论文标题
分析墨西哥金融市场指数的日内波动
Analysis of intra-day fluctuations in the Mexican financial market index
论文作者
论文摘要
在本文中，提出了对IPC的高频波动（墨西哥股市指数）的统计分析。分析了涵盖从1999年1月到2002年12月期间的刻痕数据的样本，以及使用时间聚合获得的其他几组。我们的结果表明，最高频率对于理解墨西哥市场没有用，因为几乎三分之二的信息与无活动相对应。对于波动开始相关的频率，IPC数据不遵循任何α稳定的分布，包括高斯，也许是由于存在自相关的存在。对于长时间的低频，但仍处于日内制度中，波动可以描述为截断的莱维飞行，而对于两日以上的频率，高斯分布会产生最佳拟合度。认为这些结果与以前报道的其他几个市场一致，相应描述的细节存在显着差异。
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. Our results indicates 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 follows any alpha-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 Lévy 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.
