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Fabio La Manna

Independent

Independent Researcher

SCHOLARLY PAPERS

3

DOWNLOADS

188

TOTAL CITATIONS

0

Ideas:
“  My research examines the structural properties of financial markets across changing regimes. The central premise is that market behavior is best understood through conditional distributions rather than point forecasts. Current work focuses on volatility regime transitions, path-dependent fragility, and the statistical properties of market-generated distributions, with particular emphasis on tail risk, persistence, and non-Gaussian dynamics. The goal is to develop practitioner-oriented frameworks that remain robust across different market environments.  ”

Scholarly Papers (3)

1.

Volatility Regime Transitions and Equity Return Decoupling: Empirical Evidence from VIX Compression-to-Expansion Dynamics

Number of pages: 34 Posted: 13 Jan 2026 Last Revised: 22 Jun 2026
Fabio La Manna
Independent
Downloads 137 (592,433)

Abstract:

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VIX, implied volatility, volatility regimes, compression regime, regime transitions, distributional shift, variance risk premium, tail risk

2.

When Fragility Persists: Regime Duration, Path Dependence, and Downside Tail Risk Constraints in Equity Markets

Number of pages: 18 Posted: 10 Mar 2026 Last Revised: 13 Mar 2026
Fabio La Manna
Independent
Downloads 30 (1,372,601)

Abstract:

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downside risk, drawdowns, regime duration, fragility, tail risk, path dependence, survivoship bias, hazard rate

3.

Reframing TPO as an Estimator of Moments and Entropy of Equity Markets

Number of pages: 31 Posted: 30 Jun 2026
Fabio La Manna
Independent
Downloads 21

Abstract:

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Market Profile, Time Price Opportunity, distributional shape, non-Gaussianity, regime classification, market microstructure, leptokurtosis, Shannon entropy, Point of Control, Value Area