Scale Free Tails in Colombian Financial Indexes: A Primer


  • Borradores de economía


  • A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free distribution, whereas none of the heavy tails of a local sovereign securities index (IDXTES) are a plausible case for such distribution. Results also (i) support critiques regarding the flaws of ordinary least squares estimation methods for scale-free distributions; (ii) question the validity of Zipf’s law; (iii) suggest that IGBC and TRM display the scale-free nature documented as a stylized fact of financial returns, and that they may be following a gradually truncated Lévy flight; and (v) suggest that local financial markets are self-organized systems.

fecha de publicación

  • 2014-03

Líneas de investigación

  • Financial Returns
  • Power-Law
  • Scale Free
  • Zipf’s Law


  • 11144