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

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

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    File URL: http://arxiv.org/pdf/1111.2038
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    Paper provided by arXiv.org in its series Papers with number 1111.2038.

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    Date of creation: Nov 2011
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    Handle: RePEc:arx:papers:1111.2038
    Contact details of provider: Web page: http://arxiv.org/

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