Massimiliano Frezza
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| An information theory approach to stock market liquidity Chaos | 2024-08-26 | Paper |
| A distribution-based method to gauge market liquidity through scale invariance between investment horizons Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
| Rough volatility via the Lamperti transform Communications in Nonlinear Science and Numerical Simulation | 2023-11-01 | Paper |
| Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity Communications in Nonlinear Science and Numerical Simulation | 2023-04-21 | Paper |
| Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process Computational Management Science | 2022-04-20 | Paper |
| Goodness of fit assessment for a fractal model of stock markets Chaos, Solitons and Fractals | 2016-11-14 | Paper |
Research outcomes over time
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