Augusto Pianese

affiliation not provided to SSRN

SCHOLARLY PAPERS

6

DOWNLOADS

477

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (6)

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 (237,617)

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 (362,480)
Citation 1

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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 (527,460)

Abstract:

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multifractional Brownian motion, portfolio’s selection, Hurst exponent

4.

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

5.

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

6.

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

Other Papers (1)

Total Downloads: 138
1.

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