My bibliography  Save this paper

On the scaling of the distribution of daily price fluctuations in Mexican financial market index

Author

Listed:
• Lester Alfonso
• Ricardo Mansilla
• Cesar A. Terrero-Escalante

Abstract

In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from $04/09/2000-04/09/2010$ was analyzed, and fitted to different distributions. Tests of the goodness of fit were performed in order to quantitatively asses the quality of the estimation. Special attention was paid to the impact of the size of the sample on the estimated decay of the distributions tail. In this study a forceful rejection of normality was obtained. On the other hand, the null hypothesis that the log-fluctuations are fitted to a $\alpha$-stable L\'evy distribution cannot be rejected at 5% significance level.

Suggested Citation

• Lester Alfonso & Ricardo Mansilla & Cesar A. Terrero-Escalante, 2011. "On the scaling of the distribution of daily price fluctuations in Mexican financial market index," Papers 1111.2038, arXiv.org.
• Handle: RePEc:arx:papers:1111.2038
as

File URL: http://arxiv.org/pdf/1111.2038

NEP fields

This paper has been announced in the following NEP Reports:

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1111.2038. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.