AMIM

CRANAMIMMaRDI QIDQ5983623

Compute the Adjusted Market Inefficiency Measure

Vu le Tran

Last update: 7 July 2023

Software version identifier: 1.0.0

Copyright license: MIT license, File License

Description

Fast tool to calculate the Adjusted Market Inefficiency Measure following Tran & Leirvik (2019) <doi:10.1016/j.frl.2019.03.004>. This tool provides rolling window estimates of the Adjusted Market Inefficiency Measure for multiple instruments simultaneously.

Cites work

• A simple but powerful measure of market efficiency