Concepedia

Sergio Bianchi

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Publications

17

Citations

490

H-Index

13

Active since

2004

Affiliations

Università degli studi di Cassino e del Lazio Meridionale(Current)

New York University

Sapienza University of Rome

Sergio Bianchi is an author at Università degli studi di Cassino e del Lazio Meridionale specializing in business, economics, and asset pricing.

Top concepts

BusinessFinanceEconomicsAsset PricingStatisticsFinancial EngineeringFinancial EconomicsEmpirical FinanceEngineeringManagement

Publications per year

2004–2023

17

Publications

17

Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity

Sergio Bianchi, Alexandre Pantanella, Augusto Pianese · Quantitative Finance · 2011 · 83 citations

Volatility Modeling, Engineering, Financial Mathematics +16

PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE

Sergio Bianchi · International Journal of Theoretical and Applied Finance · 2005 · 72 citations

Engineering, Stochastic Phenomenon, Pathwise Identification +17

Fractal analysis of market (in)efficiency during the COVID-19

Massimiliano Frezza, Sergio Bianchi, Augusto Pianese · Finance research letters · 2020 · 43 citations · Full text

Economics, Macroeconomics, Price Formation +6

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY

Sergio Bianchi, Augusto Pianese · International Journal of Theoretical and Applied Finance · 2008 · 37 citations

Empirical Finance, Volatility Modeling, Asset Pricing +12

Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets

Sergio Bianchi, Augusto Pianese · Chaos Solitons & Fractals · 2018 · 37 citations

Empirical Finance, Economics, Financial Economics +9

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