Massimiliano Frezza

Available identifiers

Publication	Date of Publication	Type
An information theory approach to stock market liquidity	2024-08-26	Paper
A distribution-based method to gauge market liquidity through scale invariance between investment horizons	2024-07-25	Paper
Rough volatility via the Lamperti transform	2023-11-01	Paper
Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity	2023-04-21	Paper
Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process	2022-04-20	Paper
Goodness of fit assessment for a fractal model of stock markets	2016-11-14	Paper

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