Analysis of intra-day fluctuations in the Mexican financial market index

• L. Alfonso ^[1] ; D.E. García-Ramírez ^[2] ; R. Mansilla ^[3] ; C.A. Terrero-Escalante ^[4]
  1. [1] Universidad Autónoma de la Ciudad de México

     Universidad Autónoma de la Ciudad de México

     México

     
  2. [2] Universidad de Guanajuato

     Universidad de Guanajuato

     México

     
  3. [3] Universidad Nacional Autónoma de México

     Universidad Nacional Autónoma de México

     México

     
  4. [4] Universidad de Colima

     Universidad de Colima

     México

     

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• Localización: Revista Mexicana de Física, ISSN-e 0035-001X, Vol. 66, Nº. 5, 2020, págs. 700-709
• Idioma: inglés
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• Resumen

  • In this paper, a statistical analysis of high-frequency fluctuations of the IPC, the Mexican Stock Market Index, is presented. A sample of tick– to–tick data covering the period from January 1999 to December 2002 was analyzed, as well as several other sets obtained using temporal aggregation. The results indicate that the highest frequency is not useful to understand the Mexican market because almost two-thirds of the information corresponds to inactivity. For the frequency where fluctuations start to be relevant, the IPC data does not follow any α-stable distribution, including the Gaussian, perhaps because of the presence of autocorrelations. For a long-range of lower-frequencies, but still, in the intra-day regime, fluctuations can be described as a truncated Levy flight, while for frequencies above two-days, a Gaussian distribution ´ yields the best fit. Thought these results are consistent with other previously reported for several markets, there are significant differences in the details of the corresponding descriptions.