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Detecting random walk in stock market prices based on Markov chains: Examining The Mexican Stock Market Index / Detección de caminata aleatoria en precios bursátiles mediante cadenas de Markov: aplicación al Índice de Precios y Cotizaciones de México

Author

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  • Mejía Téllez, Juan De la Cruz

    (Departamento de Sistemas, División de Ciencias Básicas e Ingeniería, Universidad Autónoma Metropolitana–Azcapotzalco)

Abstract

En este trabajo, se presenta bajo una perspectiva metaheurística el problema multiobjetivo para el portafolio de inversión, que debe minimizar el riesgo, y maximizar el rendimiento esperado. Considerando el modelo de Markowitz se resuelve el problema con dos objetivos describiendo la totalidad del frente de Pareto correspondiente. En este trabajo, se emplean cuatro técnicas metaheurísticas: SPO, NSGA-II, MOEA/D y VEGA y se efectúa un análisis comparativo sobre cinco instancias de investigación en mercados financieros de Hong Kong (Hang Sen31), Alemania (DAX85), Gran Bretaña (FTSE89), Estados Unidos de América (S&P98) y Japón (Nikkei225) empleando una base de datos de marzo de 1992 a septiembre de 1997. / In this paper, the multiobjective problem for the investment portfolio is presented under a metaheuristic perspective, which refers to minimize de risk and maximize the expected return. Considering the Markowitz model, the problem is solved with two objectives describing the whole of the corresponding Pareto front. Four metaheuristic techniques are used: SPO, NSGA-II, MOEA/D Y VEGA and a comparative analysis is carried out on 5 research instances in financial markets of Hong Kong (Hang Sen31), Germany (DAX85), Great Britain (FTSE89), United States of America (S & P98) and Japan (Nikkei225) using a database from March 1992 to September 1997.

Suggested Citation

  • Mejía Téllez, Juan De la Cruz, 2018. "Detecting random walk in stock market prices based on Markov chains: Examining The Mexican Stock Market Index / Detección de caminata aleatoria en precios bursátiles mediante cadenas de Markov: aplica," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(2), pages 183-204, julio-dic.
    • Handle: RePEc:sfr:efruam:v:8:y:2018:i:2:p:183-204
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    More about this item

    Keywords

    stock returns; random walk; Markov chains; runs; cycles; steady state / rendimientos bursátiles; caminata aleatoria; cadenas de Markov; corridas; ciclos; estado estable;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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