Modelization and Calibration of the Power-Law Distribution in Stock Market by Maximization of Varma Entropy

Table 4

Power-law distribution of return distribution of S&P 500.

Variable	R^2	Q
Δt = 10 min	0.9059	6.2323	0.45	37.34	−0.14	−139.80
Δt = 20 min	0.9660	6.4678	0.49	27.14	−0.15	−103.53
Δt = 30 min	0.9789	3.9423	0.34	28.28	−0.35	−133.50
Δt = 40 min	0.9741	4.2597	0.37	24.64	−0.30	−109.20
Δt = 50 min	0.9854	3.9922	0.36	22.94	−0.38	−108.61
Δt = 60 min	0.9798	3.0018	−0.14	−12.30	0.29	66.53
Δt = 70 min	0.9959	3.4815	0.34	21.33	−0.49	−108.72
Δt = 80 min	0.9733	3.0954	0.31	21.80	−0.19	19.44

¹Note. The data used are S&P 500 index of 2018 obtained from Wind.