Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Efficiency of the financial markets during the COVID-19 crisis:
  time-varying parameters of fractional stable dynamics   This paper investigates the impact of COVID-19 on financial markets. It
focuses on the evolution of the market efficiency, using two efficiency
indicators: the Hurst exponent and the memory parameter of a fractional
L\'evy-stable motion. The second approach combines, in the same model of
dynamic, an alpha-stable distribution and a dependence structure between price
returns. We provide a dynamic estimation method for the two efficiency
indicators. This method introduces a free parameter, the discount factor, which
we select so as to get the best alpha-stable density forecasts for observed
price returns. The application to stock indices during the COVID-19 crisis
shows a strong loss of efficiency for US indices. On the opposite, Asian and
Australian indices seem less affected and the inefficiency of these markets
during the COVID-19 crisis is even questionable.

36
The categories of this paper are: cmp-lg
34
The categories of this paper are: chem-ph
19
The categories of this paper are: eess
28
The categories of this paper are: alg-geom
33
The categories of this paper are: plasm-ph
30
The categories of this paper are: q-alg
2
The categories of this paper are: math
15
The categories of this paper are: nucl-ex
4
The categories of this paper are: cond-mat
35
The categories of this paper are: mtrl-th
13
The categories of this paper are: quant-ph
37
The categories of this paper are: supr-con
14
The categories of this paper are: math-ph
25
The categories of this paper are: patt-sol
3
The categories of this paper are: physics
24
The categories of this paper are: dg-ga