COMPLEJIDAD EN EL MERCADO FINANCIERO

DE LA ROCHA PÉREZ, BERNARDO (2019) COMPLEJIDAD EN EL MERCADO FINANCIERO. Maestría thesis, Universidad Autónoma de Chihuahua.

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Resumen

In 2018, we gather the historical values of the stocks corresponding to the 1000 companies with the greatest market capitalization of the USA during the period of September 28 of 2015 and July 27 of 2017 together with the historical values of the indices NASDAQ100, S&P500, NIKKEI225 y DAX30 during the period of September 1st of 2017 and March 7th of 2018, this with the objective of verifying the existence of collective behavior, scale invariance and self-organized criticality, commonly observed properties in complex systems. The Pearson coefficient was used to form correlation matrices of the 1000 stocks, an eigenvalues analysis was performed and together with the participation index verified the existence of collective behavior, observing that the greatest eigenvalue λ1 acts as an attractor affecting almost 75% of the system. Also, the wavelets transform was applied together with an avalanche analysis to each index, filtering the data with the transform and defining the avalanches as each event with a volatility |v > ε|, the volume and duration of the avalanches were calculated, together with the periods of laminar activity, every one of which presented behavior given by power laws establishing the existence of scale invariance along the market. Regarding the self-organized criticality, is not possible to affirm its existence in the market since the theory stablishes that only the volume and duration of the avalanches have power law behavior while the laminar periods require an exponential behavior.

Tipo de Documento: Tesis (Maestría)
Palabras Clave: collective, behavior, invariance, criticality, correlations, avalanches.
Clasificación temática: Q Science > QA Mathematics
Usuario Remitente: Admin Administrador del Respositorio
Depositado: 13 Nov 2019 16:31
Ultima Modificación: 13 Nov 2019 16:31
URI: http://repositorio.uach.mx/id/eprint/226

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Universidad Autonoma de Chihuahua