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Fractal analysis of market (in)efficiency during the COVID-19

Using the multifractional Brownian motion as a model of the price dynamics, we analyze the impact of the COVID-19 pandemic on the efficiency of fifteen financial markets from Europe, US and Asia. We find that Asian markets (Hang Seng, Nikkei 225, Kospi) have recovered full efficiency, while European...

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Detalles Bibliográficos
Autores principales: Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761193/
https://www.ncbi.nlm.nih.gov/pubmed/36569648
http://dx.doi.org/10.1016/j.frl.2020.101851