There is a growing consensus that fundamental financial theory based on the assumption that markets are complete is not sustainable when financial markets become increasingly complex. Traditional models fail to capture many of the stylized facts and biases identified by recent financial...

A dynamical measure is designed to assess the time-changing degree of efficiency of stock markets, under the hypothesis that the price process can be modeled by the Multifractional Processes with Random Exponent (MPRE), a class of stochastic processes recently defined by Ayache and Taqqu (2005)...

The paper deals with the problem of estimating the pointwise regularity of the multifractional Brownian motion, assumed as a model of the stock price dynamics. We (a) correct the shifting bias affecting a class of absolute moment-based estimators and (b) build a data-driven algorithm in order to...

This paper investigates the fractal behaviour of the electric spot prices traded in some European markets. Whereas the analysis leads to exclude the presence of multifractality, we provide evidence supporting the conclusion that the multifractional Brownian motion can represent a good candidate...

In traditional portfolio optimization the aim is to construct a portfolio of assets which simultaneously optimize a blend of high return and small risk. Within the classical Markowitz model, the efficient frontier identifies the set of portfolios that a rational investor considers according to...

In this work, assuming as a model the Multifractional Processes with Random Exponent (MPRE), we propose a simulation algorithm able to replicate financial time series, specifically pertaining to the FX market. We show how, properly choosing the functional parameter of the MPRE, the simulated...