# Nonextensive triplets in stock market indices

## TL;DR

This study investigates the nonextensive statistical mechanics properties of 34 major stock market indices from 2010 to 2019, revealing differences between developed and developing markets and suggesting shared dynamics among some markets.

## Contribution

It extends nonextensive statistical mechanics analysis to stock market indices, highlighting differences between developed and developing markets and identifying shared nonextensive behaviors.

## Key findings

- Stock markets follow nonextensive statistics in equilibrium, relaxation, and sensitivity.
- Nonextensive behavior is observed in developed markets but not in developing ones.
- Some markets share similar nonextensive dynamics, indicating possible common underlying physics.

## Abstract

Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price volatilities for 34 major stock market indices between 2010 and 2019. We discover that stock markets follow nonextensive statistics regarding equilibrium, relaxation and sensitivity. We find nonextensive behavior in stock markets for developed countries, but not for developing countries. Distances between nonextensive triplets suggest that some stock markets might share similar nonextensive dynamics, while others are widely different. The current findings strongly indicate that the stock market represents a system whose physics is properly described by nonextensive statistical mechanics. Our results shed light on the complex nature of stock market indices, and establish another formal link with the nonextensive theory.