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Details about Sergio Bianchi

Homepage:https://web.uniroma1.it/memotef/en/users/bianchi-sergio
Workplace:Dipartimento di Metodi e modelli per l'economia, il territorio e la finanza (MEMOTEF) (Department of Methods and Models for Economics, Territory and Finance), Facoltà di Economia (Faculty of Economics), "Sapienza" Università di Roma (Sapienza University of Rome), (more information at EDIRC)

Access statistics for papers by Sergio Bianchi.

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

Short-id: pbi426


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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

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

2008

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

2004

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

2001

  1. 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) Downloads

2022

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

2021

  1. Fractal analysis of market (in)efficiency during the COVID-19
    Finance Research Letters, 2021, 38, (C) Downloads View citations (11)

2020

  1. 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 Downloads View citations (1)
  2. On the asymptotic equilibrium of a population system with migration
    Insurance: Mathematics and Economics, 2020, 92, (C), 115-127 Downloads

2018

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

2015

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

2014

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

2013

  1. Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
    Quantitative Finance, 2013, 13, (8), 1317-1330 Downloads View citations (17)

2010

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

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 Downloads View citations (3)

2007

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

2005

  1. A cautionary note on the detection of multifractal scaling in finance and economics
    Applied Economics Letters, 2005, 12, (12), 775-780 Downloads View citations (2)
  2. 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 Downloads View citations (18)

Chapters

2021

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

2015

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

2008

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