Sergio Bianchi

Publications

Title	Published on	Year
An information theory approach to stock market liquidity	CHAOS	2024
Fair Volatility in the Fractional Stochastic Regularity Model	MAF 2024, Mathematical and Statistical Methods for Actuarial Sciences and Finance,	2024
Nonlinearity of the volume–volatility correlation filtered through the pointwise Hurst–Hölder regularity	COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION	2023
Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model	CHAOS, SOLITONS & FRACTALS	2023
Rough volatility via the Lamperti transform	COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION	2023
Modelling H-Volatility with Fractional Brownian Bridge	Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2022	2022
Forecasting VIX with Hurst Exponent	Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2022	2022
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process	COMPUTATIONAL MANAGEMENT SCIENCE	2021
A distribution-based method to gauge market liquidity through scale invariance between investment horizons	APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY	2020
On the asymptotic equilibrium of a population system with migration	INSURANCE MATHEMATICS & ECONOMICS	2020
A new estimator of the self-similarity exponent through the empirical likelihood ratio test	JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION	2020
The Origins of Randomness: Granularity, Information and Speed of Convergence	MATHEMATICAL METHODS IN ECONOMICS AND FINANCE	2020
Introduction to the special issue: Fractional and multifractional models and methods in finance	MATHEMATICAL METHODS IN ECONOMICS AND FINANCE	2020
Stochastic dominance in the outer distributions of the alfa-efficiency domain	Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2020	2020
Matematica e cognizione giurisdizionale	DIRITTO PUBBLICO EUROPEO. RASSEGNA ONLINE	2020
Fractal analysis of market (in)efficiency during the COVID-19	FINANCE RESEARCH LETTERS	2020
L’impatto della pandemia Covid-19 sull’efficienza dei mercati azionari	DEMOCRAZIA E DIRITTI SOCIALI	2020
Matematica e Cognizione Giurisdizionale	Processi cognitivi e cognizione giurisdizionale	2020
A distribution-based method to gauge market liquidity through scale invariance between investment horizons	Proceedings of the 12th International Conference of the ERCIM WG on Computational and Methodological Statistics	2019
Special Issue: Fractional Calculus and its Applications	RISK AND DECISION ANALYSIS	2018

ERC

PE1_15
PE1_22
SH1_4

Interessi di ricerca

Keywords

self-similarity

fractional Brownian motion

fractional calculus

Multifractional Brownian motion

asset pricing

asset price bubbles

stock markets

financial crises

Publications

ERC

Interessi di ricerca

Keywords

Progetti di Ricerca