Sergio Bianchi

Publications

Title Published on Year
Liquidity, Efficiency and the 2007-2008 Global Financial Crisis ANNALS OF ECONOMICS AND FINANCE 2018
Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets CHAOS, SOLITONS AND FRACTALS 2018
Fast and unbiased estimator of the time-dependent Hurst exponent CHAOS 2018
A demographic model with migration for a PAYG pension system Working Papers MEMOTEF 2017
Fractal stock markets: International evidence of dynamical (in)efficiency CHAOS 2017
Analisi delle ricadute PET sul territorio della provincia di Frosinone e relativa individuazione del fabbisogno formativo. Nuove figure professionali nell'ambito del fabbisogno formativo Analisi delle ricadute PET sul territorio della provincia di Frosinone e relativa individuazione del fabbisogno formativo. Nuove figure professionali nell'ambito del fabbisogno formativo 2017
Assessing market (in)efficiency Colloque MAF 2016 2016
Liquidity and Self-Similarity in the Distributions of the log price variations Proceedings of the 7th Annual Financial Market Liquidity Conference 2016
Asset price modeling: from Fractional to Multifractional Processes Future Perspectives in Risk Models and Finance 2015
Efficient markets and behavioral finance: a comprehensive multifractional model ADVANCES IN COMPLEX SYSTEM 2015

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

Progetti di Ricerca

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