Resumen

SANCHEZ-CANTU, Leopoldo; SOTO-CAMPOS, Carlos Arturo; MORALES-MATAMOROS, Oswaldo  y  GARCIA-PEREZ, Alba Lucero. Power Law in Price Falls larger than a Critical Level in Financial Time Series. Rev. mex. econ. finanz [online]. 2017, vol.12, n.1, pp.63-89. ISSN 2448-6795.

The study of financial time series was addressed looking for evidence of self- organization. A methodology was developed to identify as units of study each one of price declines from a recent maximum level and back to the original level. An interval in the space of states in which price falls could be explained as a process that follows a power law was seek. A critical level in the size of falls was identified separating the set of falls operating under a random regime (falls smaller than the critical level), from the set which follows a power law (falls larger than the critical level). This critical level is presumed to be a phase transition point towards a self-organized system. Both the methodology and the approach are original and add a new way to bring out that fluctuations in financial prices obey the power law, a relevant element to build a new systemic theory of price generation in financial markets, more proper to explain deep falls than the Efficient Market Hypothesis.

Palabras llave : International Financial Markets; Power Law; Self-Organized Criticality; Self Organization; Critical Point of Phase Transition; Random Walk Hypothesis.