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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| 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 |