Ecomony Finance-mbm-bibliography

Pathwise identification of the memory function of multifractional brownian motion with application to finance. logo-lien
S. Bianchi
International Journal of Theoretical and Applied Finance, No 2, vol. 8, pp. 255-281, 2005

Modelling stock price movements: multifractality or multifractionality?. logo-lien
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. logo-lien
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. Logopdf
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

Pathwise Identification of the Memory Function of a Multifractional
Market Model

Sergio Bianchi

International Conference on Stochastic Finance,
Lisbon, Portugal,
Sept. 2004

http://atlas-conferences.com/c/a/o/o/08.htmMultifractality in Foreign Currency Markets

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

Volume 7, 2012, DOI: 10.1007/978-3-642-22368-6

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

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