Tsallis entropy: Do the market size and liquidity matter?
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References listed on IDEAS
- Onali, Enrico & Goddard, John, 2011.
"Are European equity markets efficient? New evidence from fractal analysis,"
International Review of Financial Analysis,
Elsevier, vol. 20(2), pages 59-67, April.
- Enrico Onali & John Goddard, 2014. "Are European equity markets efficient? New evidence from fractal analysis," Papers 1402.1440, arXiv.org.
- Fredrick Michael & M. D. Johnson, 2001. "Financial Market Dynamics," Papers cond-mat/0108017, arXiv.org.
- Silvio M. Duarte Queiros & Constantino Tsallis, 2004. "Bridging the ARCH model for finance and nonextensive entropy," Papers cond-mat/0401181, arXiv.org, revised Jan 2004.
- Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
More about this item
KeywordsHigh frequency trading; Power laws; Tsallis distribution; Hurst exponent;
- 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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