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Fitting the Power-law Distribution to the Mexican Stock Market index data

Author

Listed:
  • H. F. Coronel-Brizio

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

  • C. R. de la Cruz-Laso

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

  • A. R. Hernandez-Montoya

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

Abstract

In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), showed distributional properties which are consistent with previous studies.

Suggested Citation

  • H. F. Coronel-Brizio & C. R. de la Cruz-Laso & A. R. Hernandez-Montoya, 2003. "Fitting the Power-law Distribution to the Mexican Stock Market index data," Papers cond-mat/0303568, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0303568
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    File URL: http://arxiv.org/pdf/cond-mat/0303568
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    Cited by:

    1. Morales, Javier & Tercero, Víctor & Camacho-Vallejo, José-Fernando & Cordero, Alvaro E. & López Nerio, Luis E. & Almaguer, F-Javier, 2016. "Trend and fractality assessment of Mexico’s stock exchange," Applied Mathematics and Computation, Elsevier, vol. 285(C), pages 103-113.
    2. Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer, 2014. "Trend and Fractality Assessment of Mexico's Stock Exchange," Papers 1411.3399, arXiv.org.

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