Ritratto di sergio.bianchi@uniroma1.it

Giovedì 11-13

Short CV Sergio Bianchi

Full professor of Mathematics for Economics, Actuarial Science and Finance at Sapienza University of Rome, Italy
International Affiliate Professor, Department of Finance and Risk Engineering, Tandon School of Engineering, New York University (NY)

Previous Positions
· 01/09/2014 - 31/08/2015 Industry Professor at Polytechnic Institute of the New York University, School of Engineering, Department of Finance and Risk Engineering
· 01/04/2006 15/01/2020 Full Professor at University of Cassino Dept. Economics and Law
· 01/10/2001 - 30/03/2006 Associate Professor at University of Cassino Dept. Economia e Territorio
· 30/06/1998 - 01/10/2001 Assistant Professor at University of Cassino Dept. Economia e Territorio
· 01/09/1997 31/10/1998 Contract Professor of Financial Mathematics at University of Sassari (Italy)
· 01/07/1998 30/06/2001 Invited Professor of Elements of Calculus I and II at Pontificia Università Gregoriana
· 01/09/1991 30/06/1998 Contract Professor of Elements of Calculus I at Pontificia Università Gregoriana

Visiting Positions
· 2012-2019. Invited Visiting Professor at New York University, Tandon School of Engineering, Department of Finance and Risk Engineering
· 2016 Invited Visiting Professor with Erasmus+ at Department of Mathematics/Institute of Mathematics and Informatics, Szent István University, Godollo (Hungary)

Editorial Activities
· 23/04/2021 - to date, Guest Editor for Fractal and Fractional
· 25/07/2017 - 31/05/2018, Guest Editor for Risk and Decision Analysis
· 2019/20 Guest Editor for Mathematical Methods for Economics and Finance
· 2017/18 Guest Editor for Risk and Decision Analysis
· Member of the Editorial Board of Risk and Decision Analysis
· Member of the Advisory Board of Mathematical Methods in Economics and Finance
· Reviewer for
Applied Economics Applied Economics Letters Applied Soft Computing Arabian Journal of Geosciences Chaos Chaos, Solitons and Fractals Empirical Economics Finance Research Letters Fluctuation and Noise Letters Impresa Ambiente Management Insurance: Mathematics and Economics Mathematical Methods in Economics and Finance Mathematical and Statistical Methods for Actuarial Sciences and Finance Mathematical Reviews (American Mathematical Society) Nonlinear Dynamics & Econometrics Physica A Pure Mathematics and Applications Quantitative Finance Rendiconti per gli Studi Economici Quantitativi Risk And Decision Analysis WSEAS, World Scientific and Engineering Academy and Society Miur PRIN University of Padua

Scientific Boards
· 2018 to date, Member of the Board of Professors (Ph.D. in Modelli per l Economia e la Finanza), Sapienza University of Rome
· 01/12/2016 to date, Member of the Editorial Board of Risk and Decision Analysis
· 01/04/2016 - 07/03/2018 Coordinator of the 1° Level Master in "Quantitative and Technical Analysis of Financial Markets" (315 class hours, 18 courses, 60 CFU, 15 professors, 2 staff) at University of Cassino and Southern Lazio (Italy)
· 11/2009 08/2014 Head of the Technical Board for the evaluation of Spin-Off of University of Cassino
· 11/2009 08/2014 Member of the Board of Professors (Ph.D. in Economics), University of Cassino
· 11/2009 08/2014 Member of the Scientific Council of the I.S.M.E.F., Istituto Mediterraneo di Formazione per le Professionalità Nautiche onlus, Formia (Italy)
· 2008 to date Member of the Scientific Committee of the biennial conference Mathematical and Statistical Methods for Actuarial Sciences and Finance (University of Venice, University of Salerno, Dauphine Université Paris)
· 2006-2009. Member of the Board of Professors (Ph.D. in Quantitative Methods for Economics and Land), University of Cassino
· 2005. Member of the Board of Professors (Ph.D. in Institutions and Methods of Analysis of land systems), University of Cassino

Institutional Responsibilities
· 2009-2014, Rector s Delegate for Research and Benchmarking, University of Cassino
· 2007-2009, Representative of the Heads of Department in the Academic Senate of the University of Cassino
· 2005-2009, Chair of Department Istituzioni, Metodi Quantitativi e Territorio (22 faculty members, 4 staff), University of Cassino
· 2004-2005, Member of the Committee for the Evaluation of the Research, University of Cassino
· 2004-2005, Member of the Recruitment Committee of the Faculty of Economics, University of Cassino
· 2004-2005, Member of the Educational Program Committee 2005/06, Faculty of Economics, University of Cassino
· 2003-2005, Scientific Coordinator of the Computer Laboratory of the Department Economia e Territorio , University of Cassino
· 2003-2004, Head of the Educational Program Committee 2004/05, Faculty of Economics, University of Cassino
· 1999-2001, Member of the Educational Program Committee of the Master in Economics and Business Administration, Faculty of Economics, University of Cassino

Research interests
Applied Mathematical Finance - Stochastic processes: multifractional processes, self-similar processes, long run memory models

Main scientific publications

Refereed Journal Articles

- BIANCHI S., FREZZA M., PIANESE A. (2021), Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process, Computational Management Science, https://doi.org/10.1007/s10287-021-00412-w
- BIANCHI S., PIANESE A., FREZZA M., PALAZZO A.M. (2020), Stochastic dominance in the outer distributions of the -efficiency domain, forthcoming in Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer
- FREZZA M., BIANCHI S., PIANESE A. (2020), Fractal analysis of market (in)efficiency during the COVID-19, Finance Research Letters, Available online 19 November 2020, 101851
- TAPIERO C.S., VALLOIS P., BIANCHI S. (2020), The Origins of Randomness: Granularity, Information and Speed of Convergence (2020), Mathematical Methods in Economics and Finance, special issue on "Fractional and multifractional models and methods in finance", 13/14, 1, 2018/2019, 75-96
- BIANCHI S. (2020), Matematica e cognizione giurisdizionale, Diritto Pubblico Europeo, Rassegna online, n.2, ISSN: 2421-0528
- BIANCHI S., LI, Q. (2020), A new estimator of the self-similarity exponent through the Empirical Likelihood Ratio Test, Journal of Statistical Computation and Simulation, 90(11), 1982-2001, ISSN: 0094-9655
- BIANCHI S., PIANESE A., FREZZA M. (2020), A distribution-based method to gauge market liquidity through scale invariance between investment horizons, Applied Stochastic Models in Business and Industry, https://doi.org/10.1002/asmb.2531
- PIANESE A., ATTIAS A., BIANCHI S., VARGA Z. (2020), Demographic Dynamics for Population Systems with Migration and its Effect on the Pay-As-You-Go Pension Systems, Insurance: Mathematics and Economics, 92, 115-127
- BIANCHI S., (2018), Special Issue: Fractional Calculus and Its Applications, Introduction, Risk and Decision Analysis, 7(1-2):1-3, ISSN: 1569-7371
- BIANCHI S., PALAZZO, A.M., PIANESE A. (2018), Fast and unbiased estimator of the time-dependent Hurst exponent, Chaos, 28, 031102, ISSN: 1054-1500
- BIANCHI S., FREZZA M. (2018), Liquidity, Efficiency and the 2007-2008 Global Financial Crisis, Annals of Economics and Finance, 10(2), ISSN 1529-7373
- BIANCHI S., PIANESE A. (2018), Time-Varying Hurst-Hölder Exponents and the Dynamics of (In)Efficiency in Stock Markets, Chaos Solitons and Fractals, 109, 64-75, ISSN: 0960-0779
- BIANCHI S., FREZZA M. (2017), Fractal stock markets: International evidence of dynamical (in)efficiency, Chaos, 27, 071102
- BIANCHI S., PANTANELLA A., PIANESE A. (2015), Efficient Markets and Behavioral Finance: A comprehensive Multifractional Model. Advances in Complex Systems, vol. 18, ISSN: 0219-5259
-BIANCHI S., A. PIANESE (2014), Multifractional Processes in Finance, Risk and Decision Analysis, Vol. 5, Number 1, 1-22, ISSN:1569-7371
- BIANCHI S., PANTANELLA A., PIANESE A. (2013) Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity, Quantitative Finance, 13(8), 1317-1330
- BIANCHI S., A.M. PALAZZO, A. PANTANELLA, A. PIANESE (2013), Self-Similarity Parameter Estimation for k-dimensional Processes, International Journal of Computer Theory and Engineering, 5, 302-306, ISSN: 1793-8201
- ANGRISANI M, ATTIAS A, BIANCHI S., VARGA Z (2012), Sustainability of a Pay-As-You-Go Pension System by Dynamic Immigration Control, Applied Mathematics and Computation, 219, 2442-2452, ISSN: 0096-3003
- BIANCHI S, PANTANELLA A., PIANESE A (2012), Modeling and simulation of currency exchange rates using MPRE, International Journal of Modeling and Optimization, 2(3), 309-314 ISSN: 2010-3697
- BIANCHI S., PANTANELLA A. (2011), Pointwise Regularity Exponents and well-behaved residuals in Stock Markets, International Journal of Trade, Economics and Finance, 2, 1, 52-60
- BIANCHI S., PANTANELLA A. (2010) Pointwise Regularity Exponents and Market Cross-Correlations, International Review of Business Research Papers, 6(2), 39-51, ISSN: 1834-5883
- BIANCHI S., DE BELLIS I., PIANESE A. (2010), Fractal properties of some European electricity markets. International Journal of Financial Markets and Derivatives, 1(4), 395-421, ISSN: 1756-7130
- BIANCHI S., TRUDDA A (2008). Global asset return in pension funds: a dynamical risk analysis. Mathematical Methods in Economics and Finance, 3(2), 1-16, ISSN: 1971-6419
- BIANCHI S., PIANESE A (2008). Multifractional properties of stock indices decomposed by filtering their pointwise Hoelder regularity. International Journal of Theoretical and Applied Finance, vol. 11(6); p. 567-595, ISSN: 0219-0249
- BIANCHI S., PIANESE A (2007). Modeling Stock Price Movements: Multifractality or Multifractionality?. Quantitative Finance, vol. 7; p. 301-319, ISSN: 1469-7688
- ANGRISANI M, ATTIAS A, BIANCHI S., VARGA Z (2006). Demographic dynamics for the pay-as-you-go pension system. Pure Mathematics and Applications, vol. 15; p. 357-374, ISSN: 1218-4586
- BIANCHI S., PIANESE A (2006). Multiscaling in the distribution of the exchange rates. WSEAS Transaction on Mathematics, vol. 6; p. 354-360, ISSN: 1109-2769
- BIANCHI S. (2005). Pathwise Identification of the Memory Function of the Multifractional Brownian Motion with Application to Finance. International Journal of Theoretical and Applied Finance, vol. 8; p. 255-281, ISSN: 0219-0249
- BIANCHI S. (2005). A Cautionary Note on the Detection of Multifractal Scaling in Finance and Economics. Applied Economics Letters, vol. 12; p. 775-780, ISSN: 1350-4851
- BIANCHI S. (2004). A New Distribution-Based Test of Self-Similarity. Fractals-Complex Geometry Patterns and Scaling in Nature and Society, vol. 3; p. 331-346, ISSN: 0218-348X
- BIANCHI S. (1999). Testing Self-Affinity of Stock Returns. Rendiconti per gli Studi Economici Quantitativi; p. 26-43, ISSN: 1591-9773
- BIANCHI S. (1995). Fasi stabili e caotiche del mercato borsistico italiano: una procedura di discriminazione. Rivista Milanese di Economia, vol. 56; p. 101-119, ISSN: 0392-9728

Refereed Book Articles

- BIANCHI, S., FERRANTE, F., RECINTO, G., INTERLANDI, M., INTRISANO, C., VISTOCCO, D. MAIELLO, F., MICHELI, A.P. (2017), Analisi delle ricadute PET sul territorio della Provincia di Frosinone e relativa individuazione del fabbisogno formativo. Nuove figure professionali nell ambito della Programmazione comunitaria 2014 2020, Aracne Editrice, ISBN: 978-88-548-9882-0
- BIANCHI S., PIANESE A. (2014). Asset price modeling: from Fractional to Multifractional Processes. In: A. Bensoussan, D. Guegan, E., C. Tapiero. Future Perspectives in Risk Models and Finance. p. 247-286, New York: Springer, ISBN: 978-3-319-07523-5
- BIANCHI S., A. PIANESE (2008). Scaling Laws in Stock Markets. An analysis of prices and volumes. In: PERNA, CIRA, SIBILLO, MARILENA EDS. Mathematical and Statistical Methods in Finance. p. 35-42, Springer, ISBN/ISSN: 978-88-470-0703-1
- BIANCHI S., A PIANESE (2005). Reconciling Multifractal and Multifractional Processes in Financial Modeling. In: THEODORE SIMOS AND GEORGE MAROULIS. Advances in computational methods in sciences and engineering 2005. Selected papers from the international conference of computational methods in sciences and engineering 2005 (ICCMSE 2005). p. 1268-1281, LEIDEN: Brill, ISBN/ISSN: ISBN 90-6764-441-2
- BIANCHI S., MICOCCI M (1999). "La geometria frattale: l'applicazione all'analisi finanziaria". In: AA.VV.. Complementi di Matematica Finanziaria. Modelli applicativi per la scelta degli investimenti. ROMA: Ed. CISU

Refereed Conference Proceedings
- Bianchi S., Pianese A., Frezza M., A distribution-based method to gauge market liquidity through scale invariance between investment horizons, CFE-CM Statistics 2019, University of London and Birbeck, 14-16 December 2019
- Bianchi S., Pianese A., Palazzo A., Pantanella A., Assessing market (in)efficiency, Colloque MAF 2016, Paris Dauphine, March 30-31 and April 1, 2016, Paris (France)
- BIANCHI S., GÁMEZ, M., PIANESE A. (2016), Liquidity and Self-Similarity in the Distributions of the log price variations, Proceedings of the 7th Annual Financial Market Liquidity Conference, 17th-18th November 2016, Budapest (Hungary), p.14
- BIANCHI S. (2012), Market Efficiency and Behavioral Finance: A Unifying Stochastic Model of Stock Prices, (Invited Plenary Lecture), Proceedings of the American Conference on Applied Mathematics, Harvard, Cambridge, MA, USA, January 25-27, 2012, p.15-16 (ISBN:9781618040640)
- BIANCHI S., A. PANTANELLA, A. PIANESE (2012). Local Estimation of Stock Market Efficiency, Proceedings of the American Conference on Applied Mathematics , Harvard, Cambridge, MA, USA, January 25-27, 2012, 349-355 (ISBN:9781618040640)
- BIANCHI S., A. PANTANELLA, A. PIANESE (2011), "Efficient Market Hypothesis and Behavioural Finance: reconciling the opposites through multifractional processes with random exponent", 8th Applied Financial Economics (AFE) Conference, 30 June 02 July 2011, Samos Island, Greece, 501-510, ISBN: 978-9-6046-6086-5
- BIANCHI S., A.M. PALAZZO, A. PANTANELLA, A. PIANESE (2011), Self-Similarity Parameter Estimation for k-dimensional Processes, 4th IEEE International Conference on Computer Science and Information Technology, 10-12 June 2011, Chengdu, China, ISBN: 978-1-61284-836-5
- BIANCHI S., PANTANELLA A.Efficiency, Overreaction and Underreaction in Stock Markets. A Parsimonious Model of the Three Sided-Coin, ICFTE 2011, Shanghai (China), 11-13 May 2011, IEEE Catalog Number: CFP1103J-PRT, ISBN: 978-1-4244-9508-5, 617-622
- BIANCHI S., PANTANELLA A. Stock Returns Declustering Under Time Dependent Hölder Exponent, ICEME 2010, Hong Kong (China), 28-30 December 2010, IEEE CN: CFP1072L-PRT, ISBN: 978-1-4244-8965-7, 14-21
- BIANCHI S., PANTANELLA A., PIANESE A., Modeling and simulation of currency exchange rates using MPRE, 2010 International Conference on Modeling, Simulation and Control (ICMSC 2010) Cairo Egypt, November 2-4, IEEE Catalog Number: CFP1053L-PRT, ISBN: 978-1-4244-8823-0
- BIANCHI S., PANTANELLA A. (forthcoming) Pointwise Regularity Exponents and Market Cross-Correlations, 12th International Business Research Conference, Dubai (EAU), 7-8 april 2010
- ANGRISANI M, ATTIAS A, BIANCHI S., VARGA Z (2010). Dynamic analysis of the effect of immigration on the demographic background of the pay-as-you-go pension system. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Ravello, 7-9 April 2010
- BIANCHI S., TRUDDA A. Global Asset Return in Pension Funds: a dynamical risk analysis. In: Mathematical and Statistical Methods for Actuarial Sciences and Finance. Venice, 26-28 March 2008
- BIANCHI S., DE BELLIS I, PIANESE A (2009). Stochastic Modelling of the Italian Electricity Market: some empirical evidences. In: Proceedings of the 6th International Conference on Applied Financial Economics. Samos Island (Gr), 2-4/07/2009, SAMOS ISLAND: INEAG, vol. 1, p. 315-325, ISBN/ISSN: 978-960-466-044-5/1790-3912
- BIANCHI S., PANTANELLA A, PIANESE A (2009). Financial Portfolio Selection in a Nonstationary Gaussian Framework. In: THE ROLE OF THE UNIVERSITY IN THE ANALYSIS OF CURRENT ECONOMIC CRISIS. Spiru Haret University, May 28th, 2009, BUCHAREST: România de Mâine Publishing House, vol. 1, p. 619-627, ISBN/ISSN: 978-973-163-460-9
- BIANCHI S. (2006). ESTIMATION AND FILTERING OF MULTIFRACTIONAL GAUSSIAN PROCESSES (Invited plenary lecture). In: 10th WSEAS International Conference on Applied Mathematics. Dallas (Texas), 1-3 november 2006
- BIANCHI S., A. PIANESE (2005). Decomposition of financial time series into stationary subsequences under hypothesis of multifractionality. In: International Conference for the Management of risk factors in economically relevant human activities. Viterbo, September 1st-3rd, 2005
- BIANCHI S. (2004). "Pathwise Identification of the Memory Function of a Multifractional Market Model". In: Stochastic Finance 2004 International Conference, Lisbona
- BIANCHI S. (2003). Multifractality in Stock Markets: an empirical analysis. In: Quantitative Methods in Finance 2003 Conference, 10th 13th December 2003, Manly, Sydney (Australia)
- BIANCHI S. (2003). Testing Self-Similarity of Stochastic Processes. In: XXIX Conference on Stochastic Processes and their Applications, August 3-9, 2003, Angra dos Reis (Brasile)
- BIANCHI S. (2003). Empirical Evidence of Time-Dependent Memory in Stock Markets. In: 2003 Latin American Meeting of the Econometric Society, Panama City (Panama), 28-30 August 2003, p. 1-14
- BIANCHI S. (2001). A Distribution-Based Method for Evaluating Uniscaling in Finance . In: CeNDEF Workshop Papers. Amsterdam, January 2001, AMSTERDAM: Universiteit van Amsterdam, Center for Nonlinear Dynamics, vol. 4A.3.
- BIANCHI S. (2001). Self-Affine Stochastic Processes: a Distribution-Based Estimation via the Smirnov Statistic. In: 11th INFORMS Applied Probability Society Conference, New York (USA)

Non-refereed Proceedings
- BIANCHI S., TRUDDA A (2008). Investment risk in Pension Funds: a dynamical approach. In: Atti del XXXII Convegno AMASES. Trento, 1-4 Settembre 2008
- BIANCHI S., A. PIANESE (2005). On a new technique for VAR estimation. In: XII Convegno di Teoria del Rischio. Università degli Studi del Molise, Campobasso, 16 giugno 2005, ROMA: Aracne, p. 101-115, ISBN/ISSN: 88-548-0637-4
- BIANCHI S., A. PIANESE (2005). Evidence of Multifractionality in the Dow Jones Index. In: 8th Italian-Spanish Meeting in Financial Mathematics. Verbania, June 30-July 1, 2005
- BIANCHI S., A. PIANESE (2005). Evaluation of Value at Risk by pointwise regularity of the price process. In: XXIX Convegno A.M.A.S.E.S.,. Palermo, 12-15 Settembre 2005
- BIANCHI S. (2004). "Pointwise Identification of the Multifractional Memory Function". In: Atti del Convegno Metodi Matematici e Statistici per l Analisi dei Dati Assicurativi e Finanziari, Edizioni CUSL, Salerno
- BIANCHI S. (2001). "Su una strategia di trading in un mercato multifrattale". In: Atti dell'VIII Convegno di Teoria del rischio. Campobasso, 14/06/2001, CAMPOBASSO: Uniservice, vol. 1, p. 27-35
- BIANCHI S. (2000). Sulla Nozione di Rischio nei Processi Autoaffini . In: Atti del VII Convegno di Teoria del Rischio. Campobasso, 9 giugno 2000, CAMPOBASSO: Uniservice, vol. 1, p. 25-32
- BIANCHI S. (1999). Efficienza, Arbitraggio e Liquidità: verso una nuova nozione di rischio finanziario? . In: Atti della Giornata di Studio "Nuovi Indirizzi Scientifici e Didattici nella Teoria del Rischio", Università del Molise, Campobasso 1999. Campobasso, 23/06/1999, CAMPOBASSO: Uniservice, vol. 1, p. 45-57
- BIANCHI S. (1999). On Estimating the Time-Changing Dependence in Economic and Financial Time Series ,. In: Atti del XXIII Convegno AMASES
- BIANCHI S. (1998). Su una classe di stimatori del parametro di autosimilarità delle distribuzioni di processi gaussiani correlati. In: XXII CONVEGNO AMASES. Genova, 1998
- BIANCHI S. (1997). Autocorrelazione delle serie finanziarie e non robustezza del range standardizzato. In: Atti della Giornata di Studio "Aspetti scientifici e didattici della teoria del rischio". Università degli Studi del Molise, Campobasso, 18/06/1997, CAMPOBASSO: Uniservice, vol. 1, p. 31-44
- BIANCHI S. (1997). Moto browniano multifrazionario e dinamiche finanziarie. In: XXI CONVEGNO AMASES. ROMA, 1997
- BIANCHI S. (1996). Un processo localmente stazionario per le dinamiche economiche. In: XX CONVEGNO AMASES. Urbino, 1996
- BIANCHI S. (1995). FMH: una verifica sul mercato italiano,. In: XIX Convegno AMASES. Pugnochiuso di Vieste

Main op-eds and public appearances
- Matematica e cognizione giurisprudenziale in Processi cognitivi e cognizione giurisdizionale , Università degli Studi di Cassino e del Lazio Meridionale, 13 dicembre 2019
- Lezione La Fisica della Finanza, Capirla per non subirla , Liceo Classifco Vitruvio Pollione , Formia, 10 dicembre 2019
- Lezione La Fisica della Finanza , Liceo Scientifico G. Pellecchia , Cassino, 18/02/2019
- Lezione La Fisica della Finanza , Convegno Educazione Finanziaria, la conoscenza rende liberi , FIDAPA, Formia, 17/11/2018
- Editorial 1° Maggio. Festa del lavoro (che manca e mancherà) , L Inchiesta, 01/05/2018
- Tavola rotonda Analisi delle ricadute PET sul territorio della Provincia di Frosinone e relativa individuazione del fabbisogno formativo. Nuove figure professionali nell ambito della Programmazione comunitaria 2014 2020 , Dipartimento di Economia e Giurisprudenza, Università degli Studi di Cassino e del Lazio Meridionale, 16/11/2017
- Interview SPY Finanza. I guai delle banche che la Germania vuol nascondere , released to the online newspaper Ilsussidiario.net, August 13th 2013 (http://www.ilsussidiario.net/News/Economia-e-Finanza/2013/8/13/SPY-FINAN...)
- Swap su tassi di interesse: l operazione del Comune di Cassino , Economia e Finanza: I derivati Cassino, Public conference, 25 marzo 2013, Biblioteca Comunale di Cassino P. Malatesta
- L'impatto dell'Università e della ricerca sulla creazione di opportunità e di prospettive occupazionali per i giovani , Public Conference «I giovani ed il lavoro: le possibili risposte ad una emergenza sociale», Comune di Cassino, Sala Restagno, 22 dicembre 2012
- La crisi: le cause e le ricette sbagliate. Come uscirne , Public conference, Sala comunale di Arce, 24/11/2012
- Interview FINANZA/ Altro che Tobin Tax, prima fermiamo i grandi speculatori (come fa Hollande) , released to the online newspaper Ilsussidiario.net, 16/11/2012
- Interview STANDARD & POOR'S/ Così la condanna australiana mette i brividi ai mostri sacri della finanza , released to the online newspaper Ilsussidiario.net, 6/11/2012
- Editorial Siamo MES proprio male , L'Inchiesta, 19/10/2012
- How the big banks have made millions with the spread , http://www.Ilsussidiario.net, 16/10/2012
- Così le grandi banche han fatto i miliardi con lo spread , http://www.Ilsussidiario.net, 15/10/2012
- Perché l Italia non fallirà, ma gli italiani probabilmente sì , L'Inchiesta, 11/10/2012
- Editorial Toccare il fondo per risollevarsi , L Inchiesta, 10/07/2012
- La bancarotta del capitale e la nuova società, nel laboratorio di Marx per uscire dalla crisi (by Paolo Ciofi). Book presentation and discussion, 25/05/2012
- Altri Lidi (by Sergio Sollima), Book presentation and discussion, 15/04/2012
- Crisi e ideologia neoliberista Book presentation and discussion, 30/03/2012
- Editorial Quanto ci costerà il debito degli USA? , L Inchiesta, 28/12/2011
- Editorial L effetto della crisi europea paralizza anche le reazioni dell economia locale , L Inchiesta, 28/11/2011
- Il mondo di domani. Cronaca della crisi globale tra presente e futuro , joint conference with Giulietto Chiesa, 9/11/2011
- Editorial L Italia nello scenario di crisi mondiale: si scrive debito, si legge rischio di default , Voce Camerale, 09/2011
- Mai ci fu pietà. La banda della Magliana dal 1977 a oggi (by Angela Camuso), Book presentation and discussion, 02/07/2010

Insegnamento Codice Anno Corso - Frequentare
MATEMATICA FINANZIARIA 1017164 2021/2022 Management e diritto d'impresa (sede di Latina)
QUANTITATIVE FINANCIAL MODELLING 10592803 2021/2022 Finanza e assicurazioni - Finance and insurance
MATEMATICA FINANZIARIA 1017164 2021/2022 Scienze aziendali
QUANTITATIVE FINANCIAL MODELLING 10592803 2020/2021 Finanza e assicurazioni - Finance and insurance
MATEMATICA FINANZIARIA 1017164 2020/2021 Management e diritto d'impresa (sede di Latina)
MATEMATICA FINANZIARIA 1017164 2020/2021 Scienze aziendali
MATEMATICA FINANZIARIA 1017164 2019/2020 Management e diritto d'impresa
MATEMATICA FINANZIARIA 1017164 2016/2017 Management e diritto d'impresa
Titolo Rivista Anno
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process COMPUTATIONAL MANAGEMENT SCIENCE 2021
A distribution-based method to gauge market liquidity through scale invariance between investment horizons APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 2020
On the asymptotic equilibrium of a population system with migration INSURANCE MATHEMATICS & ECONOMICS 2020
A new estimator of the self-similarity exponent through the empirical likelihood ratio test JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION 2020
The Origins of Randomness: Granularity, Information and Speed of Convergence MATHEMATICAL METHODS IN ECONOMICS AND FINANCE 2020
Introduction to the special issue: Fractional and multifractional models and methods in finance MATHEMATICAL METHODS IN ECONOMICS AND FINANCE 2020
Stochastic dominance in the outer distributions of the alfa-efficiency domain 2020
Matematica e cognizione giurisdizionale DIRITTO PUBBLICO EUROPEO. RASSEGNA ONLINE 2020
Fractal analysis of market (in)efficiency during the COVID-19 FINANCE RESEARCH LETTERS 2020
L’impatto della pandemia Covid-19 sull’efficienza dei mercati azionari DEMOCRAZIA E DIRITTI SOCIALI 2020
A distribution-based method to gauge market liquidity through scale invariance between investment horizons 2019
Special Issue: Fractional Calculus and its Applications RISK AND DECISION ANALYSIS 2018
Liquidity, Efficiency and the 2007-2008 Global Financial Crisis ANNALS OF ECONOMICS AND FINANCE 2018
Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets CHAOS, SOLITONS AND FRACTALS 2018
Fast and unbiased estimator of the time-dependent Hurst exponent CHAOS 2018
A demographic model with migration for a PAYG pension system 2017
Fractal stock markets: International evidence of dynamical (in)efficiency CHAOS 2017
Assessing market (in)efficiency 2016
Liquidity and Self-Similarity in the Distributions of the log price variations 2016
Asset price modeling: from Fractional to Multifractional Processes 2015
Dipartimento
METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO, LA FINANZA
SSD

SECS-S/06