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- W2084667602 abstract "We examine the dynamic properties of the daily returns of the Athens Stock Exchange General Index. The probability density and cumulative distribution functions are studied using the generalized non-extensive statistics framework. The multifractal properties are investigated by application of wavelet transform modulus maxima and multifractal detrended fluctuation analysis methods. The generalized Hurst exponent, saturating for large moment values, shows a significant multifractality range which is connected to the inefficiency of the market, compared to the matured markets." @default.
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- W2084667602 date "2010-01-01" @default.
- W2084667602 modified "2023-09-27" @default.
- W2084667602 title "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index" @default.
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- W2084667602 doi "https://doi.org/10.1016/j.irfa.2009.11.005" @default.
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