Fitting the Power-law Distribution to the Mexican Stock Market index data

H. F. Coronel-Brizio, C. R. de la Cruz-Laso and A. R. Hernandez-Montoya
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H. F. Coronel-Brizio: Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico
C. R. de la Cruz-Laso: Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico
A. R. Hernandez-Montoya: Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico

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Abstract: In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), showed distributional properties which are consistent with previous studies.

Date: 2003-03
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Citations: View citations in EconPapers (2)

Published in Test of fit for the power-law distribution and some applications to the Mexican Stock Market index relative changes, Advances and Applications in Statistics. Volume 50, Number 2, 2017, pages 123-136 (2017)

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