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Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2025-01-21 17:37:07]
5 Years H Index
60
Impact Factor (IF)
0.57
5 Years IF
0.67
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
2001 0 0.39 0.46 0 67 67 2918 27 32 0 0 0 27 0.4 0.17
2002 0.57 0.41 0.46 0.57 63 130 1101 56 92 67 38 67 38 4 7.1 10 0.16 0.21
2003 0.67 0.44 0.68 0.67 68 198 890 132 226 130 87 130 87 16 12.1 6 0.09 0.22
2004 0.52 0.49 0.65 0.56 67 265 1306 170 399 131 68 198 110 22 12.9 14 0.21 0.22
2005 0.41 0.51 0.82 0.61 50 315 1107 250 656 135 56 265 162 21 8.4 7 0.14 0.24
2006 0.49 0.51 0.81 0.61 45 360 567 283 947 117 57 315 191 39 13.8 11 0.24 0.23
2007 0.45 0.46 0.67 0.46 63 423 740 274 1230 95 43 293 135 18 6.6 10 0.16 0.2
2008 0.28 0.49 0.76 0.45 64 487 836 361 1598 108 30 293 133 35 9.7 19 0.3 0.23
2009 0.3 0.48 0.77 0.56 79 566 789 427 2033 127 38 289 161 33 7.7 6 0.08 0.24
2010 0.45 0.48 0.73 0.55 114 680 1809 491 2528 143 65 301 165 35 7.1 28 0.25 0.21
2011 0.41 0.52 0.66 0.42 128 808 952 524 3058 193 79 365 155 39 7.4 22 0.17 0.24
2012 0.53 0.52 0.76 0.6 164 972 1045 730 3794 242 129 448 268 61 8.4 21 0.13 0.22
2013 0.46 0.56 0.92 0.62 137 1109 1095 1020 4818 292 135 549 341 56 5.5 30 0.22 0.24
2014 0.49 0.55 0.9 0.61 154 1263 1012 1122 5953 301 146 622 381 52 4.6 24 0.16 0.23
2015 0.56 0.55 0.88 0.58 138 1401 1282 1233 7188 291 164 697 406 66 5.4 65 0.47 0.23
2016 0.7 0.52 1.01 0.61 136 1537 1013 1544 8733 292 203 721 442 90 5.8 30 0.22 0.21
2017 0.66 0.54 0.88 0.64 141 1678 929 1484 10218 274 181 729 469 75 5.1 36 0.26 0.22
2018 0.75 0.55 0.89 0.69 151 1829 933 1625 11844 277 208 706 487 18 1.1 42 0.28 0.23
2019 0.75 0.56 0.85 0.72 154 1983 837 1688 13534 292 220 720 520 4 0.2 41 0.27 0.23
2020 0.87 0.67 0.97 0.83 137 2120 488 2059 15596 305 266 720 600 12 0.6 49 0.36 0.32
2021 0.9 0.79 0.94 0.8 132 2252 454 2111 17707 291 261 719 572 6 0.3 54 0.41 0.29
2022 0.81 0.83 0.88 0.83 137 2389 170 2112 19819 269 218 715 591 3 0.1 21 0.15 0.25
2023 0.7 0.82 0.75 0.69 117 2506 87 1880 21699 269 189 711 493 8 0.4 22 0.19 0.23
2024 0.57 0.71 0.67 85 2591 12 1850 23549 254 144 677 453 0 13 0.15
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

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1274
22004Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

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385
32005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

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281
42018Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

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245
52001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

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237
62016Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

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228
72001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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198
82010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

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195
92008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

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193
102010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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168
112011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

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162
122002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

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162
132002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

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160
142001Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

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156
152003Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

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155
162010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

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155
172004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

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146
182002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

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142
192003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

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142
202007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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142
212010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

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140
222001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

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131
232015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

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130
242010Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

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129
252004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

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128
262013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

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124
272017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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120
282011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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110
292001High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

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107
302010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

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105
312001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

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100
322013Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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97
332015Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636.

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94
342002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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92
352007Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442.

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88
362019Universal features of price formation in financial markets: perspectives from deep learning. (2019). Cont, Rama ; Sirignano, Justin . In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1449-1459.

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88
372004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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88
382010Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

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84
392015On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

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82
402012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

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79
412001Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631.

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79
422012Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707.

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77
432014Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71.

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77
442003Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

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77
452008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

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74
462012Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327.

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74
472013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

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73
482010International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399.

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72
492020A critical investigation of cryptocurrency data and analysis. (2020). Dakos, M ; Alexander, C. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

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71
502002Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198.

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71
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

155
22016Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

Full description at Econpapers || Download paper

68
32018Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

Full description at Econpapers || Download paper

51
42010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

Full description at Econpapers || Download paper

42
52008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

39
62017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

Full description at Econpapers || Download paper

36
72020A critical investigation of cryptocurrency data and analysis. (2020). Dakos, M ; Alexander, C. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

Full description at Econpapers || Download paper

33
82019Universal features of price formation in financial markets: perspectives from deep learning. (2019). Cont, Rama ; Sirignano, Justin . In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1449-1459.

Full description at Econpapers || Download paper

31
92010Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

31
102020Quant GANs: deep generation of financial time series. (2020). Kretschmer, Peter ; Korn, Ralf ; Knobloch, Robert ; Wiese, Magnus. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:9:p:1419-1440.

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28
112021Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. (2021). Tomas, Mehdi ; Muguruza, Aitor ; Horvath, Blanka. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:11-27.

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26
122019Gold price dynamics and the role of uncertainty. (2019). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:663-681.

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26
132004Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

24
142007Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442.

Full description at Econpapers || Download paper

24
152015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

Full description at Econpapers || Download paper

23
162015Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636.

Full description at Econpapers || Download paper

20
172010Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

Full description at Econpapers || Download paper

20
182002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

Full description at Econpapers || Download paper

20
192010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

Full description at Econpapers || Download paper

19
202010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

Full description at Econpapers || Download paper

19
212015On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

Full description at Econpapers || Download paper

18
222005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

18
232018Hawkes processes and their applications to finance: a review. (2018). Hawkes, Alan G. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:2:p:193-198.

Full description at Econpapers || Download paper

18
242002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

Full description at Econpapers || Download paper

18
252021Volatility has to be rough. (2021). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:1-8.

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18
262021Multilayer information spillover networks: measuring interconnectedness of financial institutions. (2021). Stanley, Eugene H ; Xie, Chi ; Yi, Shuyue ; Wang, Gang-Jin. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:7:p:1163-1185.

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18
272013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

Full description at Econpapers || Download paper

17
282011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

17
292001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

Full description at Econpapers || Download paper

16
302021Bitcoin, currencies, and fragility. (2021). Taleb, Nassim Nicholas. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:8:p:1249-1255.

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15
312001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

15
322013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

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15
332021Equal risk pricing of derivatives with deep hedging. (2021). Carbonneau, Alexandre ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:4:p:593-608.

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342010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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352019On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators. (2019). GUPTA, RANGAN ; Demirer, Riza ; Sornette, Didier ; Demos, Guilherme. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:5:p:843-858.

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362017Toward robust early-warning models: a horse race, ensembles and model uncertainty. (2017). Holopainen, Markus ; Sarlin, Peter. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:12:p:1933-1963.

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372018Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. (2018). de Spiegeleer, Jan ; Schoutens, Wim ; Reyners, Sofie ; Madan, Dilip B. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1635-1643.

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382014Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71.

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392012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

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402015Optimal execution with limit and market orders. (2015). Cartea, Álvaro ; Jaimungal, Sebastian. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:8:p:1279-1291.

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412005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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422019Deep learning for limit order books. (2019). Sirignano, Justin A. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:549-570.

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432015A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Mastromatteo, I ; Bonart, J. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121.

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442011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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452002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

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462015Modelling the emergence of the interbank networks. (2015). Kok, Christoffer ; Halaj, Grzegorz. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:653-671.

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472010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

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482012Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327.

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492019The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios. (2019). Halperin, Igor. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1543-1553.

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502021Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions. (2021). , Justin ; Chen, Yangang. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:45-67.

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Citing documents used to compute impact factor: 144
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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024Calibrating doubly-robust estimators with unbalanced treatment assignment. (2024). Ballinari, Daniele. In: Economics Letters. RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003227.

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2024Variance insurance contracts. (2024). Chi, Yichun ; Zhuang, Sheng Chao ; Yu, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:62-82.

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2024The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach. (2024). Pop, Adrian ; Levy-Rueff, Guy ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001007.

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2024Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference. (2023). Gebbie, Tim ; Polakow, Daniel ; Flint, Emlyn. In: Papers. RePEc:arx:papers:2311.16570.

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2024Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572.

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2024Multistep short-term wind power forecasting model based on secondary decomposition, the kernel principal component analysis, an enhanced arithmetic optimization algorithm, and error correction. (2024). Fan, Yuzhen ; Wang, Junjie ; Hou, Guolian. In: Energy. RePEc:eee:energy:v:286:y:2024:i:c:s0360544223030347.

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2024Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024Impacts of bitcoin on monetary system: Is Chinas bitcoin ban necessary?. (2024). Wang, Chen ; Wu, Ruoxi ; Li, Xiao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000291.

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2024Put–call parity in a crypto option market — Evidence from Binance. (2024). Varadi, Kata ; Kralik, Balazs ; Felfoldi-Szcs, Nora. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012461.

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2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

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2024Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity. (2024). Fan, Zhengyang ; Ji, Ran ; Lejeune, Miguel A. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:203:y:2024:i:3:d:10.1007_s10957-024-02550-y.

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2024Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

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2024Can central bankers’ talk predict bank stock returns? A machine learning approach. (2024). Pyrgiotakis, Emmanouil G ; Panagiotou, Nikolaos P ; Leledakis, George N ; Katsafados, Apostolos G. In: MPRA Paper. RePEc:pra:mprapa:122899.

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2024Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

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2024Multivariate Rough Volatility. (2024). Pigato, Paolo ; Giorgio, Giacomo ; Dugo, Ranieri. In: Papers. RePEc:arx:papers:2412.14353.

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2024Quantization of stochastic volatility models: Numerical tests and an open source implementation. (2024). Picarelli, Athena ; Gnoatto, Alessandro ; Fina, Alessandro. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:29-51.

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2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2024Spanning Multi-Asset Payoffs With ReLUs. (2024). Nguyen, Hoang-Dung ; Cr, St'Ephane ; Bossu, S'Ebastien. In: Papers. RePEc:arx:papers:2403.14231.

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2024Entropy Augmented Asset Pricing Model: Study on Indian Stock Market. (2024). Barai, Parama ; Mishra, Harshit. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09407-w.

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2024Relative entropy-regularized robust optimal order execution. (2023). Wang, Tai-Ho. In: Papers. RePEc:arx:papers:2311.06476.

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2024Viscosity solution for optimal liquidation problems with randomly-terminated horizon. (2024). Zhu, Dong-Mei ; Wong, Tak Kwong ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yang, Qing-Qing. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000734.

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2024Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior. (2024). Florescu, Ionut ; Thomas, Matthew ; Li, Zheng ; Yao, Zhiyuan. In: Papers. RePEc:arx:papers:2403.19781.

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2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Wang, Guiling ; Uddin, Ajim ; Gu, Jingyi ; Goswami, Bhaskar ; Ye, Junyi. In: Papers. RePEc:arx:papers:2403.06779.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024Market price determination: Interpreting quote order imbalance under zero-profit equilibrium. (2024). Long, Xingchen ; Wu, Liang ; Yan, Jingzhou. In: Economic Modelling. RePEc:eee:ecmode:v:134:y:2024:i:c:s0264999324000646.

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2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market. (2024). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2024Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

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2024Path-dependent PDEs for volatility derivatives. (2023). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289.

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2024A time-stepping deep gradient flow method for option pricing in (rough) diffusion models. (2024). Rou, Jasper ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.00746.

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2024Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061.

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2024Fractal properties, information theory, and market efficiency. (2024). Garcin, Matthieu ; Brouty, Xavier. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948.

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2024Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference. (2024). Chakraborty, Tanujit ; Bandyopadhyay, Gautam ; Rakshit, Agni. In: Papers. RePEc:arx:papers:2405.02919.

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2024Deep Signature Algorithm for Path-Dependent American option pricing. (2022). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691.

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2024An extended Merton problem with relaxed benchmark tracking. (2023). Yu, Xiang ; Huang, Yijie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802.

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2024On optimal tracking portfolio in incomplete markets: The classical control and the reinforcement learning approaches. (2023). Huang, Yijie ; Bo, Lijun ; Yu, Xiang. In: Papers. RePEc:arx:papers:2311.14318.

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2024Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800.

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2024A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models. (2024). Dang, Duy-Minh ; Zhang, Hanwen. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140.

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2024Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2024). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431.

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2024Exact simulation of the Hull and White stochastic volatility model. (2024). Gonzato, Luca ; Brignone, Riccardo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538.

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2024Limit Order Book Simulations: A Review. (2024). Treleaven, Philip ; Kochems, Jonathan ; Firoozye, Nick ; Jain, Konark. In: Papers. RePEc:arx:papers:2402.17359.

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2024Robust portfolio selection with smart return prediction. (2024). Li, Bin ; Tu, Xueyong. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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2024Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets. (2024). Zhao, Yang ; Wang, Shuai ; Lv, Mengzheng ; Gao, Jialu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003508.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Sequential management of energy and low-carbon portfolios. (2024). Salvador, Manuel ; Miguel, Jesus A ; Lample, Luis ; Gargallo, Pilar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000564.

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2024Risk premium and rough volatility. (2024). Muguruza, Aitor ; Jacquier, Antoine ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2403.11897.

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2024A Unifying Approach for the Pricing of Debt Securities. (2024). MacKay, Anne ; Vachon, Marie-Claude. In: Papers. RePEc:arx:papers:2403.06303.

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2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317.

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2024Crude oil futures and the short-term price predictability of petroleum products. (2024). Wang, Yudong ; Xiao, Jihong ; Wen, Danyan. In: Energy. RePEc:eee:energy:v:307:y:2024:i:c:s0360544224025246.

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2024Liability-driven investment for pension funds: stochastic optimization with real assets. (2024). Owadally, Iqbal ; Clare, Andrew ; Jang, Chul. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00141-9.

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2024Cryptocurrency anomalies and economic constraints. (2024). Zaremba, Adam ; Liedtke, Gerrit ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

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2024Agricultural commodities market reaction to COVID-19. (2024). Dragolea, Larisa Loredana ; Mudakkar, Syeda Rabab ; Iuga, Iulia Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000801.

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2024A generalization of the rational rough Heston approximation. (2023). Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2310.09181.

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2024Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2024Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2309.08431.

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2024Trade execution games in a Markovian environment. (2024). Shimoshimizu, Makoto ; Ohnishi, Masamitsu. In: Papers. RePEc:arx:papers:2405.07184.

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2024Towards an era of multi-source uncertainty: A systematic and bibliometric analysis. (2024). Wang, Ziyi ; Geng, Yong ; Zhong, Yiran ; Tan, Xueping ; Zhao, Difei ; Vivian, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003430.

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2024Navigating the crisis: Fuel price caps in the Australian national wholesale electricity market. (2024). Nepal, Rabindra ; Jamasb, Tooraj ; Pourkhanali, Armin ; Khezr, Peyman. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007351.

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2024Improved prediction of global gold prices: An innovative Hurst-reconfiguration-based machine learning approach. (2024). Zeng, Zixun ; Wang, Ruotong ; Yang, MO ; Li, Peizhi. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011418.

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2024Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification. (2024). Scozzari, Andrea ; Ricca, Federica. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:700-717.

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2024Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. (2024). Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2403.02832.

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2024Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2405.02570.

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2024Equilibrium in Style: A Modeling Framework on the Cash Flow and the Life Cycle of a Consumer Store. (2024). Liu, Yang ; Lei, Jian ; Han, Shanyu. In: Papers. RePEc:arx:papers:2404.02426.

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2024Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2024). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Robust online portfolio optimization with cash flows. (2024). Ching, Wai-Ki ; Guo, Sini ; Wu, Boqian ; Lyu, Benmeng. In: Omega. RePEc:eee:jomega:v:129:y:2024:i:c:s0305048324001348.

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2023Rough PDEs for local stochastic volatility models. (2023). Pelizzari, Luca ; Friz, Peter K ; Bayer, Christian ; Bank, Peter. In: Papers. RePEc:arx:papers:2307.09216.

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2023Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling. (2023). Imajo, Kentaro ; Minami, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2307.13217.

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2023The Geometry of Constant Function Market Makers. (2023). Kulkarni, Kshitij ; Evans, Alex ; Diamandis, Theo ; Chitra, Tarun ; Angeris, Guillermo. In: Papers. RePEc:arx:papers:2308.08066.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

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2023Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936.

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2023Primal and dual optimal stopping with signatures. (2023). Pelizzari, Luca ; Bayer, Christian ; Schoenmakers, John. In: Papers. RePEc:arx:papers:2312.03444.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Crypto quanto and inverse options. (2023). Alexander, Carol ; Imeraj, Arben ; Chen, Ding. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1005-1043.

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2023Dynamic spending and portfolio decisions with a soft social norm. (2023). Bjerketvedt, Vegard Skonseng ; Tronnes, Haakon Andreas ; Harang, Fabian Andsem ; Mork, Knut Anton. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000738.

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2023Two-stage investment, loan guarantees and share buybacks. (2023). Yang, Zhaojun ; Nishihara, Michi ; Dong, Linjia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:156:y:2023:i:c:s0165188923001471.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation. (2023). Zoia, Maria Grazia ; Nava, Consuelo Rubina ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001708.

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2023Climbing the income ladder: Search and investment in a regime-switching affine income model. (2023). Serrano, Rafael. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300702x.

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2023News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657.

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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-04102815.

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2023Risk budgeting using a generalized diversity index. (2023). Koumou, Gilles Boevi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00326-z.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z.

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2023Volatility is (mostly) path-dependent. (2023). Lekeufack, Jordan ; Guyon, Julien. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:9:p:1221-1258.

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Recent citations received in 2022
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2022Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524.

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2022Sensitivities and Hedging of the Collateral Choice Option. (2022). Wolf, Felix L ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2207.10373.

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2022A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. In: Papers. RePEc:arx:papers:2208.11976.

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2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

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2022Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823.

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2022Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447.

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2022A Data-driven Case-based Reasoning in Bankruptcy Prediction. (2022). Lessmann, Stefan ; Hardle, Wolfgang Karl ; Li, Wei. In: Papers. RePEc:arx:papers:2211.00921.

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2022Optimal performance of a tontine overlay subject to withdrawal constraints. (2022). Westmacott, G ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2211.10509.

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2022Pricing the risk due to weather conditions in small variable renewable energy projects. (2022). Uribe, Jorge M ; Mosquera-Lopez, Stephania. In: Applied Energy. RePEc:eee:appene:v:322:y:2022:i:c:s0306261922008029.

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2022Inflation rate tracking portfolio optimization method: Evidence from Japan. (2022). Suimon, Yoshiyuki ; Nakagawa, Kei. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003531.

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2022Distributionally robust optimization for the berth allocation problem under uncertainty. (2022). Rodrigues, Filipe ; Agra, Agostinho. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:164:y:2022:i:c:p:1-24.

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2022The Impact of Financial Derivatives on the Enterprise Value of Chinese Listed Companies: Moderating Effects of Managerial Characteristics. (2022). Othman, Jaizah ; Xian, Brian Sheng ; Li, Wenqi ; Yang, AO. In: IJFS. RePEc:gam:jijfss:v:11:y:2022:i:1:p:2-:d:1011454.

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2022A Generalized Entropy Approach to Portfolio Selection under a Hidden Markov Model. (2022). Zhao, Yonggan ; Yu, Lijun ; MacLean, Leonard. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:337-:d:876199.

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2022.

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2022Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model. (2022). Clark, Steven P ; Bueno-Guerrero, Alberto ; Blenman, Lloyd P. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:188-:d:927307.

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2022A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. In: Working Papers. RePEc:hal:wpaper:hal-03760478.

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2022Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03835948.

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2022On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. (2022). Asmussen, Soren. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00482-x.

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2022Optimal Control of Diffusion Processes with Terminal Constraint in Law. (2022). Daudin, Samuel. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:1:d:10.1007_s10957-022-02053-8.

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2022A hybrid approach to the discrepancy in financial performance’s robustness. (2022). Rossello, Damiano ; Arcidiacono, Sally G. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:5:d:10.1007_s12351-022-00707-z.

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2022Venturing into uncharted territory: An extensible implied volatility surface model. (2022). Godin, Frederic ; Gauthier, Genevieve ; Galarneauvincent, Remi ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1912-1940.

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Recent citations received in 2021
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2021.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551.

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2021Generative Adversarial Networks in finance: an overview. (2021). Osterrieder, Joerg ; Eckerli, Florian. In: Papers. RePEc:arx:papers:2106.06364.

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2021Robust deep hedging. (2021). Sester, Julian ; Schmidt, Thorsten ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2106.10024.

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2021On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758.

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2021Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721.

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2021cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope. (2021). Nielsen, Frank ; Goubet, Victor ; Marti, Gautier. In: Papers. RePEc:arx:papers:2107.10606.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2021Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141.

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2021Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. (2021). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed. In: Papers. RePEc:arx:papers:2109.04001.

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2021On certain representations of pricing functionals. (2021). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2109.05564.

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2021A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742.

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2021Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320.

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2021Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544.

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2021Multi-Asset Spot and Option Market Simulation. (2021). Bai, Lianjun ; Murray, Phillip ; Buehler, Hans ; Korn, Ralf ; Pachoud, Alexandre ; Wood, Ben ; Wiese, Magnus. In: Papers. RePEc:arx:papers:2112.06823.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2021Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis. (2021). Pattnaik, Debidutta ; Lim, Weng Marc ; Kumar, Satish ; Goodell, John W. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001210.

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2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786.

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2021CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804.

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2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Chang, Xiaoming ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297.

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2021On the stability of stablecoins. (2021). Sapkota, Niranjan ; Kolari, James W ; Junttila, Juha ; Grobys, Klaus. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:207-223.

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2021A multi-factor approach to modelling the impact of wind energy on electricity spot prices. (2021). Gruet, Pierre ; Rowiska, Paulina A. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953.

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2021Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results. (2021). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004977.

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2021Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2021Deep hedging of long-term financial derivatives. (2021). Carbonneau, Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:327-340.

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2021Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets. (2021). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:117-136.

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2021The internal connection analysis of information sharing and investment performance in the venture capital network community. (2021). Chen, Min ; Zhong, Ziqi ; Sun, Kaiyang ; Feng, Bing. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112731.

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2021A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Zhu, Yichen. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076.

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2021Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint. (2021). Prepuk, Andrea ; Muratov-Szabo, Kira ; Friesz, Melinda ; Varadi, Kata. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:148-:d:617590.

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2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724.

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2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

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2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202113.

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2021Model uncertainty on commodity portfolios, the role of convenience yield. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Chen, Junhe. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00393-5.

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2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: MPRA Paper. RePEc:pra:mprapa:108421.

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2021Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty. (2021). GUPTA, RANGAN ; Ma, Feng ; Cepni, Oguzhan ; Wang, Jiqian. In: Working Papers. RePEc:pre:wpaper:202173.

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2021Quantile-based optimal portfolio selection. (2021). Tyrcha, Joanna ; Thorsen, Erik ; Lindholm, Mathias ; Bodnar, Taras. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00395-8.

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2021A new approach to wind power futures pricing. (2021). Hess, Markus. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00345-8.

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2021A note on calculating expected shortfall for discrete time stochastic volatility models. (2021). Christou, Eliana ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00254-0.

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2021Duality theory for robust utility maximisation. (2021). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00455-6.

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2021Robust state-dependent mean–variance portfolio selection: a closed-loop approach. (2021). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00457-4.

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2021Robust Arbitrage Conditions for Financial Markets. (2021). Zhang, Shuzong ; Singh, Derek. In: SN Operations Research Forum. RePEc:spr:snopef:v:2:y:2021:i:3:d:10.1007_s43069-021-00073-0.

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2021Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2021/45.

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