A multifractal approach for stock market inefficiency

By Luciano Zunino, Benjamin Miranda Tabak, A. Figliola, D. Pérez, M. Garavaglia, Osvaldo A. Rosso. 2008

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Statistical properties and multifractality of Bitcoin (2017, background): “An especially interesting application of multifractal analysis is measuring the degree of multifractality of time series, which can be related to the degree of efficiency of financial markets[36, 37, 38, 39].”
Finite-size effect and the components of multifractality in financial volatility (2009, methodology): “There is also empirical evidence suggesting that multifractal analysis can be used to quantify the degree of inefficiency of markets in the sense that more developed stock markets have weaker multifractality [54,55] and an emerging market evolves to be more efficient with narrowing singularity width”
An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014, methodology): “[3] found that an inefficiency ranking could be taken from multifractal analysis using MF-DFA.”