Details about Sergio Bianchi

Access statistics for papers by Sergio Bianchi.

Last updated 2024-02-05. Update your information in the RePEc Author Service.

Short-id: pbi426

Working Papers

2018

1. Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models
   Post-Print, HAL View citations (3)

2009

2. Financial Portfolio Selection in a Nonstationary Gaussian Framework
   Papers, Osterreichish-Rumanischer Akademischer Verein

2008

3. Global Asset Return in Pension Funds: a dynamical risk analysis
   MPRA Paper, University Library of Munich, Germany View citations (3)

2004

4. A new distribution-based test of self-similarity
   MPRA Paper, University Library of Munich, Germany View citations (4)

2001

5. 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

2023

1. Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model
   Chaos, Solitons & Fractals, 2023, 172, (C) View citations (3)

2022

2. Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
   Computational Management Science, 2022, 19, (1), 99-132

2021

3. Fractal analysis of market (in)efficiency during the COVID-19
   Finance Research Letters, 2021, 38, (C) View citations (12)

2020

4. A distribution‐based method to gauge market liquidity through scale invariance between investment horizons
   Applied Stochastic Models in Business and Industry, 2020, 36, (5), 809-824 View citations (1)
5. On the asymptotic equilibrium of a population system with migration
   Insurance: Mathematics and Economics, 2020, 92, (C), 115-127

2018

6. Liquidity, Efficiency and the 2007-2008 Global Financial Crisis
   Annals of Economics and Finance, 2018, 19, (2), 375-404
7. Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets
   Chaos, Solitons & Fractals, 2018, 109, (C), 64-75 View citations (3)

2015

8. EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL
   Advances in Complex Systems (ACS), 2015, 18, (01n02), 1-29 View citations (5)

2014

9. Multifractional processes in finance
   Risk and Decision Analysis, 2014, (5), 1-22 View citations (8)

2013

10. Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
    Quantitative Finance, 2013, 13, (8), 1317-1330 View citations (19)

2010

11. Fractal properties of some European electricity markets
    International Journal of Financial Markets and Derivatives, 2010, 1, (4), 395-421

2008

12. 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 View citations (3)

2007

13. Modelling stock price movements: multifractality or multifractionality?
    Quantitative Finance, 2007, 7, (3), 301-319 View citations (6)

2005

14. A cautionary note on the detection of multifractal scaling in finance and economics
    Applied Economics Letters, 2005, 12, (12), 775-780 View citations (2)
15. 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 (19)

Chapters

2021

1. Stochastic Dominance in the Outer Distributions of the $$\alpha $$ α -Efficiency Domain
   Springer

2015

2. Asset Price Modeling: From Fractional to Multifractional Processes
   Springer View citations (2)

2008

3. Scaling Laws in Stock Markets. An Analysis of Prices and Volumes
   Springer