Most cited documents in this series:

Year	Title	Cited
2001	Empirical properties of asset returns: stylized facts and statistical issues RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236 [Citation Analysis]	57
2001	Financial markets as nonlinear adaptive evolutionary systems RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167 [Citation Analysis]	48
2001	What good is a volatility model? RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245 [Citation Analysis]	34
2002	Dynamics of implied volatility surfaces RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60 [Citation Analysis]	31
2004	Network topology of the interbank market RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684 [Citation Analysis]	26
2005	Empirical modelling of contagion: a review of methodologies RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24 [Citation Analysis]	24
2003	Dependence structures for multivariate high-frequency data in finance RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14 [Citation Analysis]	23
2001	Asset price and wealth dynamics under heterogeneous expectations RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526 [Citation Analysis]	20
2002	Statistical properties of stock order books: empirical results and models RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256 [Citation Analysis]	19
2001	Significance of log-periodic precursors to financial crashes RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471 [Citation Analysis]	19
2004	Fluctuations and response in financial markets: the subtle nature of random price changes RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190 [Citation Analysis]	17
2001	Stochastic volatility, power laws and long memory RePEc:taf:quantf:v:1:y:2001:i:6:p:558-559 [Citation Analysis]	16
2002	A simulation analysis of the microstructure of double auction markets RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353 [Citation Analysis]	15
2001	High-frequency cross-correlation in a set of stocks RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104 [Citation Analysis]	15
2001	Pricing weather derivatives by marginal value RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308 [Citation Analysis]	14
2001	Stochastic volatility as a simple generator of apparent financial power laws and long memory RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631 [Citation Analysis]	13
2004	What really causes large price changes? RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397 [Citation Analysis]	13
2002	Asymptotics and calibration of local volatility models RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69 [Citation Analysis]	12
2001	Optimal positioning in derivative securities RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37 [Citation Analysis]	12
2010	Optimal execution strategies in limit order books with general shape functions RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157 [Citation Analysis]	12
2008	A multifactor volatility Heston model RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604 [Citation Analysis]	12
2011	Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen RePEc:taf:quantf:v:11:y:2011:i:6:p:825-826 [Citation Analysis]	12
2004	Testing for persistence in stock returns with GARCH-stable shocks RePEc:taf:quantf:v:4:y:2004:i:3:p:256-265 [Citation Analysis]	11
2002	Consistent pricing and hedging for a modified constant elasticity of variance model RePEc:taf:quantf:v:2:y:2002:i:6:p:459-467 [Citation Analysis]	11
2005	Order book approach to price impact RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364 [Citation Analysis]	11
2003	Statistical theory of the continuous double auction RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514 [Citation Analysis]	10
2001	Infectious defaults RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387 [Citation Analysis]	10
2001	Multifractal returns and hierarchical portfolio theory RePEc:taf:quantf:v:1:y:2001:i:1:p:131-148 [Citation Analysis]	10
2002	Probability distribution of returns in the Heston model with stochastic volatility RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453 [Citation Analysis]	10
2001	A statistical analysis of log-periodic precursors to financial crashes* RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360 [Citation Analysis]	9
2004	Volatility processes and volatility forecast with long memory RePEc:taf:quantf:v:4:y:2004:i:1:p:70-86 [Citation Analysis]	9
2004	A spot market model for pricing derivatives in electricity markets RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122 [Citation Analysis]	9
2004	On the estimation of cost of capital and its reliability RePEc:taf:quantf:v:4:y:2004:i:3:p:365-372 [Citation Analysis]	9
2005	Multiple equilibria in a monopoly market with heterogeneous agents and externalities RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568 [Citation Analysis]	9
2001	Asset allocation and derivatives RePEc:taf:quantf:v:1:y:2001:i:1:p:45-72 [Citation Analysis]	8
	repec:taf:quantf:v:6:y:2006:i:6:p:513-536 [Citation Analysis]	8
2010	Portfolio selection with higher moments RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485 [Citation Analysis]	8
2001	Price fluctuations, market activity and trading volume RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269 [Citation Analysis]	7
2010	No-dynamic-arbitrage and market impact RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759 [Citation Analysis]	7
2001	Information and option pricings RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44 [Citation Analysis]	7
2001	A builders guide to agent-based financial markets RePEc:taf:quantf:v:1:y:2001:i:2:p:254-261 [Citation Analysis]	7
2006	A Bayesian analysis of log-periodic precursors to financial crashes RePEc:taf:quantf:v:6:y:2006:i:1:p:15-36 [Citation Analysis]	7
2005	Tobin tax and market depth RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218 [Citation Analysis]	7
2005	Static-arbitrage upper bounds for the prices of basket options RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342 [Citation Analysis]	7
2002	Some recent developments in stochastic volatility modelling RePEc:taf:quantf:v:2:y:2002:i:1:p:11-23 [Citation Analysis]	7
2003	Testing the Gaussian copula hypothesis for financial assets dependences RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250 [Citation Analysis]	7
2001	Correlation structure of extreme stock returns RePEc:taf:quantf:v:1:y:2001:i:2:p:217-222 [Citation Analysis]	6
2001	More on a statistical analysis of log-periodic precursors to financial crashes RePEc:taf:quantf:v:1:y:2001:i:5:p:527-532 [Citation Analysis]	6
2001	Power laws in economics and finance: some ideas from physics RePEc:taf:quantf:v:1:y:2001:i:1:p:105-112 [Citation Analysis]	6
2001	From Minority Games to real markets RePEc:taf:quantf:v:1:y:2001:i:1:p:168-176 [Citation Analysis]	6

Citing documents used to compute impact factor 24:

Year	Title	See
2010	How does beta explain stochastic dominance efficiency? RePEc:kap:rqfnac:v:35:y:2010:i:4:p:431-444	[Citation Analysis]
2010	Exotic derivatives under stochastic volatility models with jumps RePEc:arx:papers:0912.2595	[Citation Analysis]
2010	The times change: multivariate subordination, empirical facts RePEc:hal:journl:hal-00620841	[Citation Analysis]
2010	A forward started jump-diffusion model and pricing of cliquet style exotics RePEc:kap:revdev:v:13:y:2010:i:2:p:125-140	[Citation Analysis]
2010	Forward dynamic utilities: a new model and new results RePEc:pra:mprapa:21074	[Citation Analysis]
2010	Surprising information, the MDH, and the relationship between volatility and trading volume RePEc:eee:finmar:v:13:y:2010:i:3:p:344-366	[Citation Analysis]
2010	Option data and modeling BSM implied volatility RePEc:usg:dp2010:2010-32	[Citation Analysis]
2010	Parametric estimation of risk neutral density functions RePEc:hum:wpaper:sfb649dp2010-045	[Citation Analysis]
2010	From implied to spot volatilities RePEc:spr:finsto:v:14:y:2010:i:2:p:157-177	[Citation Analysis]
2010	Dynamic risk measures RePEc:arx:papers:1002.3794	[Citation Analysis]
2010	Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles RePEc:arx:papers:1002.3627	[Citation Analysis]
2010	Fitting high-dimensional Copulae to Data RePEc:hum:wpaper:sfb649dp2010-022	[Citation Analysis]
2010	Financial Applications of Copula-Models RePEc:nea:journl:y:2010:i:7:p:24-44	[Citation Analysis]
2010	Strong Taylor approximation of stochastic differential equations and application to the Levy LIBOR model RePEc:arx:papers:0906.5581	[Citation Analysis]
2010	Old and new approaches to LIBOR modeling RePEc:arx:papers:0910.4941	[Citation Analysis]
2010	Numerical methods for the Levy LIBOR model RePEc:arx:papers:1006.3340	[Citation Analysis]
2010	The nature of price returns during periods of high market activity RePEc:arx:papers:1010.4226	[Citation Analysis]
2010	Credit Default Swaps Liquidity modeling: A survey RePEc:arx:papers:1003.0889	[Citation Analysis]
2010	On the impossibility of fair risk allocation RePEc:pra:mprapa:26515	[Citation Analysis]
2010	Financial crises and interacting heterogeneous agents RePEc:eee:dyncon:v:34:y:2010:i:6:p:1105-1122	[Citation Analysis]
2010	Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices. RePEc:pra:mprapa:24778	[Citation Analysis]
2010	Gaussian and non-Gaussian models for financial bubbles via econophysics RePEc:pra:mprapa:27307	[Citation Analysis]
2010	An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile RePEc:pra:mprapa:20574	[Citation Analysis]
2010	Local time and the pricing of time-dependent barrier options RePEc:spr:finsto:v:14:y:2010:i:1:p:13-48	[Citation Analysis]

Cites in year: CiY