  One of the major issues studied in finance that has always intrigued, both
scholars and practitioners, and to which no unified theory has yet been
discovered, is the reason why prices move over time. Since there are several
well-known traditional techniques in the literature to measure stock market
volatility, a central point in this debate that constitutes the actual scope of
this paper is to compare this common approach in which we discuss such popular
techniques as the standard deviation and an innovative methodology based on
Econophysics. In our study, we use the concept of Tsallis entropy to capture
the nature of volatility. More precisely, what we want to find out is if
Tsallis entropy is able to detect volatility in stock market indexes and to
compare its values with the ones obtained from the standard deviation. Also, we
shall mention that one of the advantages of this new methodology is its ability
to capture nonlinear dynamics. For our purpose, we shall basically focus on the
behaviour of stock market indexes and consider the CAC 40, MIB 30, NIKKEI 225,
PSI 20, IBEX 35, FTSE 100 and SP 500 for a comparative analysis between the
approaches mentioned above.
