Massimiliano Frezza | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
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
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 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
Stochastic dominance in the outer distributions of the alfa-efficiency domain	Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2020	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
The volume-volatility relationship: A fractal analysis for a stock index	MATHEMATICAL METHODS IN ECONOMICS AND FINANCE	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
Liquidity, Efficiency and the 2007-2008 Global Financial Crisis	ANNALS OF ECONOMICS AND FINANCE	2018
A fractal-based approach for modeling stock price variations	CHAOS	2018
Fractal stock markets: International evidence of dynamical (in)efficiency	CHAOS	2017