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Algorithmic Finance / IOS Press


0.4

Impact Factor

0.46

5-Years IF

4

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.04
19920.1000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.11
19960.22000 (%)0.1
19970.22000 (%)0.09
19980.24000 (%)0.13
19990.3000 (%)0.16
20000.37000 (%)0.14
20010.37000 (%)0.17
20020.37000 (%)0.18
20030.4000 (%)0.19
20040.41000 (%)0.18
20050.43000 (%)0.21
20060.44000 (%)0.19
20070.37000 (%)0.17
20080.39000 (%)0.17
20090.36000 (%)0.17
20100.34000 (%)0.15
20110.415520.4900 (%)20.40.2
20120.20.450.2510.25151 (%)0.21
20130.20.50.2162140.19275151 (%)30.190.2
20140.560.550.4352690.352169219 (%)0.25
20150.10.570.122630.12212263 (%)0.26
20160.40.660.4626120.46522612 (%)0.34
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:


#YearTitleCited
12013Cluster formation and evolution in networks of financial market indices. (2013). Sandoval, Leonidas Junior . In: Algorithmic Finance. RePEc:ris:iosalg:0023.

Full description at Econpapers || Download paper

9
22013A big data approach to analyzing market volatility. (2013). Leinweber, David ; Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng . In: Algorithmic Finance. RePEc:ris:iosalg:0016.

Full description at Econpapers || Download paper

5
32011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Reed, Josh ; Stoikov, Sasha ; Avellaneda, Marco . In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

5
42013The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015.

Full description at Econpapers || Download paper

4
52013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

Full description at Econpapers || Download paper

3
62013Stock chatter: Using stock sentiment to predict price direction. (2013). Rechenthin, Michael ; Srinivasan, Padmini ; Street, Nick W.. In: Algorithmic Finance. RePEc:ris:iosalg:0012.

Full description at Econpapers || Download paper

3
72014Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Chen, Bryant ; Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., . In: Algorithmic Finance. RePEc:ris:iosalg:0010.

Full description at Econpapers || Download paper

2
82011Efficient greek estimation in generic swap-rate market models. (2011). Joshi, Mark ; Yang, Chao . In: Algorithmic Finance. RePEc:ris:iosalg:0003.

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2
92011Markets are efficient if and only if P=NP. (2011). Maymin, Philip . In: Algorithmic Finance. RePEc:ris:iosalg:0001.

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1
102013Modeling market impact and timing risk in volume time. (2013). Mazur, Slava . In: Algorithmic Finance. RePEc:ris:iosalg:0018.

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1
112013Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Michailidis, George ; Mankad, Shawn . In: Algorithmic Finance. RePEc:ris:iosalg:0021.

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1
122013Sparse, mean reverting portfolio selection using simulated annealing. (2013). Levendovszky, Janos ; Fogarasi, Norbert . In: Algorithmic Finance. RePEc:ris:iosalg:0013.

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1
132011Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002.

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1
142013Optimizing sparse mean reverting portfolios. (2013). Levendovszky, Janos ; Sipos, Robert I.. In: Algorithmic Finance. RePEc:ris:iosalg:0019.

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1

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


#YearTitleCited
12013Cluster formation and evolution in networks of financial market indices. (2013). Sandoval, Leonidas Junior . In: Algorithmic Finance. RePEc:ris:iosalg:0023.

Full description at Econpapers || Download paper

7
22011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Reed, Josh ; Stoikov, Sasha ; Avellaneda, Marco . In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

2
32013The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015.

Full description at Econpapers || Download paper

2
42013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

Full description at Econpapers || Download paper

2
52014Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Chen, Bryant ; Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., . In: Algorithmic Finance. RePEc:ris:iosalg:0010.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 2:


YearTitle
2016Multivariate tail conditional expectation for elliptical distributions. (2016). Makov, Udi ; Landsman, Zinoviy ; Shushi, Tomer . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:216-223.

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2016Tail conditional moments for elliptical and log-elliptical distributions. (2016). Shushi, Tomer ; Makov, Udi ; Landsman, Zinoviy . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:179-188.

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Recent citations (cites in year: CiY)


Recent citations received in 2014

YearCiting document

Recent citations received in 2013

YearCiting document
2013Reflecting on the VPIN Dispute. (2013). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2013-42.

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2013Assessing Measures of Order Flow Toxicity via Perfect Trade Classification. (2013). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2013-43.

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2013Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books. (2013). Blanchet, Jose ; Chen, Xinyun . In: Papers. RePEc:arx:papers:1310.1103.

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10 most frequent citing series


#SeriesCites
1 Papers / arXiv.org7
2 1
3 Working Papers / HAL1

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1st 2017. Contact: CitEc Team