Tsallis entropy: Do the market size and liquidity matter?
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DOI: 10.1016/j.frl.2016.03.006
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References listed on IDEAS
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More about this item
Keywords
High frequency trading; Power laws; Tsallis distribution; Hurst exponent;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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