Ciencias Sociales
Permanent URI for this collectionhttps://hdl.handle.net/11285/582997
Pertenecen a esta colección Tesis y Trabajos de grado de los Doctorados correspondientes a las Escuelas de Gobierno y Transformación Pública, Humanidades y Educación, Arquitectura y Diseño, Negocios y EGADE Business School.
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- Statistical Analysis of Bitcoin in a Multivariate Framework(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2020-07-17) Contreras Valdez, Mario Ivan; CONTRERAS VALDEZ, MARIO IVAN; 862690; Cerecedo Hernández, Daniel; EGADE Business School; Campus Santa FeThis work elaborates on the statistical study of the first cryptocurrency made: Bitcoin. It presents a brief introduction to the basic concepts behind the functioning of the entity, as well as some studies regarding technical, ethical, and legal aspects. Regarding the Economic and Financial themes, the issue to approach relates with the implementation into markets. The introduction of new assets into the basket available for investors may cause certain risks if it is now fully understood and inadequate assumptions are used to assess the exposure or asset allocation. To address this topic, this document is divided in 5 chapters regarding the analysis of certain properties through financial models. First, the stylized facts on the diversity of cryptocurrencies is studied through descriptive statistic and qualitative techniques. Second, a bubble detection algorithm is deployed over the Bitcoin series detecting 11 episodes. It is then analyzed the reasons behind such events. The results indicate the existence of three stages in the series: the oldest related with government intervention, second a speculative bubble and third a stabilization period related with the evolution of the market. Third, with these results a Value at Risk and Expected Shortfall methodology with the Normal Inverse Gaussian (NIG) distribution is presented as an argument to use this specification for further developments. Fourth, determined the capability of NIG to fit data (even above the general distribution) a multivariate rolling window estimation is used in trivariate baskets of financial assets. With the parameters adjusted to the statistical properties, the asset allocation problem is set to find the optimal weights that reduce risk. The results show the transition of Bitcoin from being a speculative asset with almost zero weight, to develop a hedging capability in the commodity portfolio.
- Relations of the financial and energy markets in BRIC economies(Instituto Tecnológico y de Estudios Superiores de Monterrey) Sánchez Ruenes, Eduardo; Cerecedo Hernández, Daniel; dnbsrp; Núñez Mora, José Antonio; Mata Mata, Leovardo; EGADE Business School; Campus Santa FeBRIC acronym has been widely used since its creation by Jim O'Neill in 2001. Numerous studies and research have emerged from the a priori integration of these four nations: Brazil, Russia, India and China, not mentioning the derived denominations after their origin where some other countries are added to the originals. The initial research question and that marked the guideline of our entire study was to reflect on the existence of a related group that can be studied and treated as a block, or, if on the other hand, we were facing 4 different economies, grouped initially just by sharing certain characteristics at a specific time. In this study, we resolved to answer this question in a specific context: dealing with market index and oil mix variables in periods that include volatility and crisis events. To approximate an answer, we fitted the series of study variables to Normal Inverse Gaussian distribution. Additionally, we calculated risk measures and built investment portfolios through Markowitz theory assuming different combinations of our research financial instruments. The evidence showed possibilities for portfolio optimization through diversified instruments from the BRIC countries. Therefore, in our particular field of study, we conclude that the term of the BRIC block should be limited as a group of related countries.
- Markets never give in: an asset price bubble analysis(Instituto Tecnológico y de Estudios Superiores de Monterrey) Franco Ruiz, Carlos Armando; Cerecedo Hernández, Daniel; puelquio; Benavides Perales, Guillermo; EGADE Business School; Campus Santa Fe; Núñez Mora, José AntonioThis thesis aims to analyze asset price bubbles, where we developed, in Chapter I, a brief historical crashes description and a bibliometric analysis of 2,494 articles. In Chapter II, we studied the presence of financial bubbles in fifty stocks that constitute the S&P 500 index, using the generalized augmented Dickey-Fuller (GSADF) test proposed by Phillips et al. (2011, 2015). We found one hundred six bubbles in fifteen assets and detected that in the last decade (2010-2020), there is an increasing pace of this phenomenon. In Chapter III, we developed the ability of the Normal Inverse Gaussian distribution (NIG) to fit the returns of eight stocks where we found in the previous chapter at least one bubble-type behavior in the period from January 3, 2000, to December 31, 2009 (1P), and from January 4, 2010, to April 29, 2020 (2P). For the first period, the NIG could fit the mentioned segment; therefore, we estimate at different levels of confidence the VaR and CVaR for the in-sample-data (1P). We took the maximum expected loss and shortfall values and applied them to the out-of-the-sample (2P). In conclusion, we obtained a good adjustment to the second period (2P) and found the NIG differences compared to the Generalized Hyperbolic (GH) are just marginal. At the same time, we benefit the NIG is close under convolution and minor computational effort evaluation. In Chapter IV, we implemented a model-based clustering method of the Gaussian mixture model to categorize previously identified asset price bubbles and three dropdown scenarios of the S&P 500 index for 2020. We took an approach based on the price-driven identification: bubble size and crash size. We obtained different Gaussian cluster models and concluded that the Gaussian mixture model is a gold standard for further investigations. Finally, in Chapter V, we developed the previous chapters' final remarks that include all supervisors' valuable feedback.