Mexican Stock Exchange Performance after the Crisis of 2008: Application of Data Mining

  • Eliseo Ramírez Reyes Universidad Nacional Autónoma de México
  • Arturo Morales Castro Universidad Nacional Autónoma de México
  • Néstor Juan Sanabria Landazábal Universidad Autónoma del Caribe


Different prediction models are explored to analyze the performance of the Mexican Stock Exchange (PQI) after the 2008 crisis. These models have demonstrated a good prognostic capacity for both multivariable and univariable approaches given their non-parametric characteristics. The selected variables were: Dow Jones Industrial Average Index (DJIA), CPI, International Reserves (IR), CETES28, USDMX exchange rate, (M1) and the sovereign default risk of Mexico (MRDS). The models were evaluated with MAPE and compared with linear regression models (LR) and neural networks (NN). The results show that the models have a similar performance according to the percentages of error they presented.

Author Biography

Eliseo Ramírez Reyes, Universidad Nacional Autónoma de México

Facultad de Contaduría y Administración


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