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Volumn 51, Issue 1, 2005, Pages 27-31

Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index

Author keywords

Econophysics; Lev regime; Power Law; Stable distribution; Stock market

Indexed keywords


EID: 18844422427     PISSN: 0035001X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (10)

References (44)
  • 7
    • 18844381299 scopus 로고
    • Ph.D. Thesis, Annales Scientifiques de l'Ecole Normale Supérieure
    • L. Bachelier, Ph.D. Thesis, Théorie de la Spéculation, Annales Scientifiques de l'Ecole Normale Supérieure 111-17, (1900).
    • (1900) Théorie de la Spéculation , vol.111 , Issue.17
    • Bachelier, L.1
  • 8
    • 0011652542 scopus 로고
    • P.H. Cootner (Ed.), (The Random Character of Stock Market Prices, The MIT Press, Cambridge, MA)
    • M.F.M. Osbome, Brownian motion in the stock market, P.H. Cootner (Ed.), (The Random Character of Stock Market Prices, The MIT Press, Cambridge, MA 1964) p. 100.
    • (1964) Brownian Motion in the Stock Market , pp. 100
    • Osbome, M.F.M.1
  • 18
    • 85022109095 scopus 로고    scopus 로고
    • note
    • The Mexican Stock Market index or Indice de Precios y Cotizaciones in Spanish.
  • 19
    • 85022110693 scopus 로고    scopus 로고
    • note
    • In finance, referred to as "Stylized facts", these statistical properties of financial time series, in conjuntion with others such as the properties of intermittency, asymmetry in time scales, absence of autocorrelations, gain/loss assymetry, etc.
  • 31
    • 0001571132 scopus 로고    scopus 로고
    • Y. Liu et al., Phys. Rev. E 60 (1999) 1390.
    • (1999) Phys. Rev. E , vol.60 , pp. 1390
    • Liu, Y.1
  • 32
    • 85022118618 scopus 로고    scopus 로고
    • note
    • Some authors call returns to the difference of the natural logarithm of prices, and call normalized returns to our returns. For the case of high frequency data, each one approaches the other.
  • 34
  • 35
  • 37
    • 85022113228 scopus 로고    scopus 로고
    • note
    • In finance, volatility is a relative measure of price movement during a given time period. It can be modeled by the standard deviation of stock price changes. Econophysicists usually use absolute returns to model its dynamics.
  • 38
    • 85022106875 scopus 로고    scopus 로고
    • note
    • The 2003 Nobel Price of Economy was awarded jointly to Robert F. Engle for a related topic:". . . for methods of analyzing economic time series with time-varying volatility (ARCH)". Engle owns a M. S. in Physics by Cornell University (1966).
  • 44
    • 0031120968 scopus 로고    scopus 로고
    • ROOT - An object oriented data analysis framework
    • Proceedings AIHENP'96 Work-shop, Lausanne, Sep. 1996, Nucl. Inst.Meth.
    • R. Brun and Fons Rademakers, ROOT - An Object Oriented Data Analysis Framework, Proceedings AIHENP'96 Work-shop, Lausanne, Sep. 1996, Nucl. Inst.Meth. in Phys. Res. A 389 (1997) 81. See also http://root.cern.ch/.
    • (1997) Phys. Res. A , vol.389 , pp. 81
    • Brun, R.1    Rademakers, F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.