Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
[HTML][HTML] Persistence in complex systems
Persistence is an important characteristic of many complex systems in nature, related to how
long the system remains at a certain state before changing to a different one. The study of …
long the system remains at a certain state before changing to a different one. The study of …
Comparative efficiency of green and conventional bonds pre-and during COVID-19: An asymmetric multifractal detrended fluctuation analysis
Motivated by the lack of research on price efficiency dynamics of green bonds and the
impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the …
impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the …
Asymmetric efficiency in petroleum markets before and during COVID-19
Petroleum markets encountered exceptional challenges during the outbreak period. In this
backdrop, the price dynamics in petroleum markets were also significantly influenced by …
backdrop, the price dynamics in petroleum markets were also significantly influenced by …
Asymmetric efficiency of cryptocurrencies during COVID19
In this study, we examine the asymmetric efficiency of cryptocurrencies using 1-hour data of
Bitcoin, Ethereum, Litecoin, and Ripple. In doing so, we utilize the asymmetric multifractal …
Bitcoin, Ethereum, Litecoin, and Ripple. In doing so, we utilize the asymmetric multifractal …
Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
In this study, we employ a TVP-FAVAR connectedness approach in order to investigate the
transmission mechanism in the cryptocurrency market. To this end, we concentrate on the …
transmission mechanism in the cryptocurrency market. To this end, we concentrate on the …
Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic
SY Choi - Physica A: Statistical Mechanics and Its Applications, 2021 - Elsevier
In this study, we test the efficient market hypothesis for a number of sectors in the US stock
market during the COVID-19 pandemic to identify its effects on individual sectors. To test this …
market during the COVID-19 pandemic to identify its effects on individual sectors. To test this …
The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies
A Sensoy - Finance Research Letters, 2019 - Elsevier
We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars
(BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We …
(BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We …
COVID-19 and financial market efficiency: Evidence from an entropy-based analysis
This study assesses the market efficiency of S&P 500 Index, gold, Bitcoin and US Dollar
Index during the extreme event of COVID-19 pandemic. Market efficiency is estimated by a …
Index during the extreme event of COVID-19 pandemic. Market efficiency is estimated by a …
[HTML][HTML] Efficiency in the markets of crypto-currencies
We show that the level of market-efficiency in the five largest cryptocurrencies is highly time-
varying. Specifically, before 2017, cryptocurrency-markets are mostly inefficient. This …
varying. Specifically, before 2017, cryptocurrency-markets are mostly inefficient. This …