Citation analysis for Quantitative Finance / Taylor & Francis Journals

Quantitative Finance / Taylor & Francis Journals

0.4

Impact Factor

0.5

5-Years IF

5-Years H index

[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	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.09			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.05
1995		0.19			0				0		0		(%)			0.07
1996		0.22			0				0		0		(%)			0.09
1997		0.27			0				0		0		(%)			0.09
1998		0.27			0				0		0		(%)			0.1
1999		0.31			0				0		0		(%)			0.13
2000		0.4			0	1			0		0		(%)			0.15
2001		0.4		67	67	27	0.4	1233	0		0		17 (1.4%)	21	0.31	0.15
2002	0.49	0.42	0.49	63	130	55	0.42	493	67	33	67	33	19 (3.9%)	8	0.13	0.18
2003	0.59	0.44	0.59	68	198	109	0.55	407	130	77	130	77	16 (3.9%)	3	0.04	0.18
2004	0.41	0.49	0.49	68	266	132	0.5	581	131	54	198	98	5 (%)	9	0.13	0.2
2005	0.38	0.53	0.55	50	316	194	0.61	498	136	51	266	145	10 (2%)	4	0.08	0.21
2006	0.44	0.51	0.61	45	361	238	0.66	241	118	52	316	192	7 (2.9%)	10	0.22	0.2
2007	0.34	0.44	0.41	63	424	210	0.5	231	95	32	294	121	1 (%)	6	0.1	0.18
2008	0.17	0.47	0.38	64	488	277	0.57	331	108	18	294	112	2 (%)	13	0.2	0.2
2009	0.24	0.47	0.47	80	568	317	0.56	263	127	30	290	135	4 (1.5%)	2	0.03	0.19
2010	0.33	0.44	0.38	114	682	314	0.46	469	144	47	302	114	3 (%)	14	0.12	0.16
2011	0.25	0.51	0.33	91	773	355	0.46	243	194	48	366	120	(%)	16	0.18	0.2
2012	0.4	0.56	0.48	166	939	511	0.54	275	205	82	412	198	2 (%)	8	0.05	0.21
2013	0.34	0.66	0.5	140	1079	696	0.65	219	257	87	515	256	2 (%)	19	0.14	0.23
2014	0.34	0.67	0.5	155	1234	823	0.67	120	306	105	591	295	(%)	15	0.1	0.22
2015	0.4	0.82	0.5	141	1375	833	0.61	123	295	119	666	331	1 (%)	32	0.23	0.27

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in 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:	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:

#	Year	Title	Cited
1	2001	Empirical 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	403
2	2004	Network 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	164
3	2005	Empirical 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	155
4	2001	Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers \|\| Download paper	124
5	2001	What 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	92
6	2003	Dependence 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. Full description at Econpapers \|\| Download paper	82
7	2002	Statistical 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	75
8	2001	Asset 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. Full description at Econpapers \|\| Download paper	74
9	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÂ© ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	72
10	2010	Optimal 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. Full description at Econpapers \|\| Download paper	66
11	2002	A 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. Full description at Econpapers \|\| Download paper	65
12	2001	Optimal 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	59
13	2001	Significance 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. Full description at Econpapers \|\| Download paper	58
14	2003	Statistical 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. Full description at Econpapers \|\| Download paper	56
15	2004	What 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. Full description at Econpapers \|\| Download paper	56
16	2001	High-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. Full description at Econpapers \|\| Download paper	56
17	2008	High-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	55
18	2001	Stochastic 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. Full description at Econpapers \|\| Download paper	46
19	2004	Fluctuations 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. Full description at Econpapers \|\| Download paper	45
20	2011	Econophysics 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	44
21	2003	Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers \|\| Download paper	42
22	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÂ¼ller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers \|\| Download paper	42
23	2010	Robustness 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	40
24	2008	A multifactor volatility Heston model. (2008). DA FONSECA, JosÃÂ© ; Tebaldi, Claudio ; Grasselli, Martino . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	39
25	2010	Portfolio 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	38
26	2001	Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers \|\| Download paper	38
27	2013	Modelling 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. Full description at Econpapers \|\| Download paper	37
28	2007	Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers \|\| Download paper	37
29	2010	A 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. Full description at Econpapers \|\| Download paper	36
30	2010	No-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	36
31	2003	Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers \|\| Download paper	34
32	2005	Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers \|\| Download paper	34
33	2002	The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392. Full description at Econpapers \|\| Download paper	32
34	2012	Leverage 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. Full description at Econpapers \|\| Download paper	32
35	2001	Price fluctuations, market activity and trading volume. (2001). Gabaix, Xavier ; Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269. Full description at Econpapers \|\| Download paper	31
36	2001	Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers \|\| Download paper	31
37	2001	Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers \|\| Download paper	31
38	2001	Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers \|\| Download paper	31
39	2005	Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218. Full description at Econpapers \|\| Download paper	29
40	2008	Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers \|\| Download paper	29
41	2003	Fundamentalists clashing over the book: a study of order-driven stock markets. (2003). Pellizzari, Paolo ; LiCalzi, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480. Full description at Econpapers \|\| Download paper	28
42	2002	Probability distribution of returns in the Heston model with stochastic volatility. (2002). Dragulescu, A. A. ; Yakovenko, V. M.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers \|\| Download paper	28
43	2001	Scaling and universality in economics: empirical results and theoretical interpretation. (2001). Stanley, H. E. ; Plerou, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:563-567. Full description at Econpapers \|\| Download paper	27
44	2005	Static-arbitrage upper bounds for the prices of basket options. (2005). Hobson, David ; Wang, Tai-Ho ; Laurence, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342. Full description at Econpapers \|\| Download paper	26
45	2011	Econophysics 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. Full description at Econpapers \|\| Download paper	25
46	2004	Sampling from Archimedean copulas. (2004). Whelan, Niall . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:339-352. Full description at Econpapers \|\| Download paper	25
47	2002	Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69. Full description at Econpapers \|\| Download paper	24
48	2002	The US 2000-2002 market descent: How much longer and deeper?. (2002). Sornette, D. ; W-X. Zhou, . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:468-481. Full description at Econpapers \|\| Download paper	24
49		Fast strong approximation Monte Carlo schemes for stochastic volatility models. (2006). Kahl, Christian ; Jackel, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:6:y:2006:i:6:p:513-536. Full description at Econpapers \|\| Download paper	23
50	2002	Dynamical 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. Full description at Econpapers \|\| Download paper	23

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2001	Empirical 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	181
2	2004	Network 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	100
3	2005	Empirical 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	60
4	2008	High-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	41
5	2010	Optimal 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. Full description at Econpapers \|\| Download paper	39
6	2011	Econophysics 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	35
7	2013	Modelling 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. Full description at Econpapers \|\| Download paper	32
8	2002	Statistical 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	29
9	2010	Robustness 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	29
10	2001	Optimal 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	28
11	2012	Leverage 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. Full description at Econpapers \|\| Download paper	26
12	2003	Statistical 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. Full description at Econpapers \|\| Download paper	25
13	2003	Dependence 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. Full description at Econpapers \|\| Download paper	24
14	2010	No-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	24
15	2010	Portfolio 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	23
16	2004	What 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. Full description at Econpapers \|\| Download paper	21
17	2001	What 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	21
18	2004	Fluctuations 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. Full description at Econpapers \|\| Download paper	19
19	2001	Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers \|\| Download paper	19
20	2007	Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers \|\| Download paper	18
21	2011	Econophysics 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. Full description at Econpapers \|\| Download paper	18
22	2012	The 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. Full description at Econpapers \|\| Download paper	17
23	2008	A multifactor volatility Heston model. (2008). DA FONSECA, JosÃÂ© ; Tebaldi, Claudio ; Grasselli, Martino . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	16
24	2013	Limit 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. Full description at Econpapers \|\| Download paper	16
25	2015	Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Bai, Zhi Dong ; Li, Hua . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers \|\| Download paper	16
26	2013	Optimal 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	16
27	2010	International 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. Full description at Econpapers \|\| Download paper	15
28	2015	The multiplex structure of interbank networks. (2015). Bargigli, Leonardo ; Pierobon, F. ; Lillo, F. ; Infante, L. ; di Iasio, G.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers \|\| Download paper	15
29	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÂ¼ller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers \|\| Download paper	14
30	2001	High-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. Full description at Econpapers \|\| Download paper	14
31	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÂ© ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	14
32	2011	Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers \|\| Download paper	13
33	2010	Valuation of energy storage: an optimal switching approach. (2010). Ludkovski, Michael ; Carmona, Rene . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:359-374. Full description at Econpapers \|\| Download paper	13
34	2001	Significance 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. Full description at Econpapers \|\| Download paper	13
35	2001	Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers \|\| Download paper	12
36	2001	Stochastic 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. Full description at Econpapers \|\| Download paper	12
37	2006	Random walks, liquidity molasses and critical response in financial markets. (2006). Potters, Marc ; Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:6:y:2006:i:2:p:115-123. Full description at Econpapers \|\| Download paper	12
38	2010	A 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. Full description at Econpapers \|\| Download paper	12
39	2009	An empirical analysis of multivariate copula models. (2009). Weigert, Florian ; Kock, Christian ; Schluter, Stephan ; Fischer, Matthias . In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:7:p:839-854. Full description at Econpapers \|\| Download paper	12
40	2012	Does 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. Full description at Econpapers \|\| Download paper	12
41	2009	A multi-quality model of interest rates. (2009). Tanaka, Keiichi ; Wong, Tony ; Kijima, Masaaki . In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:2:p:133-145. Full description at Econpapers \|\| Download paper	12
42	2001	Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers \|\| Download paper	12
43	2008	Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57. Full description at Econpapers \|\| Download paper	12
44	2005	Optimal 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. Full description at Econpapers \|\| Download paper	11
45	2007	On the feasibility of portfolio optimization under expected shortfall. (2007). Kondor, Imre ; Ciliberti, Stefano . In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:389-396. Full description at Econpapers \|\| Download paper	11
46	2005	Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers \|\| Download paper	11
47	2014	Hawkes model for price and trades high-frequency dynamics. (2014). Bacry, Emmanuel ; Muzy, Jean-Franois . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:7:p:1147-1166. Full description at Econpapers \|\| Download paper	11
48	2002	The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392. Full description at Econpapers \|\| Download paper	11
49	2002	A 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. Full description at Econpapers \|\| Download paper	10
50	2012	Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:8:p:1253-1263. Full description at Econpapers \|\| Download paper	10

Citing documents used to compute impact factor 119:

Year	Title
2015	Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas. (2015). Tiwari, Aviral ; Kr, Aviral ; Moya, Pablo ; Ferrer, Roman . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:33:y:2015:i:c:p:74-93. Full description at Econpapers \|\| Download paper
2015	The Expectations Hypothesis and Decoupling of Short- and Long-Term US Interest Rates: A Pairwise Approach. (2015). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: Working Paper Series. RePEc:rim:rimwps:15-31. Full description at Econpapers \|\| Download paper
2015	The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach. (2015). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:34:y:2015:i:c:p:301-313. Full description at Econpapers \|\| Download paper
2015	Banks Net Interest Margin and the Level of Interest Rates. (2015). Memmel, Christoph ; Busch, Ramona . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113187. Full description at Econpapers \|\| Download paper
2015	Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models. (2015). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1502.05442. Full description at Econpapers \|\| Download paper
2015	To sigmoid-based functional description of the volatility smile. (2015). Itkin, Andrey . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:31:y:2015:i:c:p:264-291. Full description at Econpapers \|\| Download paper
2015	Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers \|\| Download paper
2015	Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers \|\| Download paper
2015	Affine LIBOR models with multiple curves: theory, examples and calibration. (2015). Papapantoleon, Antonis ; Grbac, Zorana ; Schoenmakers, John ; Skovmand, David . In: Papers. RePEc:arx:papers:1405.2450. Full description at Econpapers \|\| Download paper
2015	A general HJM framework for multiple yield curve modeling. (2015). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa . In: Papers. RePEc:arx:papers:1406.4301. Full description at Econpapers \|\| Download paper
2015	Dirac Processes and Default Risk. (2015). Green, Andrew ; Kenyon, Chris . In: Papers. RePEc:arx:papers:1504.04581. Full description at Econpapers \|\| Download paper
2015	Whats in a ball? Constructing and characterizing uncertainty sets. (2015). Kruse, Thomas ; Schweizer, Nikolaus ; Schneider, Judith C. In: Papers. RePEc:arx:papers:1510.01675. Full description at Econpapers \|\| Download paper
2015	Robust measurement of (heavy-tailed) risks: Theory and implementation. (2015). Schweizer, Nikolaus ; Schneider, Judith C. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:183-203. Full description at Econpapers \|\| Download paper
2015	Double-jump stochastic volatility model for VIX: evidence from VVIX. (2015). Zang, Xin ; Wu, Lan ; Huang, Jing-Zhi ; Ni, Jun . In: Papers. RePEc:arx:papers:1506.07554. Full description at Econpapers \|\| Download paper
2015	Constructing optimal sparse portfolios using regularization methods. (2015). Winker, Peter ; Fastrich, B. ; Paterlini, S.. In: Computational Management Science. RePEc:spr:comgts:v:12:y:2015:i:3:p:417-434. Full description at Econpapers \|\| Download paper
2015	Clustering financial time series: New insights from an extended hidden Markov model. (2015). Ramos, Sofia ; Vermunt, Jeroen K. ; Dias, Jose G.. In: European Journal of Operational Research. RePEc:eee:ejores:v:243:y:2015:i:3:p:852-864. Full description at Econpapers \|\| Download paper
2015	Factors influencing organic farm income in Chitwan district of Nepal. (2015). Singh, Mrinila ; Maskey, Bijan . In: 2015 Conference, August 9-14, 2015, Milan, Italy. RePEc:ags:iaae15:212234. Full description at Econpapers \|\| Download paper
2015	Losing track of the asset markets: the case of housing and stock. (2015). Leung, Charles ; Chen, Nan-Kuang ; Charles Ka Yui Leung, ; Chang, Kuang-Liang . In: ISER Discussion Paper. RePEc:dpr:wpaper:0932. Full description at Econpapers \|\| Download paper
2015	Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks. (2015). Lipton, Alexander . In: Papers. RePEc:arx:papers:1510.07608. Full description at Econpapers \|\| Download paper
2015	A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Journal of Economics and Business. RePEc:eee:jebusi:v:78:y:2015:i:c:p:14-47. Full description at Econpapers \|\| Download paper
2015	Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\evy jumps. (2015). Jos'e E. Figueroa-L'opez, ; Sveinn 'Olafsson, . In: Papers. RePEc:arx:papers:1502.02595. Full description at Econpapers \|\| Download paper
2015	Barrier style contracts under LÃ©vy processes: An alternative approach. (2015). Fajardo, JosÃÂ©. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:53:y:2015:i:c:p:179-187. Full description at Econpapers \|\| Download paper
2015	The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. (2015). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:135-150. Full description at Econpapers \|\| Download paper
2015	Age-specific copula-AR-GARCH mortality models. (2015). Tsai, Cary Chi-Liang ; Lin, Tzuling ; Wang, Chou-Wen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:110-124. Full description at Econpapers \|\| Download paper
2015	Statistical Emulators for Pricing and Hedging Longevity Risk Products. (2015). Risk, James ; Ludkovski, Michael . In: Papers. RePEc:arx:papers:1508.00310. Full description at Econpapers \|\| Download paper
2015	Multivariate time series modeling, estimation and prediction of mortalities. (2015). Ekheden, Erland . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:156-171. Full description at Econpapers \|\| Download paper
2015	Centrality-based capital allocations. (2015). Raupach, Peter ; Alter, Adrian ; Craig, Ben . In: Discussion Papers. RePEc:zbw:bubdps:032015. Full description at Econpapers \|\| Download paper
2015	Centrality-Based Capital Allocations. (2015). Raupach, Peter ; Alter, Adrian ; Craig, Ben R.. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2015:q:3:a:8. Full description at Econpapers \|\| Download paper
2015	Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2015). di Gangi, Domenico ; Pirino, Davide ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1509.00607. Full description at Econpapers \|\| Download paper
2015	Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton . In: Economics Series Working Papers. RePEc:oxf:wpaper:764. Full description at Econpapers \|\| Download paper
2015	Large Scale Covariance Estimates for Portfolio Selection. (2015). Lautizi, Francesco . In: CEIS Research Paper. RePEc:rtv:ceisrp:353. Full description at Econpapers \|\| Download paper
2015	Copula-Based Factor Model for Credit Risk Analysis. (2015). Lu, Meng-Jou ; Hardle, Karl Wolfgang ; Chen, Cathy Yi-Hsuan . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-042. Full description at Econpapers \|\| Download paper
2015	Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?. (2015). Koziol, Philipp ; Eckhardt, Meik ; Schell, Carmen . In: Discussion Papers. RePEc:zbw:bubdps:462015. Full description at Econpapers \|\| Download paper
2015	Measuring infrastructure investment option value. (2015). Power, Gabriel ; Tandja, Charli D ; Gregoire, Philippe ; Bastien, Josee . In: Journal of Risk Finance. RePEc:eme:jrfpps:v:16:y:2015:i:1:p:49-72. Full description at Econpapers \|\| Download paper
2015	Numerical analysis on local risk-minimization forexponential L\evy models. (2015). Arai, Takuji ; Suzuki, Ryoichi ; Imai, Yuto . In: Papers. RePEc:arx:papers:1506.03898. Full description at Econpapers \|\| Download paper
2015	Thinking near and far: Modeling the formation of tradersâ beliefs in asset markets using experimental data. (2015). Afik, Zvika ; Lahav, Yaron . In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:57:y:2015:i:c:p:73-80. Full description at Econpapers \|\| Download paper
2015	Rationalizing investorsâ choices. (2015). Vanduffel, Steven ; Bernard, Carole ; Chen, Jit Seng . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:59:y:2015:i:c:p:10-23. Full description at Econpapers \|\| Download paper
2015	A new approach to assessing model risk in high dimensions. (2015). Bernard, Carole ; Vanduffel, Steven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:166-178. Full description at Econpapers \|\| Download paper
2015	Seasonal affective disorder and seasoned art auction prices: New evidence from old masters. (2015). Raviv, Yaron ; Page, John ; Bayer, Thomas ; Rosett, Joshua ; Kliger, Doron . In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:59:y:2015:i:c:p:74-84. Full description at Econpapers \|\| Download paper
2015	Equilibrium investment strategy for defined-contribution pension schemes with generalized meanâvariance criterion and mortality risk. (2015). Wu, Huiling ; Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:396-408. Full description at Econpapers \|\| Download paper
2015	Meanâvariance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. (2015). Guan, Guohui ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:99-109. Full description at Econpapers \|\| Download paper
2015	Nash equilibrium strategies for a defined contribution pension management. (2015). Wu, Huiling ; Chen, Hua . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:202-214. Full description at Econpapers \|\| Download paper
2015	Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. (2015). Targino, Rodrigo ; Peters, Gareth W. ; Shevchenko, Pavel V.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:206-226. Full description at Econpapers \|\| Download paper
2015	Trend definition or holding strategy: What determines the profitability of candlestick charting?. (2015). Hsu, Yu-Chin ; Lu, Tsung-Hsun ; Chen, Yi-Chi . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:61:y:2015:i:c:p:172-183. Full description at Econpapers \|\| Download paper
2015	The impact of systemic and illiquidity risk on financing with risky collateral. (2015). Pirino, Davide ; Lillo, Fabrizio . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:50:y:2015:i:c:p:180-202. Full description at Econpapers \|\| Download paper
2015	Apparent impact: the hidden cost of one-shot trades. (2015). Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1409.8497. Full description at Econpapers \|\| Download paper
2015	A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Donier, Jonathan ; Bonart, Julius . In: Papers. RePEc:arx:papers:1412.4503. Full description at Econpapers \|\| Download paper
2015	Default Probability Estimation via Pair Copula Constructions. (2015). Dalla Valle, Luciana ; Tarantola, Claudia ; de Giuli, Maria Elena ; DeGiuli, Maria Elena ; Manelli, Claudio . In: Papers. RePEc:arx:papers:1405.1309. Full description at Econpapers \|\| Download paper
2015	The British Lookback Option with Fixed Strike. (2015). Kitapbayev, Yerkin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:238-260. Full description at Econpapers \|\| Download paper
2015	Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities. (2015). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:438:y:2015:i:c:p:223-235. Full description at Econpapers \|\| Download paper
2015	The Financial Economics of Gold - a survey. (2015). Batten, Jonathan ; O'Connor, Fergal ; Baur, Dirk ; Lucey, Brian . In: MPRA Paper. RePEc:pra:mprapa:65484. Full description at Econpapers \|\| Download paper
2015	The financial economics of gold â A survey. (2015). Batten, Jonathan ; Baur, Dirk G ; O'Connor, Fergal A. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:186-205. Full description at Econpapers \|\| Download paper
2015	Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf360. Full description at Econpapers \|\| Download paper
2015	Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf963. Full description at Econpapers \|\| Download paper
2015	Bayesian model comparison for time-varying parameter VARs with stochastic volatility. (2015). Chan, Joshua ; Eisenstat, Eric . In: CAMA Working Papers. RePEc:een:camaaa:2015-32. Full description at Econpapers \|\| Download paper
2015	Time-variations in commodity price jumps. (2015). Prokopczuk, Marcel ; Simen, Chardin Wese ; Diewald, Laszlo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:31:y:2015:i:c:p:72-84. Full description at Econpapers \|\| Download paper
2015	Modeling energy price dynamics: GARCH versus stochastic volatility. (2015). Grant, Angelia ; Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-20. Full description at Econpapers \|\| Download paper
2015	Specification tests for time-varying parameter models with stochastic volatility. (2015). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-42. Full description at Econpapers \|\| Download paper
2015	Dynamic spillovers between commodity and currency markets. (2015). Antonakakis, Nikolaos. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:303-319. Full description at Econpapers \|\| Download paper
2015	Pricing and static hedging of American-style knock-in options on defaultable stocks. (2015). Vidal, Joo Pedro ; Dias, Jose Carlos ; Ruas, Joo Pedro . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:343-360. Full description at Econpapers \|\| Download paper
2015	Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Musciotto, Federico ; Mantegna, Rosario N ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873. Full description at Econpapers \|\| Download paper
2015	A comparison of techniques for dynamic multivariate risk measures. (2015). Feinstein, Zachary . In: Papers. RePEc:arx:papers:1305.2151. Full description at Econpapers \|\| Download paper
2015	Multi-portfolio time consistency for set-valued convex and coherent risk measures. (2015). Feinstein, Zachary . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:67-107. Full description at Econpapers \|\| Download paper
2015	Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Zheng, Xiao-Fen ; Fong, Tom . In: Working Papers. RePEc:hkm:wpaper:182015. Full description at Econpapers \|\| Download paper
2015	Heterogeneity in the relationship between subjective well-being and its determinants over the life cycle: A varying-coefficient ordered probit approach. (2015). Lin, Yi-Chen ; Deng, Wen-Shuenn ; Hwang, Ruey-Ching . In: Economic Modelling. RePEc:eee:ecmode:v:49:y:2015:i:c:p:372-386. Full description at Econpapers \|\| Download paper
2015	Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:366. Full description at Econpapers \|\| Download paper
2015	Limit theorems for nearly unstable Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1310.2033. Full description at Econpapers \|\| Download paper
2015	Second order statistics characterization of Hawkes processes and non-parametric estimation. (2015). Bacry, Emmanuel ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1401.0903. Full description at Econpapers \|\| Download paper
2015	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers \|\| Download paper
2015	Power law scaling and Dragon-Kings in distributions of intraday financial drawdowns. (2015). Sornette, Didier ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1407.5037. Full description at Econpapers \|\| Download paper
2015	Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers \|\| Download paper
2015	Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100. Full description at Econpapers \|\| Download paper
2015	Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1505.00704. Full description at Econpapers \|\| Download paper
2015	Optimum Liquidation Problem Associated with the Poisson Cluster Process. (2015). Sadoghi, A ; Vecer, J. In: Papers. RePEc:arx:papers:1507.06514. Full description at Econpapers \|\| Download paper
2015	LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Working Papers. RePEc:hal:wpaper:hal-01121711. Full description at Econpapers \|\| Download paper
2015	Multivariate dynamic intensity peaks-over-threshold models. (2015). Hautsch, Nikolaus ; Herrera, Rodrigo . In: CFS Working Paper Series. RePEc:zbw:cfswop:516. Full description at Econpapers \|\| Download paper
2015	Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers \|\| Download paper
2015	LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Post-Print. RePEc:hal:journl:hal-01121711. Full description at Econpapers \|\| Download paper
2015	Sovereign Wealth Funds: A literature review. (2015). Alhashel, Bader . In: Journal of Economics and Business. RePEc:eee:jebusi:v:78:y:2015:i:c:p:1-13. Full description at Econpapers \|\| Download paper
2015	The implication of missing the optimal-exercise time of an American option. (2015). Chockalingam, Arun ; Feng, Haolin . In: European Journal of Operational Research. RePEc:eee:ejores:v:243:y:2015:i:3:p:883-896. Full description at Econpapers \|\| Download paper
2015	Random Time Forward Starting Options. (2015). Ramponi, Alessandro ; Scarlatti, Sergio ; Antonelli, Fabio . In: Papers. RePEc:arx:papers:1504.03552. Full description at Econpapers \|\| Download paper
2015	Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Panayi, Efstathios ; Peters, Gareth . In: Papers. RePEc:arx:papers:1501.02447. Full description at Econpapers \|\| Download paper
2015	Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model. (2015). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:34:y:2015:i:c:p:205-232. Full description at Econpapers \|\| Download paper
2015	Optimal reinsurance and investment problem for an insurer with counterparty risk. (2015). Deng, Chao ; Yue, Shengjie ; Zhu, Huiming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:61:y:2015:i:c:p:242-254. Full description at Econpapers \|\| Download paper
2015	Optimal investmentâreinsurance strategy for meanâvariance insurers with square-root factor process. (2015). Zeng, Yan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:118-137. Full description at Econpapers \|\| Download paper
2015	Sharia compliant gold investment in Malaysia: Hedge or safe haven?. (2015). Lean, Hooi Hooi ; Bahari, Zakaria ; Ghazali, Mohd Fahmi . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:34:y:2015:i:c:p:192-204. Full description at Econpapers \|\| Download paper
2015	Gold bubbles: When are they most likely to occur?. (2015). Nian, Rui ; Chang, Hsu-Ling ; Zhao, Yanping ; Su, Chi-Wei . In: Japan and the World Economy. RePEc:eee:japwor:v:34-35:y:2015:i::p:17-23. Full description at Econpapers \|\| Download paper
2015	State-dependent jump risks for American gold futures option pricing. (2015). Lian, Yu-Min ; Chen, Jun-Home . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:33:y:2015:i:c:p:115-133. Full description at Econpapers \|\| Download paper
2015	The gold price in times of crisis. (2015). Biakowski, Jdrzej ; Wisniewski, Tomasz P ; Stephan, Patrick M ; Bohl, Martin T. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:329-339. Full description at Econpapers \|\| Download paper
2015	Electricity price forecasts using a Curvelet denoising based approach. (2015). He, Kaijian ; Zou, Yingchao ; Xu, Yang ; Tang, Ling . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:425:y:2015:i:c:p:1-9. Full description at Econpapers \|\| Download paper
2015	Gold, Oil, and Stocks: Dynamic Correlations. (2015). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef ; Barunik, Jozef . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5333. Full description at Econpapers \|\| Download paper
2015	Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2015). Goutte, StÃÂ©phane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018. Full description at Econpapers \|\| Download paper
2015	Statistical arbitrage pairs trading strategies: Review and outlook. (2015). Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:092015. Full description at Econpapers \|\| Download paper
2015	Feasible earnings momentum in the U.S. stock market: An investors perspective. (2015). Krauss, Christopher ; Kruger, Tom ; Beerstecher, Daniel . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:122015. Full description at Econpapers \|\| Download paper
2015	The Piotroski F-Score: A fundamental value strategy revisited from an investors perspective. (2015). Krauss, Christopher ; Beerstecher, Daniel ; Kruger, Tom . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:132015. Full description at Econpapers \|\| Download paper
2015	Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100. (2015). Stubinger, Johannes ; Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:152015. Full description at Econpapers \|\| Download paper
2015	Modeling infrastructure system interdependencies and socioeconomic impacts of failure in extreme events: emerging R&D challenges. (2015). Hasan, Samiul ; Foliente, Greg . In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:78:y:2015:i:3:p:2143-2168. Full description at Econpapers \|\| Download paper
2015	Estimating serial correlation and self-similarity in financial time seriesâA diversification approach with applications to high frequency data. (2015). Rostek, Stefan ; Gerlich, Nikolas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:434:y:2015:i:c:p:84-98. Full description at Econpapers \|\| Download paper
2015	A review of aggregation techniques for agent-based models: understanding the presence of long-term memory. (2015). Cerqueti, Roy ; Rotundo, Giulia . In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:49:y:2015:i:4:p:1693-1717. Full description at Econpapers \|\| Download paper
2015	Time-dependent scaling patterns in high frequency financial data. (2015). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1508.07428. Full description at Econpapers \|\| Download paper
2015	Why is equity order flow so persistent?. (2015). Toth, Bence ; Palit, Imon ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:51:y:2015:i:c:p:218-239. Full description at Econpapers \|\| Download paper
2015	Liquidity and Impact in Fair Markets. (2015). Jaisson, Thibault . In: Papers. RePEc:arx:papers:1506.02507. Full description at Econpapers \|\| Download paper
2015	Games of singular control and stopping driven by spectrally one-sided LÃ©vy processes. (2015). Hernandez-Hernandez, Daniel ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:1:p:1-38. Full description at Econpapers \|\| Download paper
2015	An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07705. Full description at Econpapers \|\| Download paper
2015	Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers \|\| Download paper
2015	Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320. Full description at Econpapers \|\| Download paper
2015	Dark-Pool Perspective of Optimal Market Making. (2015). Crisafi, Alessandra M. ; Macrina, Andrea . In: Papers. RePEc:arx:papers:1502.02863. Full description at Econpapers \|\| Download paper
2015	Optimal Trading with Alpha Predictors. (2015). Passerini, Filippo ; Vazquez, Samuel E.. In: Papers. RePEc:arx:papers:1501.03756. Full description at Econpapers \|\| Download paper
2015	Optimal liquidity provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2493-2515. Full description at Econpapers \|\| Download paper
2015	Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810. Full description at Econpapers \|\| Download paper
2015	Equity market implied volatility and energy prices: A double threshold GARCH approach. (2015). Cochran, Steven J ; Odusami, Babatunde ; Mansur, Iqbal . In: Energy Economics. RePEc:eee:eneeco:v:50:y:2015:i:c:p:264-272. Full description at Econpapers \|\| Download paper
2015	Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation. (2015). Lou, Wujiang . In: Papers. RePEc:arx:papers:1512.07340. Full description at Econpapers \|\| Download paper
2015	A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi . In: Papers. RePEc:arx:papers:1502.04521. Full description at Econpapers \|\| Download paper
2015	The Long Memory of Order Flow in the Foreign Exchange Spot Market. (2015). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A.. In: Papers. RePEc:arx:papers:1504.04354. Full description at Econpapers \|\| Download paper
2015	SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806. Full description at Econpapers \|\| Download paper
2015	Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book. (2015). Gould, Martin D ; Bonart, Julius . In: Papers. RePEc:arx:papers:1512.03492. Full description at Econpapers \|\| Download paper
2015	Learning, information processing and order submission in limit order markets. (2015). He, Xuezhong ; Chiarella, Carl ; Wei, Lijian . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:245-268. Full description at Econpapers \|\| Download paper
2015	Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities. (2015). Fleming, Michael ; Nguyen, Giang . In: Staff Reports. RePEc:fip:fednsr:624. Full description at Econpapers \|\| Download paper
2015	Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process. (2015). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1601.00919. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Stress for Success: A Review of Timothy Geithners Financial Crisis Memoir. (2015). Gorton, Gary . In: Journal of Economic Literature. RePEc:aea:jeclit:v:53:y:2015:i:4:p:975-95. Full description at Econpapers \|\| Download paper
2015	Can a stochastic cusp catastrophe model explain housing market crashes?. (2015). Wang, J. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:15-12. Full description at Econpapers \|\| Download paper
2015	Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers \|\| Download paper
2015	Club Convergence of House Prices: Evidence from Chinas Ten Key Cities. (2015). Meng, Hao ; Xie, Wen-Jie ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1503.05550. Full description at Econpapers \|\| Download paper
2015	Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2015). di Gangi, Domenico ; Pirino, Davide ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1509.00607. Full description at Econpapers \|\| Download paper
2015	Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers \|\| Download paper
2015	Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Musciotto, Federico ; Mantegna, Rosario N ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873. Full description at Econpapers \|\| Download paper
2015	Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, IÃÂ±aki. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10540. Full description at Econpapers \|\| Download paper
2015	Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20151866. Full description at Econpapers \|\| Download paper
2015	The role of bank relationships in the interbank market. (2015). Iori, Giulia ; Montes-Rojas, Gabriel ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141. Full description at Econpapers \|\| Download paper
2015	Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211. Full description at Econpapers \|\| Download paper
2015	Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange. (2015). Wong, Wing-Keung ; Lean, Hooi Hooi ; HOANG, Thi Hong Van. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:98-108. Full description at Econpapers \|\| Download paper
2015	A comparison of the convenience yield and interest-adjusted basis. (2015). Fouquau, Julien ; Six, Pierre . In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:142-149. Full description at Econpapers \|\| Download paper
2015	Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (2015). Lleo, Sebastien ; Ziemba, William T.. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:399-425. Full description at Econpapers \|\| Download paper
2015	Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181. Full description at Econpapers \|\| Download paper
2015	The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. (2015). Rodriguez, Rosa ; Malagon, Juliana ; Moreno, David . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:224-238. Full description at Econpapers \|\| Download paper
2015	MA trading rules, herding behaviors, and stock market overreaction. (2015). Ni, Yensen ; Huang, Paoyu ; Liao, Yi-Ching . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:253-265. Full description at Econpapers \|\| Download paper
2015	Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:78718. Full description at Econpapers \|\| Download paper
2015	The Italian Corporate System: SOEs, Private Firms and Institutions in a Network Perspective (1952-1983). (2015). Bargigli, Leonardo ; Giannetti, Renato . In: Working Papers - Economics. RePEc:frz:wpaper:wp2015_01.rdf. Full description at Econpapers \|\| Download paper
2015	Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385. Full description at Econpapers \|\| Download paper
2015	Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Zheng, Xiao-Fen ; Fong, Tom . In: Working Papers. RePEc:hkm:wpaper:182015. Full description at Econpapers \|\| Download paper
2015	Designing Effective Macroprudential Stress Tests; Progress So Far and the Way Forward. (2015). Demekas, Dimitri. In: IMF Working Papers. RePEc:imf:imfwpa:15/146. Full description at Econpapers \|\| Download paper
2015	Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton . In: Economics Series Working Papers. RePEc:oxf:wpaper:764. Full description at Econpapers \|\| Download paper
2015	Could the global financial crisis improve the performance of the G7 stocks markets?. (2015). Wong, Wing-Keung ; Vieito, Joo Paulo ; Zhu, Zhenzhen . In: MPRA Paper. RePEc:pra:mprapa:66521. Full description at Econpapers \|\| Download paper
2015	Networks of value added trade. (2015). Cabral, Sonia ; Amador, JoÃÂ£o. In: Working Papers. RePEc:ptu:wpaper:w201516. Full description at Econpapers \|\| Download paper
2015	Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo . In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167. Full description at Econpapers \|\| Download paper
2015	European Government Bond Dynamics and Stability Policies: Taming Contagion Risks. (2015). Hillebrand, Martin ; Ott, Thomas ; Schuele, Martin ; Schwendner, Peter . In: Working Papers. RePEc:stm:wpaper:8. Full description at Econpapers \|\| Download paper
2015	Input-output-based measures of systemic importance. (2015). Angeloni, Ignazio ; Aldasoro, Iaki . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606. Full description at Econpapers \|\| Download paper
2015	Financial stability from a network perspective. (2015). Leon Rincon, C. E., . In: Other publications TiSEM. RePEc:tiu:tiutis:bb2e4e44-e842-45c6-a946-4ba7bdffb65c. Full description at Econpapers \|\| Download paper
2015	Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1514. Full description at Econpapers \|\| Download paper
2015	Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102. Full description at Econpapers \|\| Download paper
2015	Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102r. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500. (2014). Costola, Michele ; Corazzini, Luca ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-33. Full description at Econpapers \|\| Download paper
2014	Optimal Exercise for Derivative Securities. (2014). . In: Annual Review of Financial Economics. RePEc:anr:refeco:v:6:y:2014:p:459-487. Full description at Econpapers \|\| Download paper
2014	Utility indifference pricing of derivatives written on industrial loss indexes. (2014). Ngare, Philip . In: Papers. RePEc:arx:papers:1404.0879. Full description at Econpapers \|\| Download paper
2014	To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1407.0256. Full description at Econpapers \|\| Download paper
2014	Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers \|\| Download paper
2014	Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1410.3394. Full description at Econpapers \|\| Download paper
2014	Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096. Full description at Econpapers \|\| Download paper
2014	An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53. Full description at Econpapers \|\| Download paper
2014	Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33. Full description at Econpapers \|\| Download paper
2014	Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS. In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216. Full description at Econpapers \|\| Download paper
2014	A general HJM framework for multiple yield curve modeling. (2014). Cuchiero, Christa ; Gnoatto, Alessandro ; Fontana, Claudio . In: Working Papers. RePEc:hal:wpaper:hal-01011752. Full description at Econpapers \|\| Download paper
2014	Centrality-based Capital Allocations. (2014). Raupach, Peter ; Alter, Adrian ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:14/237. Full description at Econpapers \|\| Download paper
2014	Learning Continuous Time Bayesian Network Classifiers Using MapReduce. (2014). Villa, Simone ; Rossetti, Marco . In: Journal of Statistical Software. RePEc:jss:jstsof:v:062:i03. Full description at Econpapers \|\| Download paper
2014	Design of Risk Weights. (2014). Glasserman, Paul ; Kang, Wanmo . In: Working Papers. RePEc:ofr:wpaper:14-06. Full description at Econpapers \|\| Download paper
2014	Clustering of financial time series in risky scenarios. (2014). Durante, Fabrizio ; Pappada, Roberta ; Torelli, Nicola . In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:8:y:2014:i:4:p:359-376. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Hawkes model for price and trades high-frequency dynamics. (2013). Bacry, E. ; J. F Muzy, . In: Papers. RePEc:arx:papers:1301.1135. Full description at Econpapers \|\| Download paper
2013	Modelling systemic price cojumps with Hawkes factor models. (2013). Corsi, Fulvio ; Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1301.6141. Full description at Econpapers \|\| Download paper
2013	Conditional correlation in asset return and GARCH intensity model. (2013). Choe, Geon Ho ; Lee, Kyungsub . In: Papers. RePEc:arx:papers:1311.4977. Full description at Econpapers \|\| Download paper
2013	Market Impact Paradoxes. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1312.3349. Full description at Econpapers \|\| Download paper
2013	Equity, commodity and interest rate volatility derivatives. (2013). Balbas, Alejandro ; Blanco, Ivan ; Navarro, Eliseo . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:id-13-02. Full description at Econpapers \|\| Download paper
2013	Correlated risks vs contagion in stochastic transition models. (2013). Gagliardini, Patrick ; Gourieroux, Christian . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:37:y:2013:i:11:p:2241-2269. Full description at Econpapers \|\| Download paper
2013	Testing for financial crashes using the Log Periodic Power Law model. (2013). Bree, David S. ; Joseph, Nathan Lael . In: International Review of Financial Analysis. RePEc:eee:finana:v:30:y:2013:i:c:p:287-297. Full description at Econpapers \|\| Download paper
2013	Pricing and static hedging of American-style options under the jump to default extended CEV model. (2013). Ruas, Joo Pedro ; Vidal Nunes, JoÃ£o Pedro, ; Dias, Jose Carlos . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:11:p:4059-4072. Full description at Econpapers \|\| Download paper
2013	Clarifications to questions and criticisms on the JohansenâLedoitâSornette financial bubble model. (2013). Sornette, Didier ; Zhou, Wei-Xing ; Yan, Wanfeng ; Woodard, Ryan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:19:p:4417-4428. Full description at Econpapers \|\| Download paper
2013	Continuous time trading of a small investor in a limit order market. (2013). Kuhn, Christoph ; Stroh, Maximilian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053. Full description at Econpapers \|\| Download paper
2013	Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499. Full description at Econpapers \|\| Download paper
2013	Stability and price scaling limit of a Hawkes-process based order book model. (2013). Jedidi, Aymen ; Abergel, Frederic . In: Working Papers. RePEc:hal:wpaper:hal-00821607. Full description at Econpapers \|\| Download paper
2013	Oil and gold price dynamics in a multivariate cointegration framework. (2013). Czudaj, Robert ; Beckmann, Joscha. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:10:y:2013:i:3:p:453-468. Full description at Econpapers \|\| Download paper
2013	Bubbles, shocks and elementary technical trading strategies. (2013). Fry, John. In: MPRA Paper. RePEc:pra:mprapa:47052. Full description at Econpapers \|\| Download paper
2013	Price, Return and Volatility Linkages of Base Metal Futures traded in India. (2013). Sinha, Pankaj ; Mathur, Kritika. In: MPRA Paper. RePEc:pra:mprapa:47864. Full description at Econpapers \|\| Download paper
2013	Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Christensen, Hugh L. ; Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799. Full description at Econpapers \|\| Download paper
2013	Equity Market Contagion during the Global Financial Crisis: Evidence from the Worldâs Eight Largest Economies. (2013). Gajurel, Dinesh ; Dungey, Mardi. In: Working Papers. RePEc:tas:wpaper:17213. Full description at Econpapers \|\| Download paper
2013	Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics. (2013). Chiarella, Carl ; Ziveyi, Jonathan ; Adolfsson, Thomas . In: Research Paper Series. RePEc:uts:rpaper:327. Full description at Econpapers \|\| Download paper
2013	Multifractal models in finance: Their origin, properties, and applications. (2013). Segnon, Mawuli ; Lux, Thomas . In: Kiel Working Papers. RePEc:zbw:ifwkwp:1860. Full description at Econpapers \|\| Download paper

Recent citations received in 2012

Year	Citing document
2012	Trading networks, abnormal motifs and stock manipulation. (2012). W.-X. Zhou, ; Jiang, Zhi-Qiang ; Zhang, Yong-Jie ; Xie, Wen-Jie ; W. -X. Zhou, . In: Papers. RePEc:arx:papers:1301.0007. Full description at Econpapers \|\| Download paper
2012	Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650. Full description at Econpapers \|\| Download paper
2012	Option pricing with discrete time jump processes. (2012). Guegan, Dominique ; Ielpo, Florian ; Lalaharison, Hanjarivo . In: Post-Print. RePEc:hal:journl:halshs-00611706. Full description at Econpapers \|\| Download paper
2012	Analytical pricing of American options. (2012). Zhang, Jin ; Cheng, Jun . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:2:p:157-192. Full description at Econpapers \|\| Download paper
2012	Option pricing with discrete time jump processes.. (2012). Ielpo, Florian ; GUEGAN, Dominique ; Lalaharison, Hanjarivo . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:11037r. Full description at Econpapers \|\| Download paper
2012	Comments on: Some recent theory for autoregressive count time series. (2012). Doukhan, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:21:y:2012:i:3:p:447-450. Full description at Econpapers \|\| Download paper
2012	A directional-change event approach for studying financial time series. (2012). Dupuis, Alexandre ; Olsen, Richard ; Aloud, Monira ; Tsang, Edward . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201236. Full description at Econpapers \|\| Download paper
2012	Macroprudential banking regulation: Does one size fit all?. (2012). Neuberger, Doris ; Rissi, Roger . In: Thuenen-Series of Applied Economic Theory. RePEc:zbw:roswps:124. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	376
2	Physica A: Statistical Mechanics and its Applications / Elsevier	72
3	MPRA Paper / University Library of Munich, Germany	65
4	Journal of Banking & Finance / Elsevier	43
5	European Journal of Operational Research / Elsevier	43
6	Insurance: Mathematics and Economics / Elsevier	38
7	Journal of Economic Dynamics and Control / Elsevier	37
8	Finance and Stochastics / Springer	33
9	Energy Economics / Elsevier	24
10	Review of Derivatives Research / Springer	21
11	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	21

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.