Sergio Bianchi
Names
| first: |
Sergio |
| last: |
Bianchi |
Identifer
Contact
Affiliations
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"Sapienza" Università di Roma
/ Facoltà di Economia
/ Dipartimento di Metodi e modelli per l'economia, il territorio e la finanza (MEMOTEF)
Research profile
author of:
- A Distribution-Based Method For Evaluating Multiscaling In Finance (RePEc:ams:cdws01:4a.3)
by Sergio Bianchi - Liquidity, Efficiency and the 2007-2008 Global Financial Crisis (RePEc:cuf:journl:y:2018:v:19:i:2:bianchi:frezza)
by Sergio Bianchi & Massimiliano Frezza - Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets (RePEc:eee:chsofr:v:109:y:2018:i:c:p:64-75)
by Bianchi, Sergio & Pianese, Augusto - Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model (RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004514)
by Angelini, Daniele & Bianchi, Sergio - Fractal analysis of market (in)efficiency during the COVID-19 (RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316652)
by Frezza, Massimiliano & Bianchi, Sergio & Pianese, Augusto - On the asymptotic equilibrium of a population system with migration (RePEc:eee:insuma:v:92:y:2020:i:c:p:115-127)
by Pianese, Augusto & Attias, Anna & Bianchi, Sergio & Varga, Zoltàn - Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models (RePEc:hal:journl:hal-01816206)
by Pierre Raphaël Bertrand & Jean-Louis Combes & Marie-Eliette Dury & Doha Hadouni & Sergio Bianchi - Fractal properties of some European electricity markets (RePEc:ids:ijfmkd:v:1:y:2010:i:4:p:395-421)
by Sergio Bianchi & Iva De Bellis & Augusto Pianese - Global Asset Return in Pension Funds: a dynamical risk analysis (RePEc:pra:mprapa:12011)
by Sergio, Bianchi & Alessandro, Trudda - A new distribution-based test of self-similarity (RePEc:pra:mprapa:16640)
by Bianchi, Sergio - Multifractional processes in finance (RePEc:ris:iosrda:0001)
by Bianchi, Sergio & Pianese, Augusto - Financial Portfolio Selection in a Nonstationary Gaussian Framework (RePEc:ris:sphedp:2009_049)
by Bianchi, Sergio & Pantanella, Alexandre & Pianese, Augusto - Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process (RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00412-w)
by Massimiliano Frezza & Sergio Bianchi & Augusto Pianese - Asset Price Modeling: From Fractional to Multifractional Processes (RePEc:spr:isochp:978-3-319-07524-2_7)
by Sergio Bianchi & Augusto Pianese - Stochastic Dominance in the Outer Distributions of the $$\alpha $$ α -Efficiency Domain (RePEc:spr:sprchp:978-3-030-78965-7_15)
by Sergio Bianchi & Augusto Pianese & Massimiliano Frezza & Anna Maria Palazzo - Scaling Laws in Stock Markets. An Analysis of Prices and Volumes (RePEc:spr:sprchp:978-88-470-0704-8_5)
by Sergio Bianchi & Augusto Pianese - A cautionary note on the detection of multifractal scaling in finance and economics (RePEc:taf:apeclt:v:12:y:2005:i:12:p:775-780)
by Sergio Bianchi - Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (RePEc:taf:quantf:v:13:y:2013:i:8:p:1317-1330)
by S. Bianchi & A. Pantanella & A. Pianese - Modelling stock price movements: multifractality or multifractionality? (RePEc:taf:quantf:v:7:y:2007:i:3:p:301-319)
by Sergio Bianchi & Augusto Pianese - A distribution‐based method to gauge market liquidity through scale invariance between investment horizons (RePEc:wly:apsmbi:v:36:y:2020:i:5:p:809-824)
by Sergio Bianchi & Augusto Pianese & Massimiliano Frezza - Efficient Markets And Behavioral Finance: A Comprehensive Multifractional Model (RePEc:wsi:acsxxx:v:18:y:2015:i:01n02:n:s0219525915500010)
by Sergio Bianchi & Alexandre Pantanella & Augusto Pianese - Pathwise Identification Of The Memory Function Of Multifractional Brownian Motion With Application To Finance (RePEc:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002937)
by Sergio Bianchi - Multifractional Properties Of Stock Indices Decomposed By Filtering Their Pointwise Hölder Regularity (RePEc:wsi:ijtafx:v:11:y:2008:i:06:n:s0219024908004932)
by S. Bianchi & A. Pianese