4 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…