Examinando por Materia "Exponente de Hurst"

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    Ítem
    Análisis del índice general de las bolsas de valores de Colombia (IGBC), chile (IPSA) y Perú (IGBVL), y sus rendimientos desde la teoría del caos 2001-2011
    (Universidad EAFIT, 2011) Restrepo Restrepo, Jorge Humberto; Velásquez Ceballos, Hermilson
    The purpose of this paper is to examine if exist persistence and chaotic structures in the time series of the Colombian (IGBC), Chile (IPSA) and Peru (IGBVL) stock Exchange Index and their returns, during the period between July 2001 and May 2011. To achieve this goal, the series are tested for nolinearity using the BDS Test, the series memory using the Hurst Exponent, the chaotic dynamics using the Lyapunov Exponent, the self-similarity using the fractal dimension, and the cycles as part of their structure components. The Market Fractal Analysis of the markets was introduced by Edgar Peters in the beginnings 90’s and is based in the Chaos Theory and Fractal Geometry, and it have been an alternative to investigate and analyze financial markets and need less statistical assumptions that other theories like the Efficient Market Hypothesis. This investigation found evidence of persistence and chaotic dynamics systems in the analyzed financial market time series, which suggest that other strategies that could be considered in stock exchange transactions process.