← All authors Maria C. Mariani Department of Mathematical Sciences (from arXiv:1901.09145, 2019) · ORCID · OpenAlex
57 papers in scope · 57 published · 1 on the econ.EM arXiv · 591 citations · h-index 14 (over the papers listed here)
Papers (1 of 57)
Evaluating the Efficacy of Large Language Models in Stock Market Decision-Making: A Decision-Focused, Price-Only, Multi-Country Analysis Using Historical Price Data
published 2026 · Machine Learning and Knowledge Extraction
Characterization and Prediction of the Ghana Stock Exchange Composite Index Utilizing Bayesian Stochastic Volatility Models
published 2024 · Risks
Volatility Analysis of Financial Time Series Using the Multifractal Conditional Diffusion Entropy Method
published 2024 · Fractal and Fractional · 2 citations
Multifractal analysis of the Southern Oscillation Index
published 2023 · Journal of Atmospheric and Solar-Terrestrial Physics · 11 citations
Classification of Financial Events and Its Effects on Other Financial Data
published 2023 · Axioms · 2 citations
Determining the background driving process of the Ornstein-Uhlenbeck model
published 2023 · Electronic Journal of Differential Equations · 2 citations
SCALING DETECTION IN EXTRACHROMOSOMAL DNA
published 2022 · Fractals · 3 citations
A 3-component superposed Ornstein-Uhlenbeck model applied to financial stock markets
published 2022 · Research in Mathematics · 5 citations
Data Analysis Using a Coupled System of Ornstein–Uhlenbeck Equations Driven by Lévy Processes
published 2022 · Axioms · 4 citations
Relationship between Continuum of Hurst Exponents of Noise-like Time Series and the Cantor Set
published 2021 · Entropy · 4 citations
Modeling high frequency stock market data by using stochastic models
published 2021 · Stochastic Analysis and Applications · 5 citations
Analyzing Medical Data by Using Statistical Learning Models
published 2021 · Mathematics · 5 citations
Long memory effects and forecasting of earthquake and volcano seismic data
published 2020 · Physica A Statistical Mechanics and its Applications · 4 citations
Self-Similar Models: Relationship between the Diffusion Entropy Analysis, Detrended Fluctuation Analysis and Lévy Models
published 2020 · Mathematics · 9 citations
Long-Range Correlations and Characterization of Financial and Volcanic Time Series
published 2020 · Mathematics · 21 citations
Stochastic Volatility Models
published 2019 · Quantitative Finance · 2 citations
Bibliography
published 2019 · Quantitative Finance
Index
published 2019 · Quantitative Finance
Analysis of stock market data by using Dynamic Fourier and Wavelets techniques
published 2019 · Physica A Statistical Mechanics and its Applications · 14 citations
Analytic Methods for Solving Higher Order Ordinary Differential Equations
published 2019 · Mathematics · 6 citations
Lévy Flights and Wavelets Analysis of Volcano-Seismic Data
published 2019 · Pure and Applied Geophysics · 4 citations
published 2018 · Physica A Statistical Mechanics and its Applications · 7 citations
Analysis of Financial Time Series by Using Ornstein-Uhlenbeck Type Models
published 2017 · World Academy of Science, Engineering and Technology, International Journal of Mathematical and Computational Sciences
no link
Estimation of stochastic volatility by using Ornstein–Uhlenbeck type models
published 2017 · Physica A Statistical Mechanics and its Applications · 13 citations
Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies
published 2017 · Physica A Statistical Mechanics and its Applications · 13 citations
Chile2015: Lévy Flight and Long-Range Correlation Analysis of Earthquake Magnitudes in Chile
published 2016 · Pure and Applied Geophysics · 5 citations
Stochastic Differential Equation of Earthquakes Series
published 2016 · Pure and Applied Geophysics · 11 citations
Use of wavelets techniques to discriminate between explosions and natural earthquakes
published 2016 · Physica A Statistical Mechanics and its Applications · 19 citations
Stochastic differential equations applied to the study of geophysical and financial time series
published 2015 · Physica A Statistical Mechanics and its Applications · 27 citations
Evaluation of Interpolants in Their Ability to Fit Seismometric Time Series
published 2015 · Mathematics · 2 citations
with Kanadpriya Basu, Laura Serpa, Ritwik Sinha
Special Issue of Quantitative Finance on ‘High Frequency Data Modeling in Finance’
published 2015 · Quantitative Finance
Numerical methods applied to option pricing models with transaction costs and stochastic volatility
published 2015 · Quantitative Finance · 8 citations
with Indranil SenGupta, Granville Sewell
Spline interpolation techniques applied to the study of geophysical data
published 2015 · Physica A Statistical Mechanics and its Applications · 13 citations
with Kanadpriya Basu
Local regression type methods applied to the study of geophysics and high frequency financial data
published 2014 · Physica A Statistical Mechanics and its Applications · 23 citations
with Kanadpriya Basu
NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
published 2013 · International Journal of Theoretical and Applied Finance · 22 citations
Lévy models and scale invariance properties applied to Geophysics
published 2012 · Physica A Statistical Mechanics and its Applications · 19 citations
Spherical Harmonics Applied to Differential and Integro-Differential Equations Arising in Mathematical Finance
published 2012 · Differential Equations and Dynamical Systems · 3 citations
with Indranil SenGupta
Nonlinear problems modeling stochastic volatility and transaction costs
published 2012 · Quantitative Finance · 8 citations
with Indranil SenGupta
Foreword
published 2012 · Quantitative Finance · 1 citations
Normalized truncated Levy walk applied to flexible pavement performance
published 2012 · Transportation Research Part C Emerging Technologies · 8 citations
with Alessandra Bianchini, Paola Bandini
Numerical Solutions for Option Pricing Models Including Transaction Costs and Stochastic Volatility
published 2012 · Acta Applicandae Mathematicae · 20 citations
with Indranil SenGupta, Pavel Bezdek
Solutions to Integro-differential Problems Arising on Pricing Options in a Lévy Market
published 2012 · Acta Applicandae Mathematicae · 4 citations
with Indranil SenGupta, Pablo Amster
Ising type models applied to Geophysics and high frequency market data
published 2011 · Physica A Statistical Mechanics and its Applications · 12 citations
Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
published 2011 · Nonlinear Analysis Real World Applications · 19 citations · first circulated 2010
Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
published 2011 · Journal of Mathematical Analysis and Applications · 5 citations
with Indranil SenGupta, Marc Salas
Study of memory effects in international market indices
published 2009 · Physica A Statistical Mechanics and its Applications · 24 citations
Levy models and long correlations applied to the study of exchange traded funds
published 2009 · International Journal of Computer Mathematics · 9 citations
with James D. Libbin, Kenneth J. Martin, E. Ncheuguim, M. P. Béccar Varela, Vidya Mani, Christopher A. Erickson, Delia J. Valles-Rosales
A parabolic problem arising in Financial Mathematics
published 2009 · Nonlinear Analysis Real World Applications · 4 citations
with Pablo Amster, C.G. Averbuj, Pablo De Nápoli
Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data
published 2008 · Physica A Statistical Mechanics and its Applications · 7 citations
Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets
published 2007 · Physica A Statistical Mechanics and its Applications · 8 citations
with James D. Libbin, Vidya Mani, M. P. Béccar Varela, Christopher A. Erickson, Delia J. Valles-Rosales
A new analysis of the effects of the Asian crisis of 1997 on emergent markets
published 2007 · Physica A Statistical Mechanics and its Applications · 8 citations
with Yuxuan Liu
Normalized truncated Levy walks applied to the study of financial indices
published 2006 · Physica A Statistical Mechanics and its Applications · 43 citations
with Yeshe Khandro Liu
A new analysis of intermittence, scale invariance and characteristic scales applied to the behavior of financial indices near a crash
published 2006 · Physica A Statistical Mechanics and its Applications · 9 citations
with Yang Liu
Long correlations and truncated Levy walks applied to the study Latin-American market indices
published 2005 · Physica A Statistical Mechanics and its Applications · 24 citations
with S. Jaroszewicz, Marta B. Ferraro
A Black–Scholes option pricing model with transaction costs
published 2004 · Journal of Mathematical Analysis and Applications · 61 citations
with Pablo Amster, C.G. Averbuj, Diego Rial
The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model
published 2003 · International Journal of Theoretical and Applied Finance · 10 citations
with Marcelo G. Figueroa, Marta B. Ferraro
Stationary solutions for two nonlinear Black–Scholes type equations
published 2002 · Journal of Mathematical Analysis and Applications · 19 citations
with Pablo Amster, C.G. Averbuj
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