Alexandre Pantanella

University of Cassino

Via S. Angelo, Loc. Folcara

Cassino, Frosinone 03043

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

860

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (9)

1.

Modeling and Simulation of Currency Exchange Rates Using MPRE

2010 International Conference on Modeling, Simulation and Control, pp. 148-153, Cairo Egypt
Number of pages: 6 Posted: 18 Jul 2011 Last Revised: 30 Jul 2011
Sergio Bianchi, Alexandre Pantanella and Augusto Pianese
University of Cassino, University of Cassino and affiliation not provided to SSRN
Downloads 239 (237,953)

Abstract:

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financial modeling, multifractional processes, simulation, goodness of fit

2.

Minimum Risk Portfolios Using MMAR

MCBE'09 Proceedings of the 10th WSEAS International Conference on Mathematics and Computers in Business and Economics
Number of pages: 8 Posted: 18 Jul 2011
Alexandre Pantanella and Augusto Pianese
University of Cassino and affiliation not provided to SSRN
Downloads 149 (362,979)
Citation 1

Abstract:

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multifractal model of asset returns, portfolio’s selection, Hurst’s exponent, risk measure, Sharpe ratio

3.

Financial Portfolio Selection in a Nonstationary Gaussian Framework

The Role of the University in the Analysis of Current Economic Crisis - Spiru Haret University, Bucharest: România de Mâine Publishing House, Vol. 1, pp. 619-627, May 28, 2009
Number of pages: 9 Posted: 18 Jul 2011
Sergio Bianchi, Alexandre Pantanella and Augusto Pianese
University of Cassino, University of Cassino and affiliation not provided to SSRN
Downloads 89 (528,160)

Abstract:

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multifractional Brownian motion, portfolio’s selection, Hurst exponent

4.

Stock Returns Declustering Under Time Dependent Hölder Exponent

2010 International Conference on E-business, Management and Economics, pp. 14-21, Hong Kong,China, 2010
Number of pages: 7 Posted: 18 Jul 2011 Last Revised: 30 Jul 2011
Sergio Bianchi and Alexandre Pantanella
University of Cassino and University of Cassino
Downloads 87 (535,516)

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multifractional processes with random exponents, declustering, residuals

5.

Local Estimation of Stock Market Efficiency

Number of pages: 6 Posted: 29 Feb 2012
Sergio Bianchi, Alexandre Pantanella and Augusto Pianese
University of Cassino, University of Cassino and University of Cassino
Downloads 78 (571,711)

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6.

Simulation of Historical Time Series Using MPRE, A Focus on Correlation in Squared Returns

Proceedings of the International Conference on Mathematics, Business and Economics 2011 IASI ROMANIA
Number of pages: 8 Posted: 16 Jul 2011 Last Revised: 20 Jul 2011
Alexandre Pantanella and Massimiliano Frezza
University of Cassino and affiliation not provided to SSRN
Downloads 78 (571,711)

Abstract:

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Multifractional Process with Random Exponent, Financial Time Series, Simulation, Autocorrelation, Stylized Facts

7.

Pointwise Regularity Exponents and Market Cross-Correlations

INTERNATIONAL REVIEW OF BUSINESS RESEARCH PAPERS, Vol. 6, No. 2, pp. 39-51
Number of pages: 13 Posted: 15 Jul 2011
Sergio Bianchi and Alexandre Pantanella
University of Cassino and University of Cassino
Downloads 77 (576,030)

Abstract:

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Multifractional Brownian Motion, Pointwise Regularity, Cross-Correlation

8.

Pointwise Regularity Exponents and Well-Behaved Residuals in Stock Markets

International Journal of Trade, Economics and Finance, Vol. 2, No. 1, pp. 52-60, NYU Tandon Research Paper No. 1886390
Number of pages: 9 Posted: 15 Jul 2011
Sergio Bianchi and Alexandre Pantanella
University of Cassino and University of Cassino
Downloads 63 (641,536)
Citation 1

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Declustering, GARCH, Multifractional Processes with Random Exponents, Residuals

9.

Modeling Stock Prices by Multifractional Brownian Motion: An Improved Estimation of the Pointwise Regularity

Quantitative Finance, Forthcoming, NYU Tandon Research Paper No. 1888288
Posted: 18 Jul 2011
Sergio Bianchi, Alexandre Pantanella and Augusto Pianese
University of Cassino, University of Cassino and affiliation not provided to SSRN

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multifractional Brownian motion, pointwise Hölder exponent, asset price dynamics, time varying parameter, applied finance

Other Papers (4)

Total Downloads: 555
1.

Efficiency, Overreaction and Underreaction in Stock Markets. A Parsimonious Model of the Three Sided-Coin

2nd International Conference on Financial Theory and Engineering, pp. 617-622, Shanghai (China), 2011
Number of pages: 6 Posted: 18 Jul 2011 Last Revised: 01 Aug 2011
Sergio Bianchi and Alexandre Pantanella
University of Cassino and University of Cassino
Downloads 309

Abstract:

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Efficient Market Hypothesis, underreaction, overreaction, multifractional processes with random exponent, pointwise hölder exponent, stock indices

2.

Efficient Market Hypothesis and Behavioural Finance: Reconciling the Opposites Through Multifractional Processes with Random Exponent

8th Applied Financial Economics (AFE) Conference, pp. 201-510, Samos Island, Greece, 2011
Number of pages: 10 Posted: 18 Jul 2011 Last Revised: 01 Aug 2011
Sergio Bianchi, Alexandre Pantanella and Augusto Pianese
University of Cassino, University of Cassino and affiliation not provided to SSRN
Downloads 138

Abstract:

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efficient market hypothesis, behavioural finance, multifractional processes, pointwise regularity

3.

Self-Similarity Parameter Estimation for K-Dimensional Processes

4th IEEE International Conference on Computer Science and Information Technology, Chengdu, China, June 10-12, 2011
Number of pages: 5 Posted: 18 Jul 2011 Last Revised: 01 Aug 2011
University of Cassino, University of Cassino, University of Cassino and University of Cassino
Downloads 71

Abstract:

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self-similar processes, fractional Brownian motion, estimator, algorithm

4.

Price Dynamics and Representativeness of Stock Indices: A Local Memory - Based Analysis

Atti del XVII Convegno di Teoria del rischio, Forthcoming
Number of pages: 16 Posted: 18 Jul 2011
Alexandre Pantanella and Anna Maria Palazzo
University of Cassino and University of Cassino
Downloads 37

Abstract:

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MPRE, DJIA, pointwise Hölder exponent, price dynamics