Series de tiempo financieras. Un enfoque alternativo

Carlos Arturo Soto Campos; V.A.  Reyes Rodríguez; C.  Rondero Guerrero

doi:10.29057/icbi.v7i14.4430

Authors

Carlos Arturo Soto Campos Universidad Autónoma del Estado de Hidalgo
V.A. Reyes Rodríguez Universidad Autónoma del Estado de Hidalgo
C. Rondero Guerrero Universidad Autónoma del Estado de Hidalgo

DOI:

https://doi.org/10.29057/icbi.v7i14.4430

Keywords:

stock market, time series, hurst exponent

Abstract

The stock market constitutes a social, technical, dynamic and complex system. Therefore, in order to characterize and model it, it is necessary to have tools that allow us to study how the different interrelationships between the elements of this system occur. An extremely useful mathematical tool for modeling financial markets is what is known as time series. The financial time series represent a very prolific field of research in which both mathematicians and physicists have ventured from very different approaches. In this paper we adopt a modern approach, emphasizing the utility of the Hurst exponent for the analysis of series that exhibit trends that can be modeled.

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Publisher: Universidad Autónoma del Estado de Hidalgo

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