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Sergio Bianchi

Personal Details

First Name:Sergio
Middle Name:
Last Name:Bianchi
Suffix:
RePEc Short-ID:pbi146
http://mat.eco.unicas.it
DIMET Campus Folcara Via S. Angelo 03043 CASSINO (ITALY)
+39 0776 299 4706

Affiliation

Dipartimento di Economia e Giurisprudenzia
Facoltà di Economia e Giurisprudenzia
Università degli Studi di Cassino e del Lazio Meridionale

Cassino, Italy
http://www.eco-giu.uniclam.it/Dipartimento/Info

: +3907762994734
+3907762994834
Via S.Angelo Loc. Folcara, I-03043 Cassino (FR)
RePEc:edi:dccasit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Bianchi, Sergio & Pantanella, Alexandre & Pianese, Augusto, 2009. "Financial Portfolio Selection in a Nonstationary Gaussian Framework," Papers 2009/49, Osterreichish-Rumanischer Akademischer Verein.
  2. Sergio, Bianchi & Alessandro, Trudda, 2008. "Global Asset Return in Pension Funds: a dynamical risk analysis," MPRA Paper 12011, University Library of Munich, Germany, revised 14 Jun 2008.
  3. Bianchi, Sergio, 2004. "A new distribution-based test of self-similarity," MPRA Paper 16640, University Library of Munich, Germany.
  4. Sergio Bianchi, 2001. "A Distribution-Based Method For Evaluating Multiscaling In Finance," CeNDEF Workshop Papers, January 2001 4A.3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

Articles

  1. Bianchi, Sergio & Pianese, Augusto, 2014. "Multifractional processes in finance," Risk and Decision Analysis, IOS Press, issue 5, pages 1-22.
  2. S. Bianchi & A. Pantanella & A. Pianese, 2013. "Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1317-1330, July.
  3. Sergio Bianchi & Iva De Bellis & Augusto Pianese, 2010. "Fractal properties of some European electricity markets," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(4), pages 395-421.
  4. Sergio Bianchi & Augusto Pianese, 2007. "Modelling stock price movements: multifractality or multifractionality?," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 301-319.
  5. Sergio Bianchi, 2005. "A cautionary note on the detection of multifractal scaling in finance and economics," Applied Economics Letters, Taylor & Francis Journals, vol. 12(12), pages 775-780.
  6. Angrisani, M., Attias, A., Bianchi, S. & Varga, Z., 2004. "Demographic dynamics for the pay-as-you-go pension system," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 15(4), pages 357-374.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Sergio, Bianchi & Alessandro, Trudda, 2008. "Global Asset Return in Pension Funds: a dynamical risk analysis," MPRA Paper 12011, University Library of Munich, Germany, revised 14 Jun 2008.

    Cited by:

    1. Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017. "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, vol. 22(C), pages 20-29.
    2. M. Cadoni & R. Melis & A. Trudda, 2012. "Financial crisis: a new measure for risk of pension funds assets," Working Paper CRENoS 201231, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

  2. Bianchi, Sergio, 2004. "A new distribution-based test of self-similarity," MPRA Paper 16640, University Library of Munich, Germany.

    Cited by:

    1. Myoungji Lee & Marc G. Genton & Mikyoung Jun, 2016. "Testing Self-Similarity Through Lamperti Transformations," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 426-447, September.
    2. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.

Articles

  1. Bianchi, Sergio & Pianese, Augusto, 2014. "Multifractional processes in finance," Risk and Decision Analysis, IOS Press, issue 5, pages 1-22.

    Cited by:

    1. Noemi Nava & Tiziana Di Matteo & Tomaso Aste, 2015. "Time-dependent scaling patterns in high frequency financial data," Papers 1508.07428, arXiv.org, revised Dec 2015.

  2. S. Bianchi & A. Pantanella & A. Pianese, 2013. "Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1317-1330, July.

    Cited by:

    1. Zhang, H.S. & Shen, X.Y. & Huang, J.P., 2016. "Pattern of trends in stock markets as revealed by the renormalization method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 340-346.
    2. Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
    4. Noemi Nava & Tiziana Di Matteo & Tomaso Aste, 2015. "Time-dependent scaling patterns in high frequency financial data," Papers 1508.07428, arXiv.org, revised Dec 2015.
    5. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.

  3. Sergio Bianchi & Augusto Pianese, 2007. "Modelling stock price movements: multifractality or multifractionality?," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 301-319.

    Cited by:

    1. Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.

  4. Angrisani, M., Attias, A., Bianchi, S. & Varga, Z., 2004. "Demographic dynamics for the pay-as-you-go pension system," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 15(4), pages 357-374.

    Cited by:

    1. T. Gudaitis & A. Fiori Maccioni, 2014. "Optimal Individual Choice of Contribution to Second Pillar Pension System in Lithuania," Working Paper CRENoS 201402, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. Palazzo, Anna Maria, & Fantaccione, Roberto, 2017. "The inefficiency of the immigration-based demographic equilibrium," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 13(1), pages 52-58, JUNE.
    3. A. Fiori Maccioni & A. Bitinas, 2013. "Lithuanian pension system's reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    4. Angrisani Massimo & Di Palo Cinzia & Fantaccione Roberto & Palazzo Anna Maria, 2013. "The Leslie model and population stability: an application," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 6(2), pages 4-14, December.
    5. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (2) 2009-04-13 2009-07-03

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