Giovanni Camacho Ardila, 2023. "Detección de periodos de crisis del NASDAQ con EEMD -AE," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(1), pages 1-26, Enero - M.
    • Handle: RePEc:imx:journl:v:18:y:2023:i:1:a:4
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    File URL: https://www.remef.org.mx/index.php/remef/article/view/817
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    References listed on IDEAS

    as
    1. Marc Jarsulic, 2010. "Anatomy of a Financial Crisis," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-10618-5, March.
    2. Marc Jarsulic, 2010. "Implications and Solutions," Palgrave Macmillan Books, in: Anatomy of a Financial Crisis, chapter 0, pages 125-156, Palgrave Macmillan.
    3. Jun, Doobae & Ahn, Changmo & Kim, Jinsu & Kim, Gwangil, 2019. "Signal analysis of global financial crises using Fourier series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    EMD; EEMD; análisis espectral; mercados financieros; crisis financieras;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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