Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. - Massimiliano Frezza; Sergio Bianchi; Augusto Pianese (Comput. Manag. Sci., 2022)

Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity. - Massimiliano Frezza; Sergio Bianchi; Augusto Pianese (Commun. Nonlinear Sci. Numer. Simul., 2023)

Rough volatility via the Lamperti transform. - Sergio Bianchi; Daniele Angelini; Augusto Pianese; Massimiliano Frezza (Commun. Nonlinear Sci. Numer. Simul., 2023)

A new tool to detect financial data scaling. - Sergio Bianchi; Augusto Pianese; Massimiliano Frezza; Daniele Angelini (Frontiers Appl. Math. Stat., 2025)