Fractal analysis of market (in)efficiency during the COVID-19
Year of publication: |
2021
|
---|---|
Authors: | Frezza, Massimiliano ; Bianchi, Sergio ; Pianese, Augusto |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 38.2021, p. 1-12
|
Subject: | COVID-19 pandemic | Efficient markets | Multifractional Brownian motion | Pointwise regularity exponent | Stochastischer Prozess | Stochastic process | Coronavirus | Effizienzmarkthypothese | Efficient market hypothesis | Epidemie | Epidemic | Effizienz | Efficiency |
-
On the efficiency of foreign exchange markets in times of the COVID-19 pandemic
Aslam, Faheem, (2020)
-
On the volatility and market inefficiency of Bitcoin during the COVID-19 pandemic
Rufino, Cesar C., (2023)
-
Adaptive market hypothesis : the story of the stock markets and COVID-19 pandemic
Okorie, David Iheke, (2021)
- More ...
-
Bianchi, Sergio, (2020)
-
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
Frezza, Massimiliano, (2022)
-
Liquidity, efficiency and the 2007-2008 global financial crisis
Bianchi, Sergio, (2018)
- More ...