Details about Sergio Bianchi

Access statistics for papers by Sergio Bianchi.

Last updated 2009-10-09. Update your information in the RePEc Author Service.

Short-id: pbi146

Working Papers

2009

1. Financial Portfolio Selection in a Nonstationary Gaussian Framework
   Working Papers, Universitatea Spiru Haret, Facultatea de Finante si Banci, Centrul de Cercetari Economico-Financiare Avansate

2008

2. Global Asset Return in Pension Funds: a dynamical risk analysis
   MPRA Paper, University Library of Munich, Germany

2004

3. A new distribution-based test of self-similarity
   MPRA Paper, University Library of Munich, Germany

2001

4. A Distribution-Based Method For Evaluating Multiscaling In Finance
   CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

Journal Articles

2008

1. MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
   International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (06), 567-595

2007

2. Modelling stock price movements: multifractality or multifractionality?
   Quantitative Finance, 2007, 7, (3), 301-319

2005

3. PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
   International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (02), 255-281 View citations

2004

4. Demographic dynamics for the pay-as-you-go pension system
   Pure Mathematics and Applications, 2004, 15, (4), 357-374