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

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

Massimiliano Frezza2020

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

Massimiliano Frezza · Sergio Bianchi · Augusto Pianese

49 citations·0/0 files stored·Finance research letters

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies COVID-19 Pandemic Impacts

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1968Fractional Brownian Motions, Fractional Noises and Applications 1999Continuous Martingales and Brownian Motion 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices

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Year2020

Typearticle

Published2020-11-19

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations49

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.frl.2020.101851

openalex_workW3100340568

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