Augusto Pianese

MaRDI QIDQ320298zbMATH OpenFDO

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
Fair volatility in the fractional stochastic regularity model	2025-02-05	Paper
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
Efficient markets and behavioral finance: a comprehensive multifractional model Advances in Complex Systems	2024-06-14	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
On the asymptotic equilibrium of a population system with migration Insurance Mathematics & Economics	2020-08-03	Paper
The optimal rate of return for defined contribution pension systems in a stochastic framework Pure Mathematics and Applications	2020-02-26	Paper
Multifractional processes in finance Risk and Decision Analysis	2019-03-12	Paper
Fast and unbiased estimator of the time-dependent Hurst exponent Chaos: An Interdisciplinary Journal of Nonlinear Science	2018-06-13	Paper
Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets Chaos, Solitons and Fractals	2018-06-07	Paper
A comparison of two legislative approaches to the pay-as-you-go pension system in terms of adequacy. The Italian case Insurance Mathematics & Economics	2016-10-06	Paper
Minimum risk portfolios using MMAR	2016-05-04	Paper
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity Quantitative Finance	2014-02-20	Paper
Multifractional properties of stock indices decomposed by filtering their pointwise Hölder regularity International Journal of Theoretical and Applied Finance	2011-04-27	Paper
Scaling laws in stock markets. An analysis of prices and volumes	2008-03-20	Paper
Modelling stock price movements: multifractality or multifractionality? Quantitative Finance	2007-10-09	Paper
scientific article; zbMATH DE number 15083 (Why is no real title available?)	1992-06-25	Paper
scientific article; zbMATH DE number 4112211 (Why is no real title available?)	1988-01-01	Paper

Research outcomes over time

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