mBm-Biblio-Finance

Biomedical

Economy/Finance

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

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.htm

Multifractality 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