6 papers
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…
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…
Integrating the implied regularity into implied volatility models: A study on free arbitrage model
Daniele Angelini, Fabrizio Di Sciorio
Implied volatility IV is a key metric in financial markets, reflecting market expectations of future price fluctuations. Research has explored IV's relationship with moneyness, foc…
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…