FREZZA, MASSIMILIANO
FREZZA, MASSIMILIANO
DIPARTIMENTO DI METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO E LA FINANZA
A distribution-based method to gauge market liquidity through scale invariance between investment horizons
2019 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano
A distribution-based method to gauge market liquidity through scale invariance between investment horizons
2020 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano
A fractal-based approach for modeling stock price variations
2018 Frezza, M.
An information theory approach to stock market liquidity
2024 Bianchi, S; Bruni, V; Frezza, M; Marconi, S; Pianese, A; Vantaggi, B; Vitulano, D
Fair Volatility in the Fractional Stochastic Regularity Model
2024 Bianchi, Sergio; Angelini, Daniele; Frezza, Massimiliano; Maria Palazzo, Anna; Pianese, Augusto
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
2022 Frezza, M.; Bianchi, S.; Pianese, Augusto
Fractal analysis of market (in)efficiency during the COVID-19
2021 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Fractal stock markets: International evidence of dynamical (in)efficiency
2017 Bianchi, Sergio; Frezza, Massimiliano
Goodness of fit assessment for a fractal model of stock markets
2014 Frezza, M.
Liquidity, Efficiency and the 2007-2008 Global Financial Crisis
2018 Bianchi, Sergio; FREZZA, MASSIMILIANO
L’impatto della pandemia Covid-19 sull’efficienza dei mercati azionari
2020 Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto
Modeling the time-changing dependence in stock markets
2012 Frezza, Massimiliano
Modelling H-Volatility with Fractional Brownian Bridge
2022 Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto; Palazzo Anna, Maria
Nonlinearity of the volume–volatility correlation filtered through the pointwise Hurst–Hölder regularity
2023 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Rough volatility via the Lamperti transform
2023 Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano
Simulation of Historical Time Series Using MPRE, a Focus on Correlation in Squared Returns
2011 Pantanella, Alexandre; Frezza, Massimiliano
Stochastic dominance in the outer distributions of the alfa-efficiency domain
2020 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano; Palazzo, Anna Maria
The volume-volatility relationship: A fractal analysis for a stock index
2020 Frezza, Massimiliano