S. Bianchi

Available identifiers

zbMath Open bianchi.sergioWikidataQ96106011 ScholiaQ96106011MaRDI QIDQ784400

List of research outcomes

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
Efficient markets and behavioral finance: a comprehensive multifractional model	2024-06-14	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
A new estimator of the self-similarity exponent through the empirical likelihood ratio test	2022-02-23	Paper
On the asymptotic equilibrium of a population system with migration	2020-08-03	Paper
Multifractional processes in finance	2019-03-12	Paper
Fast and unbiased estimator of the time-dependent Hurst exponent	2018-06-13	Paper
Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets	2018-06-07	Paper
Sustainability of a pay-as-you-go pension system by dynamic immigration control	2015-03-23	Paper
A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY	2015-01-08	Paper
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity	2014-02-20	Paper
The set covering problem on circulant matrices: polynomial instances and the relation with the dominating set problem on webs	2013-11-08	Paper
MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY	2011-04-27	Paper
https://portal.mardi4nfdi.de/entity/Q5448379	2008-03-20	Paper
Modelling stock price movements: multifractality or multifractionality?	2007-10-09	Paper
PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE	2005-05-06	Paper

Research outcomes over time

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