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Citation Profile [Updated: 2020-11-03 07:59:29]
5 Years H
45
Impact Factor
0.56
5 Years IF
0.58
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.2 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.23 0 0 0 0 0 0 0 0 0 0 0.11
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.1
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.13
1999 0 0.29 0 0 0 0 0 0 0 0 0 0 0.14
2000 0 0.34 0 0 0 0 0 1 0 0 0 0 0.15
2001 0 0.36 0.39 0 67 67 2028 22 27 0 0 0 22 0.33 0.16
2002 0.52 0.4 0.42 0.52 63 130 794 50 81 67 35 67 35 4 8 9 0.14 0.21
2003 0.62 0.41 0.6 0.62 68 198 662 117 200 130 81 130 81 12 10.3 5 0.07 0.2
2004 0.5 0.46 0.6 0.52 67 265 980 157 360 131 65 198 103 21 13.4 12 0.18 0.2
2005 0.4 0.47 0.7 0.55 50 315 845 214 581 135 54 265 146 17 7.9 5 0.1 0.22
2006 0.44 0.47 0.71 0.54 45 360 425 248 837 117 52 315 170 34 13.7 9 0.2 0.21
2007 0.4 0.43 0.61 0.42 63 423 454 248 1093 95 38 293 123 18 7.3 11 0.17 0.19
2008 0.26 0.45 0.67 0.42 64 487 578 320 1421 108 28 293 124 33 10.3 18 0.28 0.21
2009 0.28 0.44 0.69 0.54 80 567 533 385 1811 127 36 289 155 33 8.6 5 0.06 0.21
2010 0.39 0.44 0.6 0.46 114 681 1071 408 2223 144 56 302 140 30 7.4 24 0.21 0.18
2011 0.28 0.47 0.51 0.34 130 811 526 411 2639 194 55 366 126 38 9.2 16 0.12 0.21
2012 0.4 0.47 0.63 0.49 166 977 680 612 3257 244 97 451 222 61 10 13 0.08 0.19
2013 0.32 0.53 0.74 0.51 140 1117 649 828 4088 296 95 554 280 55 6.6 23 0.16 0.22
2014 0.41 0.54 0.78 0.53 155 1272 535 985 5084 306 126 630 337 51 5.2 23 0.15 0.21
2015 0.52 0.54 0.78 0.53 141 1413 669 1098 6184 295 153 705 372 61 5.6 44 0.31 0.21
2016 0.64 0.54 0.9 0.55 136 1549 390 1398 7583 296 190 732 402 83 5.9 8 0.06 0.19
2017 0.53 0.55 0.78 0.57 141 1690 330 1316 8899 277 147 738 424 72 5.5 19 0.13 0.2
2018 0.68 0.64 0.77 0.63 151 1841 177 1424 10324 277 188 713 446 18 1.3 21 0.14 0.25
2019 0.6 0.74 0.73 0.63 154 1995 117 1465 11789 292 174 724 457 3 0.2 17 0.11 0.27
2020 0.56 0.84 0.68 0.58 113 2108 21 1441 13230 305 170 723 418 6 0.4 21 0.19 0.28
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

807
22004Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

282
32005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

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233
42001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

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176
52001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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161
62001Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

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118
72002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

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116
82010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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115
92003Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

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114
102008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

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110
112002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

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110
122010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

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105
132003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

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104
142002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

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103
152004Fluctuations 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

102
162011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

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96
172001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

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95
182004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

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88
192013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

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87
202001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

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81
212010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

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80
222010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

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80
232001High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

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78
242010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

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76
252016Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

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72
262003Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

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69
272015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

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68
282008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

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65
292004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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62
302007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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62
312010Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

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61
322001Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631.

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60
332011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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60
342012Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707.

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57
352002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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56
362002Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198.

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51
372003Testing 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.

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51
382005Order 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.

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50
392012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

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50
402015Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900.

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48
412011Liberalisation 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.

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48
422001Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308.

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48
432010Valuation 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.

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46
442002The 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.

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46
452008Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79.

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45
462001Computational 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.

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45
472001Price 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.

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45
482005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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44
492015Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636.

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44
502013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

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44
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

164
22016Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

Full description at Econpapers || Download paper

52
32004Network 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

33
42008High-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

32
52010Robustness 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

26
62010Optimal 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

26
72014Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71.

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24
82011Econophysics 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

23
92017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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21
102005Empirical 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

21
112001What 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

20
122010Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

19
132015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

Full description at Econpapers || Download paper

18
142010No-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

18
152010Portfolio 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

17
162004Fluctuations 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

17
172002Statistical 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

17
182013Modelling 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

17
192014Robust risk measurement and model risk. (2014). Glasserman, Paul ; Xu, Xingbo . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58.

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17
202017Short-time at-the-money skew and rough fractional volatility. (2017). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:189-198.

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17
212001Optimal 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

16
222002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

Full description at Econpapers || Download paper

16
232003Statistical 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

15
242015On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

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15
252015Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636.

Full description at Econpapers || Download paper

15
262010A 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

13
272008Relation 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.

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13
282013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

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13
292015A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Mastromatteo, I ; Bonart, J. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121.

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12
302018Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. (2018). de Spiegeleer, Jan ; Schoutens, Wim ; Reyners, Sofie ; Madan, Dilip B. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1635-1643.

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12
312007Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442.

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322002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

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332001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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342009Arbitrage-free smoothing of the implied volatility surface. (2009). Fengler, Matthias. In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:4:p:417-428.

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352002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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362013The non-linear market impact of large trades: evidence from buy-side order flow. (2013). Rakhlin, Dmitry ; Bershova, Nataliya . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1759-1778.

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372005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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382013The dynamics of commodity prices. (2013). Prokopczuk, Marcel ; Brooks, Chris. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:4:p:527-542.

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392011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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402017A new time-varying optimal copula model identifying the dependence across markets. (2017). Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:437-453.

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412015News, volatility and jumps: the case of natural gas futures. (2015). Borovkova, Svetlana ; Mahakena, Diego . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1217-1242.

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

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432018On VIX futures in the rough Bergomi model. (2018). Jacquier, Antoine ; Muguruza, Aitor ; Martini, Claude. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:45-61.

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442018Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach. (2018). Song, Wonho ; Webb, Robert I ; Ryu, Doojin. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:9:p:1559-1571.

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452010Valuation 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.

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462017Toward robust early-warning models: a horse race, ensembles and model uncertainty. (2017). Holopainen, Markus ; Sarlin, Peter. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:12:p:1933-1963.

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472019Universal features of price formation in financial markets: perspectives from deep learning. (2019). Cont, Rama ; Sirignano, Justin . In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1449-1459.

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482015Modelling the emergence of the interbank networks. (2015). Kok, Christoffer ; Halaj, Grzegorz. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:653-671.

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492015Modelling systemic price cojumps with Hawkes factor models. (2015). Bormetti, Giacomo ; Lillo, Fabrizio ; Marmi, Stefano ; Corsi, Fulvio ; Treccani, Michele ; Calcagnile, Lucio Maria . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1137-1156.

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502012Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327.

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2020Large deviations for fractional volatility models with non-Gaussian volatility driver. (2020). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Papers. RePEc:arx:papers:2003.12825.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020A robust framework for risk parity portfolios. (2020). Kwon, Roy ; Costa, Giorgio. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00179-w.

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2020Deep Learning modeling of Limit Order Book: a comparative perspective. (2020). Turiel, Jeremy ; Briola, Antonio ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2007.07319.

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2020Mid-price prediction based on machine learning methods with technical and quantitative indicators. (2020). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Ntakaris, Adamantios. In: PLOS ONE. RePEc:plo:pone00:0234107.

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2020On Detecting Spoofing Strategies in High Frequency Trading. (2020). Drapeau, Samuel ; Ling, Lan ; Day, Andrew ; Tao, Xuan. In: Papers. RePEc:arx:papers:2009.14818.

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2020Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data. (2020). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal ; Boubaker, Heni. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317455.

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2020Hedging geopolitical risk with precious metals. (2020). Smales, Lee ; Baur, Dirk G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s037842662030090x.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2020Forecasting realized gold volatility: Is there a role of geopolitical risks?. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930529x.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Wang, Shixuan ; Marco, Chi Keung ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513.

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2020Inferring Financial Bubbles from Option Data. (2020). Kwok, Simon Sai Man ; Jarrow, Robert. In: Working Papers. RePEc:syd:wpaper:2020-04.

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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2020). Guidolin, Massimo ; de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Working Papers. RePEc:igi:igierp:667.

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2020The International Spread of COVID-19 Stock Market Collapses. (2020). de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1013.

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2020Gold as a Financial Instrument. (2020). Gomis-Porqueras, Pedro ; Tan, David ; Shi, Shuping. In: MPRA Paper. RePEc:pra:mprapa:102782.

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2020Mildly explosive dynamics in U.S. fixed income markets. (2020). Guidolin, Massimo ; De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724.

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2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Mitzel, Norbert W ; Gronde, Ingo. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:635.

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2020Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149.

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2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Ruiz, Esther ; Moura, Guilherme V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485.

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2020Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2020Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

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2020Predicting LGD distributions with mixed continuous and discrete ordinal outcomes. (2020). Yu, Kaizhi ; Chu, Chih-Kang ; Hwang, Ruey-Ching. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1003-1022.

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2020The impact of soft intervention on the Chinese financial futures market. (2020). Zhang, Haoran ; Hilliard, Jimmy E. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:374-391.

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2020Lead–lag relationships in foreign exchange markets. (2020). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316887.

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2020Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds. (2020). Chatterjee, Niladri ; Gupta, Kartikay. In: Papers. RePEc:arx:papers:2004.10560.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814.

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2020Robust portfolio optimization: a categorized bibliographic review. (2020). Xidonas, Panos ; Hassapis, Christis ; Steuer, Ralph. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:1:d:10.1007_s10479-020-03630-8.

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2020Market impact and performance of arbitrageurs of financial bubbles in an agent-based model. (2020). Sornette, Didier ; Westphal, Rebecca. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:1-23.

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2020Heterogeneous speculators and stock market dynamics: A simple agent-based computational model. (2020). Westerhoff, Frank ; Schwartz, Ivonne ; Schmitt, Noemi. In: BERG Working Paper Series. RePEc:zbw:bamber:160.

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2020Detection of Chinese stock market bubbles with LPPLS confidence indicator. (2020). Zhu, Wei ; Shu, Min. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304611.

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2020Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? Evidence based on HAR and Ridge regression models. (2020). Wei, Guiwu ; Zhang, Xunhui ; Li, Yan ; Liang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305793.

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2020Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508.

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2020Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020Data Science in Economics. (2020). Ghamisi, Pedram ; Duan, Puhong ; Mosavi, Amir ; Nosratabadi, Saeed. In: Papers. RePEc:arx:papers:2003.13422.

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2020Deep Probabilistic Modelling of Price Movements for High-Frequency Trading. (2020). Gorse, Denise ; Lim, Ye-Sheen. In: Papers. RePEc:arx:papers:2004.01498.

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2020Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow. (2020). Gorse, Denise ; Lim, Ye-Sheen. In: Papers. RePEc:arx:papers:2004.01499.

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2020A generative adversarial network approach to calibration of local stochastic volatility models. (2020). Teichmann, Josef ; Khosrawi, Wahid ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2005.02505.

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2020Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611.

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2020Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning. (2020). Tanksale, Atharva ; Rajani, Sharan ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2008.00462.

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2020Deep Reinforcement Learning in Agent Based Financial Market Simulation. (2020). Kato, Atsuo ; Izumi, Kiyoshi ; Sakaji, Hiroki ; Matsushima, Hiroyasu ; Kitano, Michiharu ; Degraw, David ; Maeda, Iwao. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:71-:d:344491.

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2020A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment. (2020). Pang, Tao ; Cao, Shuai ; Fu, YI. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:3978-:d:357318.

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2020Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

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2020Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

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2020Neural Network pricing of American put options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Working Papers REM. RePEc:ise:remwps:wp01222020.

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2020Neural Network Pricing of American Put Options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:73-:d:379508.

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2020Artificial Neural Networks Performance in WIG20 Index Options Pricing. (2020). Ślepaczuk, Robert ; Wysocki, Maciej. In: Working Papers. RePEc:war:wpaper:2020-19.

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2020Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618.

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2020Utility indifference pricing and the Aumann–Serrano performance index. (2020). Hodoshima, Jiro ; Miyahara, Yoshio. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:86:y:2020:i:c:p:83-89.

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2020Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan. (2020). Hodoshima, Jiro ; Miyahara, Yoshio ; Misawa, Tetsuya. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:2:d:10.1007_s10690-019-09287-z.

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2020Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection. (2020). Miyahara, Yoshio. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:2:d:10.1007_s10690-019-09289-x.

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2020The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. (2020). Oosterlee, Cornelis W ; Grzelak, Lech A ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2009.03202.

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2020Skewing Quanto with Simplicity. (2020). Hong, George. In: Papers. RePEc:arx:papers:2009.02566.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009.

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2020The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis. (2020). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham. In: International Economics. RePEc:eee:inteco:v:162:y:2020:i:c:p:110-124.

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2020The impact of mergers and acquisitions on technology learning in the petroleum industry. (2020). Wei, Yi-Ming ; Lv, Xin ; Xin Lv, ; Qiao, LU. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300840.

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2020How do resource misallocation and government corruption affect green total factor energy efficiency? Evidence from China. (2020). Wu, Haitao ; Gai, Zhiqiang ; Hao, YU. In: Energy Policy. RePEc:eee:enepol:v:143:y:2020:i:c:s0301421520303049.

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2020Non-Value-Added Tax to Improve Market Fairness. (2020). Jonath, Arthur ; Veryzhenko, Iryna ; Harb, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-02881064.

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2020Can government stabilize the housing market? The evidence from South Korea. (2020). Ahn, Kwangwon ; Song, Yena ; Jang, Hanwool. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:550:y:2020:i:c:s037843711932271x.

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2020Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Xu, Weidong ; Shrestha, Keshab ; Pan, Dongtao ; Ma, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315110.

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2020Using the Epps effect to detect discrete data generating processes. (2020). Gebbie, Tim ; Pienaar, Etienne ; Chang, Patrick. In: Papers. RePEc:arx:papers:2005.10568.

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2020Optimal reinsurance-investment strategy for a dynamic contagion claim model. (2020). Li, Bin ; Landriault, David ; Cao, Jingyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:206-215.

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2020Endogenous Liquidity Crises. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:1912.00359.

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2020Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:2005.05730.

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2020Endogenous Liquidity Crises. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Working Papers. RePEc:hal:wpaper:hal-02567495.

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2020Instabilities in Multi-Asset and Multi-Agent Market Impact Games. (2020). Lillo, Fabrizio ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:2004.03546.

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2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kiseop ; Jang, Hyun Jin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:247-275.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020Real option duopolies with quasi-hyperbolic discounting. (2020). Yang, Zhaojun ; Tian, Yuan ; Luo, Pengfei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302246.

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2020A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2020Market-crash forecasting based on the dynamics of the alpha-stable distribution. (2020). Perote, Javier ; Mora-Valencia, Andres ; Molina-Muoz, Jesus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304532.

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2020Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Yang, Ben-Zhang ; Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020Volatility Spillovers between Equity and Green Bond Markets. (2020). Park, Jiyeon ; Ryu, Doojin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3722-:d:353863.

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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2020Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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2020Improving Thermochemical Energy Storage Dynamics Forecast with Physics-Inspired Neural Network Architecture. (2020). Nowak, Wolfgang ; Oladyshkin, Sergey ; Walser, Thilo ; Praditia, Timothy. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3873-:d:391364.

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2020Portfolio Theory in Solving the Problem Structural Choice. (2020). Sukharev, Oleg S. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:195-:d:407294.

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2020Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02877569.

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2020Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-02877569.

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Recent citations received in 2019

YearCiting document
2019Vol-of-vol expansion for (rough) forward variance models. (2019). Akdogan, Ozan. In: Papers. RePEc:arx:papers:1910.03245.

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2019Deep Reinforcement Learning for Trading. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1911.10107.

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2019A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695.

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2019Simulating liquidity stress in the derivatives market. (2019). Ferrara, Gerardo ; Vause, Nicholas ; Bardoscia, Marco ; Yoganayagam, Michael. In: Bank of England working papers. RePEc:boe:boeewp:0838.

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2019Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model. (2019). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1929.

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2019Regulating the doom loop. (2019). Langfield, Sam ; Alogoskoufis, Spyros. In: Working Paper Series. RePEc:ecb:ecbwps:20192313.

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2019An asymptotic expansion method for geometric Asian options pricing under the double Heston model. (2019). Gao, Xiong ; Zhang, Sumei. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:127:y:2019:i:c:p:1-9.

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2019An information theory perspective on the informational efficiency of gold price. (2019). Fernandez Bariviera, Aurelio ; Rosso, Osvaldo A ; Sorrosal-Forradellas, Teresa M ; Font-Ferrer, Alejandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304534.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2019What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?. (2019). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303184.

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2019How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. (2019). Zhang, Yue-Jun ; Ma, Shu-Jiao. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303573.

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2019Quantum systems for Monte Carlo methods and applications to fractional stochastic processes. (2019). Huang, Yuping ; Nguyen, Lac ; Chatterjee, Rupak ; Tudor, Sebastian F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711931115x.

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2019Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langrene, Nicolas ; Zhang, Rongju. In: Post-Print. RePEc:hal:journl:hal-02909342.

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2019Submodular Risk Allocation. (2019). Glasserman, Paul ; Ghamami, Samim. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4656-4675.

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2019Extreme at-the-money skew in a local volatility model. (2019). Pigato, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00406-2.

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2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

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2019AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS. (2019). Peng, Qidi ; Schellhorn, Henry ; Liu, Chen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500444.

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Recent citations received in 2018

YearCiting document
2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2018Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency. (2018). LEHALLE, Charles-Albert ; Mounjid, Othmane. In: Papers. RePEc:arx:papers:1610.00261.

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2018Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1808.03548.

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Muguruza, Aitor ; Garc, David ; Alos, Elisa. In: Papers. RePEc:arx:papers:1808.03610.

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2018The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060.

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2018Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Glynn, Peter W ; Zhang, Xiaowei. In: Papers. RePEc:arx:papers:1811.00122.

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2018Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014.

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2018High-frequency Pairs Trading on a Small Stock Exchange. (2018). Mikkelsen, Andreas ; Kjarland, Frode. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-11.

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2018Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62.

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2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

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2018Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669.

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2018Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). Gogolin, Fabian ; Vigne, Samuel A ; Peat, Maurice ; Lucey, Brian M ; Kearney, Fearghal. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593.

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2018Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis. (2018). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:22-42.

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2018Fast and accurate calculation of American option prices. (2018). Ballestra, Luca Vincenzo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0224-1.

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2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751.

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2018The directional information content of options volumes. (2018). Yang, Hee Jin ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:12:p:1533-1548.

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Recent citations received in 2017

YearCiting document
2017An empirical behavioural order-driven model with price limit rules. (2017). Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng. In: Papers. RePEc:arx:papers:1704.04354.

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2017Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles inceptions. (2017). Demos, Guilherme ; Sornette, Didier. In: Papers. RePEc:arx:papers:1707.07162.

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2017A regularity structure for rough volatility. (2017). Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Papers. RePEc:arx:papers:1710.07481.

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2017Stock market as temporal network. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Papers. RePEc:arx:papers:1712.04863.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2017Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1733.

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2017Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926.

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2017Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375.

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2017Characterizing the financial cycle: evidence from a frequency domain analysis. (2017). Proaño, Christian ; Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: IMK Working Paper. RePEc:imk:wpaper:189-2017.

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2017Using Ratios of Successive Returns for the Estimation of Serial Correlation in Return Series. (2017). Reschenhofer, Erhard. In: Noble International Journal of Economics and Financial Research. RePEc:nap:nijefr:2017:p:125-130.

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2017Divergent Behavior in Markets with Idiosyncratic Private Information. (2017). Goldbaum, David. In: Review of Behavioral Economics. RePEc:now:jnlrbe:105.00000064.

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2017Comparing market power at home and abroad: evidence from Austrian banks and their subsidiaries in CESEE. (2017). Sigmund, Michael ; Feldkircher, Martin. In: Focus on European Economic Integration. RePEc:onb:oenbfi:y:2017:i:q3/17:b:4.

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2017On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752.

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2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207.

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2017Contests as selection mechanisms: The impact of risk aversion. (2017). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:127.

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2017Fiscal consolidations and finite planning horizons. (2017). Mavromatis, Kostas(Konstantinos) ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:130.

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2017Managing unanchored, heterogeneous expectations and liquidity traps. (2017). Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:131.

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2017Fiscal consolidations and heterogeneous expectations. (2017). Mavromatis, Kostas(Konstantinos) ; Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:132.

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2017Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763.

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