Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents

We perform non-linear analysis on stock market indices using time-dependent extended Tsallis statistics. Specifically, we evaluate the q-triplet for particular time periods with the purpose of demonstrating the temporal dependence of the extended characteristics of the underlying market dynamics. We...

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Bibliographic Details
Published in:	Physica A Vol. 578; p. 126121
Main Authors:	Antoniades, I.P., Karakatsanis, L.P., Pavlos, E.G.
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 15.09.2021
Subjects:	Complexity metrics DAX Generalized Hurst exponent LSE NIKKEI S&P 500 Stock markets Tsallis statistical q-triplet Complexity metrics Tsallis statistical q-triplet DAX S&P 500 Stock markets NIKKEI Generalized Hurst exponent LSE
ISSN:	0378-4371, 1873-2119
Online Access:	Get full text
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