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How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
16 references·0 citing·46 second hop
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality (2023)How does price (in)efficiency influence c…Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis (2021)Comparative efficiency of gre…Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)Impact of COVID-19 outbreak o…How the cryptocurrency market has performed during COVID 19? A multifractal analysis (2020)How the cryptocurrency market…Asymmetric efficiency of cryptocurrencies during COVID19 (2020)Asymmetric efficiency of cryp…Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Efficiency, multifractality, …Decision-making for financial trading: A fusion approach of machine learning and portfolio selection (2018)Decision-making for financial…The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research (2015)The Efficient Market Hypothes…Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market (2013)Use of DEA cross-efficiency e…Do industries lead stock markets? (2006)Do industries lead stock mark…Portfolio selection using neural networks (2005)Portfolio selection using neu…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…On estimating the expected return on the market (1980)On estimating the expected re…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection (1952)Heuristics for cardinality constrained portfolio optimisation (2000)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Particle swarm optimization approach to portfolio optimization (2008)Twenty years of linear programming based portfolio optimization (2013)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor attention, overconfidence and category learning (2006)Economic Links and Predictable Returns (2008)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! 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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2006Do industries lead stock markets?672 cited
  • 2005Portfolio selection using neural networks310 cited
  • 2020How the cryptocurrency market has performed during COVID 19? A multifractal analysis294 cited
  • 2020Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices289 cited
  • 2018Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets287 cited
  • 2018Decision-making for financial trading: A fusion approach of machine learning and portfolio selection276 cited
  • 2021Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis217 cited
  • 2013Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market197 cited

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  • 2020Asymmetric efficiency of cryptocurrencies during COVID19173 cited
  • 2015The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research169 cited
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