Regularidad local del Mercado de índices para la crisis económica de 2008

There is evidence that signals from financial markets, such as stock indices, interest rates or commodities, have a multifractal nature. In recent years, many efforts have been made to relate the inefficiency of markets with the multifractal characteristics of this corresponding signals. These chara...

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Autores Principales: Figliola, Alejandra, Rosenblatt, Mariel, Serrano, Eduardo P.
Formato: Artículo
Idioma: Español
Publicado: 2015
Acceso en línea: http://revistas.ucr.ac.cr/index.php/matematica/article/view/2105
http://hdl.handle.net/10669/13007
Sumario: There is evidence that signals from financial markets, such as stock indices, interest rates or commodities, have a multifractal nature. In recent years, many efforts have been made to relate the inefficiency of markets with the multifractal characteristics of this corresponding signals. These characteristics are summarized in the knowledge of the spectrum of singularities or multifractal spectrum that relates to the set of singular points of the signal with its corresponding Hausdorff dimension. The novel approach proposed in this paper, to study the dynamics of financial markets, is to analyze the evolution of the set of singular points or Hölder exponents of the series of exchanges, measured daily. We examined the “logarithmic returns” of stock indices from 9 countries in developed markets and 12 belonging to emerging markets from February 2006 to March 2009.The analysis reveals that the temporal variation of the local Hölder exponent point reflects the evolution of the crisis and identifies the historical events which have occurred during this phenomenon, from the minimum values of the Hölder exponent.