Sergio Bianchi

Pubblicazioni

Titolo Pubblicato in Anno
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
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

ERC

  • PE1_15
  • PE1_22
  • SH1_4

Interessi di ricerca

Financial modelling 

Keywords

self-similarity
fractional Brownian motion
fractional calculus
Multifractional Brownian motion
asset pricing
asset price bubbles
stock markets
financial crises

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