q-fin updates on arXiv.org
Fri, 14 Feb 2020 06:02:44 GMT language
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 L'evy 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.