Sergio Bianchi

University of Cassino

Full Professor

Via S. Angelo - Campus Folcara

Dept. of Economics and Law

Cassino, 03043

Italy

http://www.docente.unicas.it/sergio_bianchi

SCHOLARLY PAPERS

19

DOWNLOADS

1,125

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (19)

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
University of Cassino, University of Cassino and affiliation not provided to SSRN
Downloads 239 (237,882)

Abstract:

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financial modeling, multifractional processes, simulation, goodness of fit

2.

Multifractional Processes in Finance

Number of pages: 28 Posted: 27 Sep 2013
Sergio Bianchi and Augusto Pianese
University of Cassino and University of Cassino
Downloads 182 (305,882)
Citation 1

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3.

Global Asset Return in Pension Funds: A Dynamical Risk Analysis

Mathematical Methods in Economics and Finance, Vol. 3, No. 2, pp. 1-16
Number of pages: 16 Posted: 18 Jul 2011
Sergio Bianchi and Alessandro Trudda
University of Cassino and Università degli Studi di Sassari
Downloads 146 (369,044)

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pension funds, risk control, multifractional Brownian motion

4.

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
University of Cassino, University of Cassino and affiliation not provided to SSRN
Downloads 89 (528,027)

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multifractional Brownian motion, portfolio’s selection, Hurst exponent

5.

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 (535,388)

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multifractional processes with random exponents, declustering, residuals

6.

Local Estimation of Stock Market Efficiency

Number of pages: 6 Posted: 29 Feb 2012
University of Cassino, University of Cassino and University of Cassino
Downloads 78 (571,594)

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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 (575,919)

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Multifractional Brownian Motion, Pointwise Regularity, Cross-Correlation

8.

A New Distribution-Based Test of Self-Similarity

Fractals-Complex Geometry Patterns and Scaling in Nature and Society, Vol. 12, No. 3, pp. 331-346, 2004
Number of pages: 16 Posted: 18 Jul 2011
Sergio Bianchi
University of Cassino
Downloads 67 (621,330)

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distance, fractional Brownian motion, Kolmogorov-Smirnov test, self-similarity

9.

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 (641,402)
Citation 1

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Declustering, GARCH, Multifractional Processes with Random Exponents, Residuals

10.

Multiscaling in the Distribution of the Exchange Rates

WSEAS Transactions on Mathematics, Vol. 6, No. 2, pp. 354-360, 2006
Number of pages: 7 Posted: 18 Jul 2011 Last Revised: 30 Jul 2011
Sergio Bianchi and Augusto Pianese
University of Cassino and University of Cassino
Downloads 60 (657,255)

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scaling, self-similarity, FX markets

11.

Testing Self-Affinity of Stock Returns

RENDICONTI PER GLI STUDI ECONOMICI QUANTITATIVI, pp. 26-43, 1999
Number of pages: 20 Posted: 18 Jul 2011
Sergio Bianchi
University of Cassino
Downloads 37 (804,841)

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self-affinity, Kolmogorov-Smirnov statistics

12.

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
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

13.

Demographic Dynamics for the Pay - as - You - Go Pension System

PURE MATHEMATICS AND APPLICATIONS, Vol. 15, pp. 357-374
Posted: 18 Jul 2011
University of Cassino, Sapienza University of Rome, Sapienza University of Rome and affiliation not provided to SSRN

Abstract:

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pay - as - you - go pension system, Leslie type model, population dynamics, demographic equilibrium

14.

Pathwise Identification of the Memory Function of the Multifractional Brownian Motion with Application to Finance

International Journal of Theoretical and Applied Finance, Vol. 8, No. 2, pp. 255-281, 2005
Posted: 18 Jul 2011
Sergio Bianchi
University of Cassino

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multifractional Brownian motion, LRD estimators, financial markets

15.

A Cautionary Note on the Detection of Multifractal Scaling in Finance and Economics

Applied Economics Letters, Vol. 12, No. 12, pp. 775-780, 2005
Posted: 18 Jul 2011
Sergio Bianchi
University of Cassino

Abstract:

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multifractional processes, multifractal processes, financial markets

16.

Modeling Stock Price Movements: Multifractality or Multifractionality?

Quantitative Finance, Vol. 7, No. 3, pp. 301-319
Posted: 18 Jul 2011
Sergio Bianchi and Augusto Pianese
University of Cassino and affiliation not provided to SSRN

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multifractals, MMAR, multifractionality, stock prices

17.

Scaling Laws in Stock Markets: An Analysis of Prices and Volumes

MATHEMATICAL AND STATISTICAL METHODS FOR INSURANCE AND FINANCE, Vol. XIV, pp. 35-42, Perna, Cira, Sibillo, Marilena, eds., Springer, 2008
Posted: 18 Jul 2011 Last Revised: 30 Jul 2011
Sergio Bianchi and Augusto Pianese
University of Cassino and University of Cassino

Abstract:

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scaling, self-similarity, stock indexes

18.

Fractal Properties of Some European Electricity Markets

INTERNATIONAL JOURNAL OF FINANCIAL MARKETS AND DERIVATIVES, Vol. 1, No. 4, pp. 395-421, NYU Tandon Research Paper No. 1886395
Posted: 15 Jul 2011
Sergio Bianchi, Iva De Bellis and Augusto Pianese
University of Cassino, University of Cassino and affiliation not provided to SSRN

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Electricity Markets, Multifractional Brownian Motion, Pointwise Hölder Exponent, Multifractal Model of Asset Return, MMAR, Italy, Germany, Nord Pool

19.

Multifractional Properties of Stock Indices Decomposed by Filtering Their Pointwise Holder Regularity

International Journal of Theoretical and Applied Finance, Vol. 11, No. 6, pp. 567-595, 2008
Posted: 02 Dec 2009 Last Revised: 01 Aug 2011
Sergio Bianchi and Augusto Pianese
University of Cassino and University of Cassino

Abstract:

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Multifractional Brownian motion, pointwise Hoelder exponent estimation, stock price process

Other Papers (4)

Total Downloads: 518
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

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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
University of Cassino, University of Cassino and affiliation not provided to SSRN
Downloads 138

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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

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

4.

Sustainability of a Pay-as-You-Go Pension System by Dynamic Immigration Control

Posted: 18 Jul 2011 Last Revised: 01 Aug 2011
Sapienza University of Rome, Sapienza University of Rome, University of Cassino and affiliation not provided to SSRN

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dynamic demographic model, demographic equilibrium, optimal immigration control