The Impact of COVID-19 Crisis on Stock Markets’ Statistical Complexity

Figure 1

The sensitivity of to embedding dimension and series length. Note: Figure 1(a) simulates the C measure’s values (based on Jensen–Shannon divergence) as it results from applying this on a fractional Brownian motion with length N = 1,000 and varying the used embedding dimension between 2 and 11.

(a)

(b)