Financial Return Distributions: Past, Present, and COVID-19

Financial Return Distributions: Past, Present, and COVID-19

We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017–2020, we model tails of the return distributions at different time scales b...

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Bibliographic Details
Main Authors: Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Entropy
Subjects:
return distributions
power-law tails
stretched exponentials
<i>q</i>-Gaussians
financial markets
COVID-19
Online Access:https://www.mdpi.com/1099-4300/23/7/884

Internet

https://www.mdpi.com/1099-4300/23/7/884

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