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• W2126416396 abstract "The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be predicted. However, randomness within the stock indexes makes forecasting a difficult task. To address this issue, in this work, trends and fractality were studied using GNU-R over the opening and closing prices indexes over the past 24 years. Returns, Kernel density estimation, autocorrelation function and R/S analysis and the Hurst exponent were used in this research. As a result, it was found that the Kernel estimation density and the autocorrelation function shown the presence of long-range memory effects. In a first approximation, the returns of closing prices seems to behave according to a Markovian random walk with a length of step size given by an α-stable random process. For extreme values, returns decay asymptotically as a power law with a characteristic exponent approximately equal to 2.6." @default.
• W2126416396 created "2016-06-24" @default.
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• W2126416396 date "2016-07-01" @default.
• W2126416396 modified "2023-10-17" @default.
• W2126416396 title "Trend and fractality assessment of Mexico’s stock exchange" @default.
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• W2126416396 doi "https://doi.org/10.1016/j.amc.2016.03.014" @default.
• W2126416396 hasPublicationYear "2016" @default.
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