Science-advisor
REGISTER info/FAQ
Login
username
password
     
forgot password?
register here
 
Research articles
  search articles
  reviews guidelines
  reviews
  articles index
My Pages
my alerts
  my messages
  my reviews
  my favorites
 
 
Stat
Members: 3643
Articles: 2'487'895
Articles rated: 2609

29 March 2024
 
  » arxiv » 0809.4570

 Article overview


Stock market volatility: An approach based on Tsallis entropy
Sonia R. Bentes ; Rui Menezes ; Diana A. Mendes ;
Date 26 Sep 2008
AbstractOne of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known traditional techniques in the literature to measure stock market volatility, a central point in this debate that constitutes the actual scope of this paper is to compare this common approach in which we discuss such popular techniques as the standard deviation and an innovative methodology based on Econophysics. In our study, we use the concept of Tsallis entropy to capture the nature of volatility. More precisely, what we want to find out is if Tsallis entropy is able to detect volatility in stock market indexes and to compare its values with the ones obtained from the standard deviation. Also, we shall mention that one of the advantages of this new methodology is its ability to capture nonlinear dynamics. For our purpose, we shall basically focus on the behaviour of stock market indexes and consider the CAC 40, MIB 30, NIKKEI 225, PSI 20, IBEX 35, FTSE 100 and SP 500 for a comparative analysis between the approaches mentioned above.
Source arXiv, 0809.4570
Services Forum | Review | PDF | Favorites   
 
Visitor rating: did you like this article? no 1   2   3   4   5   yes

No review found.
 Did you like this article?

This article or document is ...
important:
of broad interest:
readable:
new:
correct:
Global appreciation:

  Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.

browser claudebot






ScienXe.org
» my Online CV
» Free


News, job offers and information for researchers and scientists:
home  |  contact  |  terms of use  |  sitemap
Copyright © 2005-2024 - Scimetrica