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dc.contributor.advisorReyna Miranda, Montserrat
dc.contributor.authorTapia Gómez, Armando
dc.date.accessioned2020-07-06T19:38:59Z
dc.date.available2020-07-06T19:38:59Z
dc.date.created2019
dc.identifier.citationTapia, Armando (2019). Hipótesis de Eficiencia en Mercados Automatizados. (Tesis doctorado). Instituto Tecnológico y de Estudios Superiores de Monterrey. https://hdl.handle.net/11285/636543es_MX
dc.identifier.urihttps://hdl.handle.net/11285/636543
dc.description379895es_MX
dc.description.abstractThe present work shows an analysis of the Market Efficiency Hypothesis (MEH) adapted to the technological conditions. In this research it is proposed to consider whether a market is efficient or not in the terms of Fama (1970), through empirical measures of distribution and autocorrelation for assets traded in both Mexican United States (US) stock markets, using different time scales, in order to identify whether or not the incorporation of electronic operations creates an anomaly in the markets that, according to the MEH, prices instantly incorporate all public information and follow a random walk, so that it is not possible to generate extraordinary profits, this Hypothesis finds challenges as evidence that price returns do not present a normal distribution and a strong correlation between returns in very small time intervals is found, which is a clear sign that the speed of algorithmic operations are in an exclusive field of competence and a regular person is not even close to trade in the same way. This implies that the HEM is not met when returns are calculated in very small time intervals, so it runs with limitations where the Hypothesis is valid in time intervals above 10 days on average, however on the other side of those limits, below that interval, there is a dynamic of the returns that does not obey the fundamentals of the Fama Hypothesis. In this research, normality tests are carried out using Jarque-Bera (1980) test and with the characteristic alpha exponent of Lévy's alpha-stable distributions (1925), achieving greater knowledge of the evolution of the distribution for different time scales, tests of autocorrelation between the returns of each stock with the Ljung-Box (1978) test, resulting in that for very short intervals there is correlation in the returns while for intervals above 10 days a random walk with an asymptotically normal distribution is identified.es_MX
dc.format.mediumTextoes_MX
dc.language.isospaes_MX
dc.publisherInstituto Tecnológico y de Estudios Superiores de Monterreyes_MX
dc.relation.isFormatOfversión publicadaes_MX
dc.rightsopenAccesses_MX
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0es_MX
dc.subject.classificationCIENCIAS SOCIALES::CIENCIAS ECONÓMICAS::ORGANIZACIÓN INDUSTRIAL Y POLÍTICA PÚBLICA::ESTRUCTURA DEL MERCADOes_MX
dc.subject.lcshSocial Scienceses_MX
dc.titleHipótesis de eficiencia en mercados automatizadoses_MX
dc.typeTesis Doctorado / doctoral Thesises_MX
dc.contributor.departmentEGADEes_MX
dc.contributor.committeememberMata Mata, Leovardo
dc.contributor.mentorMansilla Corona, Ricardo Lino
dc.contributor.mentorAmorós Espinoza José Ernesto
dc.subject.keywordMarkets Efficiencyes_MX
dc.subject.keywordHigh Frequency Tradinges_MX
dc.subject.keywordalpha-stable distributionses_MX
dc.subject.keywordStockses_MX
dc.contributor.institutionCampus Santa Fees_MX
dc.contributor.catalogeremipsanchezes_MX
dc.description.degreeDoctor en Ciencias Financierases_MX
dc.identifier.cvu640618es_MX
dc.audience.educationlevelInvestigadores/Researcherses_MX
dc.audience.educationlevelPúblico en general/General publices_MX
dc.relation.impreso2019-11-21
dc.identificator5||53||5309||530904es_MX


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  • Ciencias Sociales 502
    Negocios; Humanidades y Educación; Ciencias Sociales y Gobierno; Arquitectura y Diseño

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