Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN

Stock crack detection using multifractal analysis (local and pointwise Hölder exponents): Stock Index of Mexico IPC and FX USD/MXN

Stephanie Rendón

MPRA Paper from University Library of Munich, Germany

Abstract: The multifractal model has demonstrated properly how to measure the complexity within economic systems when describing a time series with a spectrum; this tool offers the possibility to study local regularity for prior and after market crash detections. The main goal of this work is to show through evolution of Hölder’s exponents and irregular points, how it is possible to study intrinsic market dynamics. For these purposes, Hölder exponents were determined over time series of the Mexico IPC stock index and fx USD/MXN during: 1994-2013 and 1992-2013, respectively.

Keywords: Hölder exponents; multifractal analysis; irregularity (search for similar items in EconPapers)
JEL-codes: C14 C16 C53 C58 G14 (search for similar items in EconPapers)
Date: 2013-01-06, Revised 2013-05-19
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47699

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