66 citations · 150 across the 9 of their papers we have counts for
9 papers
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
Simone Bianco, Fulvio Corsi, Roberto Reno'
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and…
Universality of the rainfall phenomenon
M. Ignaccolo, C. De Michele, S. Bianco
We show that the universal properties of the rainfall phenomenon are the scaling properties of the probability density function of inter-drop intervals during quiescent periods, ti…
Renewal Aging as Emerging Property of Phase Synchronization
Simone Bianco, Elvis Geneston, Paolo Grigolini +1
In this letter we examine a model recently proposed to produce phase synchronization [K. Wood et al, Phys. Rev. Lett. 96, 145701 (2006)] and we show that the onset to synchronizati…
Unexpected volatility and intraday serial correlation
Simone Bianco, Roberto Renó
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to…
Brain, Music and non-Poisson Renewal Processes
Simone Bianco, Massimiliano Ignaccolo, Mark S. Rider +3
In this paper we show that both music composition and brain function, as revealed by the Electroencephalogram (EEG) analysis, are renewal non-Poisson processes living in the non-er…
Detecting long and short memory via spectral methods
Simone Bianco
We study the properties of memory of a financial time series adopting two different methods of analysis, the detrended fluctuation analysis (DFA) and the analysis of the power spec…