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q-fin.MF2025
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…
q-fin.MF2025
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…
q-fin.MF2024
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…