29 citations · 83 across the 7 of their papers we have counts for
4 papers · 1 filter
Multiscaling in the Rough Bergomi Model: A Tale of Tails
Giuseppe Brandi, Tiziana Di Matteo
The rough Bergomi (rBergomi) model, characterised by its roughness parameter , has been shown to exhibit multiscaling behaviour as approaches zero. Multiscaling has profound…
Multiscaling and rough volatility: an empirical investigation
Giuseppe Brandi, T. Di Matteo
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts,…
The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool
Ioannis P. Antoniades, Giuseppe Brandi, L. G. Magafas +1
The dynamical evolution of multiscaling in financial time series is investigated using time-dependent Generalized Hurst Exponents (GHE), , for various values of the parameter…
On the interplay between multiscaling and stocks dependence
R. J. Buonocore, G. Brandi, R. N. Mantegna +1
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the o…