194 citations · 518 across the 5 of their papers we have counts for
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q-fin.ST2013
Commodity futures and market efficiency
Ladislav Kristoufek, Miloslav Vosvrda
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently…
q-fin.ST2013★ 88 cited
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Ladislav Kristoufek, Miloslav Vosvrda
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are ab…