4
H index
3
i10 index
65
Citations
Sergio Bianchi : Citation Profile
"Sapienza" Università di Roma | RESEARCH PRODUCTION: 14 Articles 5 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2001 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Sergio Bianchi. | Is cited by:
| Cites to:
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Main data
Where Sergio Bianchi has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 2 |
| Chaos, Solitons & Fractals | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 2 |
Recent works citing Sergio Bianchi (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | A multifractional option pricing formula. (2023). Araneda, Axel A. In: Papers. RePEc:arx:papers:2303.16314. Full description at Econpapers || Download paper |
| 2023 | Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050. Full description at Econpapers || Download paper |
| 2024 | Fractal properties, information theory, and market efficiency. (2024). Garcin, Matthieu ; Brouty, Xavier. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948. Full description at Econpapers || Download paper |
| 2023 | NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis. (2023). Shi, Baofeng ; Abedin, Mohammad Zoynul ; Alam, Masud ; Abdullah, Mohammad ; Ferdous, Mohammad Ashraful. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001588. Full description at Econpapers || Download paper |
| 2023 | Availability heuristic and expected returns. (2023). Tan, Chunzhi ; Gao, Bin ; Fang, Yuying ; Xie, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006201. Full description at Econpapers || Download paper |
| 2024 | On sectoral market efficiency. (2024). Araneda, Axel A ; Villena, Marcelo J. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013211. Full description at Econpapers || Download paper |
| 2023 | Efficiency dynamics across segmented Bitcoin Markets: Evidence from a decomposition strategy. (2023). Mishra, Tapas ; Satchell, Stephen ; Gao, Yang ; Duan, Kun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000100. Full description at Econpapers || Download paper |
| 2023 | Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937. Full description at Econpapers || Download paper |
Works by Sergio Bianchi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | A Distribution-Based Method For Evaluating Multiscaling In Finance In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 0 |
| 2018 | Liquidity, Efficiency and the 2007-2008 Global Financial Crisis In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets In: Chaos, Solitons & Fractals. [Full Text][Citation analysis] | article | 3 |
| 2023 | Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model In: Chaos, Solitons & Fractals. [Full Text][Citation analysis] | article | 2 |
| 2021 | Fractal analysis of market (in)efficiency during the COVID-19 In: Finance Research Letters. [Full Text][Citation analysis] | article | 11 |
| 2020 | On the asymptotic equilibrium of a population system with migration In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models In: Post-Print. [Citation analysis] | paper | 2 |
| 2010 | Fractal properties of some European electricity markets In: International Journal of Financial Markets and Derivatives. [Full Text][Citation analysis] | article | 0 |
| 2008 | Global Asset Return in Pension Funds: a dynamical risk analysis In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2004 | A new distribution-based test of self-similarity In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Multifractional processes in finance In: Risk and Decision Analysis. [Citation analysis] | article | 4 |
| 2009 | Financial Portfolio Selection in a Nonstationary Gaussian Framework In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process In: Computational Management Science. [Full Text][Citation analysis] | article | 0 |
| 2015 | Asset Price Modeling: From Fractional to Multifractional Processes In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 2 |
| 2021 | Stochastic Dominance in the Outer Distributions of the $$\alpha $$ ? -Efficiency Domain In: Springer Books. [Citation analysis] | chapter | 0 |
| 2008 | Scaling Laws in Stock Markets. An Analysis of Prices and Volumes In: Springer Books. [Citation analysis] | chapter | 0 |
| 2005 | A cautionary note on the detection of multifractal scaling in finance and economics In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2013 | Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity In: Quantitative Finance. [Full Text][Citation analysis] | article | 12 |
| 2007 | Modelling stock price movements: multifractality or multifractionality? In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2015 | EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL In: Advances in Complex Systems (ACS). [Full Text][Citation analysis] | article | 2 |
| 2005 | PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 13 |
| 2008 | MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team