7 papers
(In)Efficient Market States and Rough Volatility Detected via Grunwald-Letnikov Fractional Derivative
Daniele Angelini
Testing self-similarity in fractional processes from a single observed trajectory is difficult under long-range dependence, because the associated Kolmogorov--Smirnov (KS) statisti…
Randomized Kolmogorov-Smirnov Analysis of Volatility Roughness
Sergio Bianchi, Daniele Angelini
We introduce a novel distribution-based estimator for the Hurst parameter of log-volatility, leveraging the Kolmogorov-Smirnov statistic to assess the scaling behavior of entire di…
Fair Volatility: A Framework for Reconceptualizing Financial Risk
Sergio Bianchi, Daniele Angelini
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that…
From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
Sergio Bianchi, Daniele Angelini, Massimiliano Frezza +1
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). H…
Market information of the fractional stochastic regularity model
Daniele Angelini, Matthieu Garcin
The Fractional Stochastic Regularity Model (FSRM) is an extension of Black-Scholes model describing the multifractal nature of prices. It is based on a multifractional process with…
Kolmogorov-Smirnov Estimation of Self-Similarity in Long-Range Dependent Fractional Processes
Daniele Angelini, Sergio Bianchi
This paper investigates the estimation of the self-similarity parameter in fractional processes. We re-examine the Kolmogorov-Smirnov (KS) test as a distribution-based method for a…