Sergio Bianchi : Citation Profile

"Sapienza" Università di Roma

5

H index

3

i10 index

84

Citations

RESEARCH PRODUCTION:

15

Articles

5

Papers

3

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 3
   Journals where Sergio Bianchi has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 7 (7.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbi426
   Updated: 2025-12-20    RAS profile: 2024-02-05    
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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:

Melis, Roberta (7)

frezza, massimiliano (3)

Cerqueti, Roy (3)

Oliva, Immacolata (2)

Bayraktar, Erhan (2)

Liu, Ruipeng (2)

Horst, Ulrich (2)

Baruník, Jozef (2)

Hayo, Bernd (1)

Dokas, Ioannis (1)

Abdullah, Mohammad (1)

Cites to:

Bianchi, Sergio (13)

Fama, Eugene (6)

Amihud, Yakov (5)

frezza, massimiliano (4)

Perignon, Christophe (4)

Tonks, Ian (3)

Engle, Robert (3)

Bollerslev, Tim (3)

Desroziers, Adrien (2)

Lobato, Ignacio (2)

French, Kenneth (2)

Main data

Where Sergio Bianchi has published?

Journals with more than one article published# docs
Chaos, Solitons & Fractals2
Quantitative Finance2
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, Germany2

Recent works citing Sergio Bianchi (2025 and 2024)

YearTitle of citing document
2024A multifractional option pricing formula. (2024). Araneda, Axel A. In: Papers. RePEc:arx:papers:2303.16314.

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2025Market information of the fractional stochastic regularity model. (2024). Garcin, Matthieu ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2409.07159.

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2025Integrating the implied regularity into implied volatility models: A study on free arbitrage model. (2025). di Sciorio, Fabrizio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2502.07518.

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2025Prediction of linear fractional stable motions using codifference. (2025). Valade, Thomas ; Sawaya, Karl ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2507.15437.

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2025From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk. (2025). Pianese, Augusto ; Frezza, Massimiliano ; Angelini, Daniele ; Bianchi, Sergio. In: Papers. RePEc:arx:papers:2508.11649.

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2025Fair Volatility: A Framework for Reconceptualizing Financial Risk. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.18837.

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2025Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.20015.

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2024Fractal properties, information theory, and market efficiency. (2024). Brouty, Xavier ; Garcin, Matthieu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948.

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2024On sectoral market efficiency. (2024). Villena, Marcelo J ; Araneda, Axel A. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013211.

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2025Floating exchange rate efficiency: Grouping patterns and pandemic impacts. (2025). Corzo, Teresa ; Martin-Bujack, Karin ; Portela, Jose ; Rodriguez-Gallego, Alejandro. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000149.

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2025Global Stock Markets during Covid-19: Did Rationality Prevail?. (2025). Sharma, Agam ; Hadlul, Seham ; Bragues, George ; Talebi, Alireza. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924004033.

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2025Harmonizable Multifractional Stable Field: Sharp results on sample path behavior. (2025). Ayache, Antoine ; Louckx, Christophe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:186:y:2025:i:c:s0304414925000791.

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2025Online Market Resilience to Economic Shocks: Evidence Based on Price Dispersion from the COVID-19 Outbreak in China. (2025). Liu, Taoxiong ; Cheng, Huolan ; Sun, Zhen. In: Review of Industrial Organization. RePEc:kap:revind:v:66:y:2025:i:3:d:10.1007_s11151-024-09987-5.

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2025Qualitative financial modelling in fractal dimensions. (2025). Anukool, Waranont ; El-Nabulsi, Rami Ahmad. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00723-2.

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2024Application of Portfolio Optimization to Achieve Persistent Time Series. (2024). Telcs, Andras ; Zlatniczki, Adam. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:201:y:2024:i:2:d:10.1007_s10957-024-02426-1.

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Works by Sergio Bianchi:

YearTitleTypeCited
2001A Distribution-Based Method For Evaluating Multiscaling In Finance In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper0
2018Liquidity, Efficiency and the 2007-2008 Global Financial Crisis In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article0
2018Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets In: Chaos, Solitons & Fractals.
[Full Text][Citation analysis]		article4
2023Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model In: Chaos, Solitons & Fractals.
[Full Text][Citation analysis]		article6
2021Fractal analysis of market (in)efficiency during the COVID-19 In: Finance Research Letters.
[Full Text][Citation analysis]		article13
2020On the asymptotic equilibrium of a population system with migration In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2018Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models In: Post-Print.
[Citation analysis]		paper2
2010Fractal properties of some European electricity markets In: International Journal of Financial Markets and Derivatives.
[Full Text][Citation analysis]		article0
2008Global Asset Return in Pension Funds: a dynamical risk analysis In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2004A new distribution-based test of self-similarity In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2014Multifractional processes in finance In: Risk and Decision Analysis.
[Citation analysis]		article5
2009Financial Portfolio Selection in a Nonstationary Gaussian Framework In: Papers.
[Full Text][Citation analysis]		paper1
2022Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process In: Computational Management Science.
[Full Text][Citation analysis]		article0
2015Asset Price Modeling: From Fractional to Multifractional Processes In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter2
2021Stochastic Dominance in the Outer Distributions of the $$\alpha $$ α -Efficiency Domain In: Springer Books.
[Citation analysis]		chapter0
2008Scaling Laws in Stock Markets. An Analysis of Prices and Volumes In: Springer Books.
[Citation analysis]		chapter0
2005A cautionary note on the detection of multifractal scaling in finance and economics In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
2013Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity In: Quantitative Finance.
[Full Text][Citation analysis]		article18
2007Modelling stock price movements: multifractality or multifractionality? In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2020A distribution‐based method to gauge market liquidity through scale invariance between investment horizons In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article0
2015EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL In: Advances in Complex Systems (ACS).
[Full Text][Citation analysis]		article4
2005PATHWISE 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]		article14
2008MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team