Scale-free tails in colombian financial indexes: a primer
A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free distribution, whereas none of the heavy tails of a local sovereign securities...
- Autores:
-
León, Carlos
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2015
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7522
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7522
https://doi.org/10.18601/17941113.n9.06
- Palabra clave:
- Scale-free
power-law
Zipf’s law
financial returns
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2
| Summary: | A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free distribution, whereas none of the heavy tails of a local sovereign securities index (IDXTES) are a plausible case for such distribution. Results also (i) support critiques regarding the flaws of ordinary least squares estimation methods for scale-free distributions; (ii) question the validity of Zipf’s law; (iii) suggest that IGBC and TRM display the scale-free nature documented as a stylized fact of financial returns, and that they may be following a gradually truncated Lévy flight; and (iv) suggest that local financial markets are self-organizing systems. |
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