Augusto Pianese

University of Cassino

Via S. Angelo, Loc. Folcara

Cassino, Frosinone 03043

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

347

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

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 186 (302,124)
Citation 1

Abstract:

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2.

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 (575,626)

Abstract:

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3.

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 (661,552)

Abstract:

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scaling, self-similarity, FX markets

4.

Rough Volatility Via the Lamperti Transform

Number of pages: 20 Posted: 18 Jul 2023
Sapienza University of Rome - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF), affiliation not provided to SSRN, University of Cassino and affiliation not provided to SSRN
Downloads 23 (932,403)

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Rough volatility, fractional Ornstein-Uhlenbeck process, Self-similarity, Hurst-Hölder exponent

5.

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

6.

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 (1)

Total Downloads: 71
1.

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