Financial markets and financial data have been studied from different perspectives employing various types of tools. This is due to the growing importance of the financial indices as useful indicators of the economic health of a country [25]. However, equilibrium model and Efficient Market Hypothesis have failed to capture the essential characteristics of such markets including the explanation of the stylized facts [10]. One of the major reasons for this failure is the “complex” nature of financial markets, made up of different entities such as traders, speculators, hedgers, etc. interacting among themselves through non-linear mechanisms and trying to obtain the greatest profit [17].