Pathwise identification of the memory function of multifractional brownian motion with application to finance.
S. Bianchi
International Journal of Theoretical and Applied Finance, No 2, vol. 8, pp. 255-281, 2005
Modelling stock price movements: multifractality or multifractionality?.
S. Bianchi, A. Pianese
Quantitative Finance, No 3, vol. 7, pp. 301-319, 2007
Multifractional properties of stock indices decomposed by filtering their pointwise Holder regularity.
S. Bianchi, A. Pianese
International Journal of Theoretical and Applied Finance, No 6, vol. 11, pp. 567-595, 2008
Scaling and long range dependence in option pricing ,IV : Pricing European options with transaction costs under the multifractional Black-Scholes model.
X-T. Wang
Physica A: Statistical Mechanics and its Applications, vol. 389, pp. 789-796, 2010
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
S Bianchi
Quantitative Finance, Volume 0, Issue 0, Page 1-14 (ahead of print) http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.594080
Fractal Properties of Some European Electricity Markets
Sergio Bianchi, Iva De Ballis, Augusto Pianese
International Journal of Financial Markets and Derivatives, Vol. 1, No. 4, pp. 395-421
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1886395
Pointwise Regularity Exponents and Well-Behaved Residuals in Stock Markets
Sergio Bianchi and Alexandre Pantanella
International Journal of Trade, Economics and Finance, Vol.2, No.1, February, 2011
2010-023X
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1886390
Financial Portfolio Selection in a Nonstationary Gaussian Framework
Sergio Bianchi, Alexandre Pantanella, Augusto Pianese
România de Mâine Publishing House, Vol. 1, pp. 619-627, May 28, 2009
http://econpapers.repec.org/paper/rissphedp/2009_5f049.htm
Long-range correlations and nonstationarity in the Brazilian stock market
Costa RL, Vasconcelos GL
Physica. A, Theoretical and Statistical Physics 10.
http://d.wanfangdata.com.cn/NSTLQK_NSTL_QKJJ028295612.aspx
Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
Muniandy, S.V., Lim, S.C., Murugan, R.,
Physica A: Statistical Mechanics and its Applications, 301 (1-4), p.407-428, Dec 2001
http://www.sciencedirect.com/science/article/pii/S0378437101003879
Modelling NASDAQ Series by Sparse Multifractional Brownian Motion
Pierre R.Bertrand, Abdelkader Hamdouni, Samia Khadhraoui
Methodology and Computing in Applied Probablity, Vol. 14(1), pp.107-124, 2012
http://www.springerlink.com/content/wl55506m38355051/
Modeling and Simulation of Currency Exchange Rates Using MPRE
Sergio Bianchi, Alexandre Pantanella, Augusto Pianese
2010 International Conference on Modeling, Simulation and Control, pp. 148-153, Cairo Egypt
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1888212
Stock Returns Declustering Under Time Dependent Hölder Exponent
Sergio Bianchi, Alexandre Pantanella
2010 International Conference on E-business, Management and Economics, pp. 14-21, Hong Kong,China, 2010
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1888176
Point-wise Regularity Exponents and Markets Cross-Correlation
Sergio Bianchi, Alexandre Pantanella
International Review of Business Research Papers Volume 6. Number 2. July 2010 Pp.39-51
http://www.bizresearchpapers.com/3.Sergio.pdf
A cautionary note on the detection of multifractal scaling in finance and economics
Bianchi, Sergio
Applied Economics Letters Volume 12, Number 12, Number 12/10Oct2005 , pp. 775-780(6)
http://www.ingentaconnect.com/content/routledg/rael/2005/00000012/00000012/art00012
The Identification of Long Memory Process in the Asean-4 Stock Markets by Fractional and Multifractional Brownian Motion
Rolando Navarro Jr., Ronald Tamangan, Niya Guba-Natan, Eleonore Ramos, Adolfo de Guzman
The Philippine Statistician, 55, 65-83, 2006
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=928184
Market Model
Sergio Bianchi
International Conference on Stochastic Finance,
Lisbon, Portugal, Sept. 2004
Corazza M., Malliaris A.G.
Multinational Finance Journal, 6, 387-401, 2002
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1084659
Stochastic Volatility and Multifractional Brownian Motion
Antoine Ayache and Qidi Peng
Stochastic Differential Equations and Processes,
M. Zili, D. Filatova (Eds),
Springer Proceedings in Mathematics
SAAP, Tunisia, October 7-9, 2010
Modeling and Simulation of Currency Exchange Rates Using Multifractional Process with Random Exponent
Sergio Bianchi, Alexandre Pantanella, and Augusto Pianese
International Journal of Modeling and Optimization, Vol. 2(3), 2012
http://www.ijmo.org/papers/133-C077.pdf
Modeling the time-changing dependence in stock markets
Frezza, Massimiliano
Chaos, Solitons & Fractals, Vol. 45 (12), pp.1510-1520, 2012
http://www.sciencedirect.com/science/article/pii/S0960077912001877
Goodness of fit assessment for a fractal model of stock markets
M Frezza
Chaos, Solitons & Fractals, 2014, Volume 66, pp 41–50