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

Author

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  • H. F. Coronel-Brizio

    (Facultad de Fisica e Inteligencia Artificial.Universidad Veracruzana. Xalapa Veracruz. Mexico.)

  • A. R. Hernandez-Montoya

    (Facultad de Fisica e Inteligencia Artificial.Universidad Veracruzana. Xalapa Veracruz. Mexico.)

Abstract

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

Suggested Citation

  • H. F. Coronel-Brizio & A. R. Hernandez-Montoya, 2003. "Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index," Papers cond-mat/0312413, arXiv.org, revised Oct 2004.
    • Handle: RePEc:arx:papers:cond-mat/0312413
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    References listed on IDEAS

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    1. Roehner,Bertrand M., 2002. "Patterns of Speculation," Cambridge Books, Cambridge University Press, number 9780521802635, October.
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