Resumo

RODRIGUEZ AGUILAR, Román. The Hurst coefficient and the parameter α-stable for financial series analysis: Application to the Mexican exchange market. Contad. Adm [online]. 2014, vol.59, n.1, pp.149-173. ISSN 0186-1042.

This paper addresses the utility of estimating the parameter α of α-stable distribution and the Hurst coefficient for financial series in periods of high volatility. By estimating the Hurst coefficient and the parameter a we seek to explore the violation of two assumptions in modeling financial series, the assumption that the series are normally distributed and that the successive returns are independent. We present the case of the peso dollar Fix Mexico exchange rate in the 1992-2011 period. One of the main results is the identification of fractal characteristics and heavy tails in the series for some periods in different magnitudes, such differences are accentuated during crisis periods. Characterizing the series by these parameters through an index will improve decision-making on the type of analysis that is methodologically correct to apply in a speciic time window for asset pricing and risk management.

Palavras-chave : fractional Brownian motion; Hurst coefficient; alpha stable distributions; heavy tails.

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