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Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
50
Impact Factor
0.7
5 Years IF
0.74
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 0.19 0 0 0 0 0 0 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1997 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.26 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.27 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.32 0 0 0 0 0 1 0 0 0 0 0.14
2001 0 0.35 0.4 0 67 67 2251 23 28 0 0 0 23 0.34 0.15
2002 0.52 0.37 0.42 0.52 63 130 863 50 82 67 35 67 35 4 8 9 0.14 0.19
2003 0.62 0.4 0.6 0.62 68 198 709 117 201 130 81 130 81 12 10.3 5 0.07 0.19
2004 0.5 0.44 0.6 0.52 67 265 1050 157 361 131 65 198 103 21 13.4 12 0.18 0.2
2005 0.4 0.45 0.71 0.56 50 315 909 216 584 135 54 265 148 17 7.9 5 0.1 0.21
2006 0.44 0.46 0.72 0.55 45 360 458 250 842 117 52 315 172 34 13.6 9 0.2 0.2
2007 0.4 0.42 0.61 0.42 63 423 522 248 1098 95 38 293 123 18 7.3 10 0.16 0.18
2008 0.25 0.44 0.68 0.43 64 487 643 322 1428 108 27 293 125 33 10.2 18 0.28 0.2
2009 0.28 0.43 0.71 0.53 80 567 601 393 1828 127 36 289 154 33 8.4 5 0.06 0.21
2010 0.4 0.43 0.63 0.5 114 681 1253 427 2259 144 58 302 151 30 7 24 0.21 0.18
2011 0.28 0.45 0.53 0.35 130 811 622 421 2685 194 55 366 127 38 9 17 0.13 0.2
2012 0.4 0.45 0.64 0.5 166 977 784 619 3310 244 98 451 225 61 9.9 13 0.08 0.19
2013 0.32 0.5 0.75 0.51 140 1117 775 837 4151 296 96 554 282 55 6.6 25 0.18 0.21
2014 0.42 0.51 0.8 0.54 155 1272 654 1000 5164 306 128 630 342 51 5.1 23 0.15 0.2
2015 0.52 0.5 0.79 0.53 141 1413 838 1108 6274 295 153 705 372 61 5.5 44 0.31 0.19
2016 0.66 0.5 0.94 0.57 136 1549 532 1457 7732 296 196 732 415 85 5.8 8 0.06 0.18
2017 0.53 0.5 0.79 0.58 141 1690 479 1335 9068 277 148 738 428 72 5.4 20 0.14 0.18
2018 0.68 0.54 0.8 0.64 151 1841 332 1467 10536 277 188 713 456 18 1.2 21 0.14 0.21
2019 0.61 0.58 0.74 0.64 154 1995 300 1469 12005 292 177 724 463 3 0.2 18 0.12 0.21
2020 0.7 0.75 0.86 0.74 137 2132 120 1824 13829 305 215 723 532 9 0.5 34 0.25 0.29
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.

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927
22004Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

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308
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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244
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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193
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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176
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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132
72008High-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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128
82010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

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126
92002Dynamics 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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126
102010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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123
112003Dependence 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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119
122002A 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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118
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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116
142011Econophysics 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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115
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.

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112
162002Statistical 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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111
172016Pricing 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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105
182010Portfolio 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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103
192001Optimal 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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99
202013Modelling 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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97
212004What 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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97
222010No-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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91
232015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

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87
242001Significance 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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85
252010A 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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81
262010Statistical 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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80
272001High-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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80
282007Multi-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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73
292003Systematic 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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72
302011Econophysics 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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70
312004A 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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67
322008A 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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66
332001Stochastic 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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65
342002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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64
352012Leverage 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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64
362015Filling 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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59
372011Liberalisation 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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59
382003Testing 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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55
392017Extreme 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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55
402012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

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55
412010Valuation 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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54
422001Computational 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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53
432002Dynamical 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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53
442013Optimal 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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52
452015On 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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52
462007Ambiguity 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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52
472015Stochastic 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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51
482005Order 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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51
492001Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44.

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51
502001Pricing 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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50
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

269
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

86
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

53
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

50
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

45
62017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

Full description at Econpapers || Download paper

39
72010Portfolio 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
82010Statistical 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

37
92011Econophysics 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

37
102014Arbitrage-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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35
112010Optimal 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

34
122015The 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

33
132019Universal 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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33
142001What 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

32
152010No-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

32
162005Empirical 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

31
172015Filling 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

30
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

28
192003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

Full description at Econpapers || Download paper

27
202002Dynamics 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

26
212015On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

Full description at Econpapers || Download paper

26
222017Short-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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25
232004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

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25
242010Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

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24
252014Robust 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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23
262007Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442.

Full description at Econpapers || Download paper

23
272002Statistical 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

22
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.

Full description at Econpapers || Download paper

21
292001Optimal 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

20
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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20
312018Machine 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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20
322011Econophysics 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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332020A critical investigation of cryptocurrency data and analysis. (2020). Dakos, M ; Alexander, C. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

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342015Modelling 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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352010A 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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362001Financial 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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372002Probability 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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382019Gold price dynamics and the role of uncertainty. (2019). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:663-681.

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392010Valuation 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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402013The 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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412014Hawkes 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.

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422017Toward 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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432017The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2017). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:999-1020.

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442008Relation 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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452015Stochastic 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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462005Optimal 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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472002A 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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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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492012Leverage 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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502009Portfolio choice under dynamic investment performance criteria. (2009). Musiela, M. ; Zariphopoulou, T.. In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:2:p:161-170.

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2020Metal prices made in China? A network analysis of industrial metal futures. (2020). Siklos, Pierre L ; Wellenreuther, Claudia ; Stefan, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1354-1374.

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2020The market quality of commodity futures markets. (2020). Xie, Yuchi ; Tse, Yiuman ; Luo, Qian ; Liu, Qingfu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1751-1766.

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2020How do lenders evaluate borrowers in peer-to-peer lending in China?. (2020). Tse, Yiuman ; Liu, Qingfu ; Gu, Yan ; Chen, Shiyi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:651-662.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2020Intraday momentum in Chinese commodity futures markets. (2020). Wang, Pengfei ; Zhang, Wei ; Li, YI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311328.

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2020Sustainable Portfolio Optimization with Higher-Order Moments of Risk. (2020). Waqar, Syed M ; Imdad, Rana Shahid ; Khan, Kanwal Iqbal ; Ghafoor, Muhammad Mudassar. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2006-:d:328913.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414.

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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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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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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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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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2020Volatility has to be rough. (2020). Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2002.09215.

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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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2020Spot estimation for fractional Ornstein–Uhlenbeck stochastic volatility model: consistency and central limit theorem. (2020). Eumenius-Schulz, Yaroslav. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:2:d:10.1007_s11203-020-09209-1.

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2020The Multiplicative Chaos of $H=0$ Fractional Brownian Fields. (2020). Neuman, Eyal ; Hager, Paul. In: Papers. RePEc:arx:papers:2008.01385.

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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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2020Too central to fail firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets. (2020). Chakrabarti, Anindya S ; Srivastava, Pranjal ; Mishra, Abinash. In: IIMA Working Papers. RePEc:iim:iimawp:14628.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2020Optimal market making with persistent order flow. (2020). Jusselin, Paul. In: Papers. RePEc:arx:papers:2003.05958.

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2020Behavioral data-driven analysis with Bayesian method for risk management of financial services. (2020). Yu, Min-Teh ; Sun, Edward W. In: International Journal of Production Economics. RePEc:eee:proeco:v:228:y:2020:i:c:s0925527320301250.

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2020Time-consistent feedback strategies with Volterra processes. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1907.11378.

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2020Differential Machine Learning. (2020). Savine, Antoine ; Huge, Brian . In: Papers. RePEc:arx:papers:2005.02347.

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2020On the support of solutions to stochastic differential equations with path-dependent coefficients. (2020). Kalinin, Alexander ; Cont, Rama. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:2639-2674.

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2020Minimax and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Time-Delay Systems. (2020). Plaksin, Anton. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:187:y:2020:i:1:d:10.1007_s10957-020-01742-6.

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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). Liang, Chao ; Wei, YU ; Zhang, Xunhui. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305793.

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2020Market structure dynamics during COVID-19 outbreak. (2020). Aste, Tomaso ; Phelan, Carolyn E ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:2003.10922.

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2020Image Processing Tools for Financial Time Series Classification. (2020). Barucca, Paolo ; Fernandez-Reyes, Delmiro ; Du, Bairui. In: Papers. RePEc:arx:papers:2008.06042.

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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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2020Option Hedging with Risk Averse Reinforcement Learning. (2020). Trapletti, Michele ; Vittori, Edoardo ; Restelli, Marcello. In: Papers. RePEc:arx:papers:2010.12245.

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2020Learning low-frequency temporal patterns for quantitative trading. (2020). Gebbie, Tim ; da Costa, Joel. In: Papers. RePEc:arx:papers:2008.09481.

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2020A Framework for Online Investment Algorithms. (2020). Gebbie, Tim ; van Zyl, Terence ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2003.13360.

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2020Is Artificial Intelligence Ready to Assess an Enterprise’s Financial Security?. (2020). Melnychenko, Oleksandr. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:191-:d:402052.

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2020Performance assessment of ensemble learning systems in financial data classification. (2020). Bekiros, Stelios ; Bezzina, Frank ; Giakoumelou, Anastasia ; Lahmiri, Salim. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:27:y:2020:i:1:p:3-9.

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2020Financial Data Analysis Using Expert Bayesian Framework For Bankruptcy Prediction. (2020). Shaikh, Habibullah ; Mukeri, Amir ; Gaikwad, D P. In: Papers. RePEc:arx:papers:2010.13892.

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2020Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Generalized risk parity portfolio optimization: an ADMM approach. (2020). Costa, Giorgio ; Kwon, Roy H. In: Journal of Global Optimization. RePEc:spr:jglopt:v:78:y:2020:i:1:d:10.1007_s10898-020-00915-x.

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2020Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization. (2020). Kwon, Roy ; Gambeta, Vaughn. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:237-:d:423642.

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2020Multi-Period Portfolio Optimization with Investor Views under Regime Switching. (2020). Kwon, Roy ; Oprisor, Razvan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2020:i:1:p:3-:d:467386.

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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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2020Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052020.

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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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2020Prospects and challenges of quantum finance. (2020). van Dam, Wim ; Bouland, Adam ; Prakash, Anupam ; Kerenidis, Iordanis ; Joorati, Hamed. In: Papers. RePEc:arx:papers:2011.06492.

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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). Åšlepaczuk, Robert ; Wysocki, Maciej. In: Working Papers. RePEc:war:wpaper:2020-19.

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2020Representing Uncertainty in Property Valuation Through a Bayesian Deep Learning Approach. (2020). Key-Ho, Park Keith ; Changro, Lee. In: Real Estate Management and Valuation. RePEc:vrs:remava:v:28:y:2020:i:4:p:15-23:n:2.

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2020A Note on Investor Happiness and the Predictability of Realized Volatility of Gold. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202004.

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2020A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:202010.

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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). Pierdzioch, Christian ; GUPTA, RANGAN ; 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 ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020The effects of geopolitical risks on the stock dynamics of Chinas rare metals: A TVP-VAR analysis. (2020). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Mei-Jing. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719309183.

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2020Examining the relationship between policy uncertainty and market uncertainty across the G7. (2020). Smales, Lee. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301848.

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2020Oil price jumps and the uncertainty of oil supplies in a geopolitical perspective: The role of OPEC’s spare capacity. (2020). Selmi, Refk ; bouoiyour, jamal ; Miftah, Amal. In: International Economics. RePEc:eee:inteco:v:164:y:2020:i:c:p:18-35.

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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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2020The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains. (2020). Yan, Xing-Xing ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:750-768.

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2020The dynamic volatility transmission in the multiscale spillover network of the international stock market. (2020). Jiang, Cheng ; Liu, Xueyong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120305987.

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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 Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data. (2020). Hodoshima, Jiro ; Yamawake, Toshiyuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:288-:d:448162.

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

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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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2020Valuation of VIX and target volatility options with affine GARCH models. (2020). Jayaraman, Sarath Kumar ; Cui, Zhenyu ; Badescu, Alexandru ; Cao, Hongkai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1880-1917.

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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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2020Volatility forecasts, proxies and loss functions. (2020). Stark, Thomas ; Mangat, Manveer Kaur ; Reschenhofer, Erhard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:133-153.

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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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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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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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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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2020Pricing options under simultaneous stochastic volatility and jumps: A simple closed-form formula without numerical/computational methods. (2020). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317492.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China. (2020). Xiao, Wei-Lin ; Wang, Zi-Ling ; Yu, Xiao-Jian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302948.

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2020Hedging and pricing early-exercise options with complex fourier series expansion. (2020). Chan, Tat Lung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818304194.

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2020Does One Size Fit All? The Impact of Liquidity Requirements on Bank\s Insolvency: Evidence from Iranian Listed Banks. (2020). Mollashahi, Vahideh Sotoudeh ; Mojab, Ramin ; Rastegar, Mohammad Ali ; Talebi, Mohammad. In: Journal of Money and Economy. RePEc:mbr:jmonec:v:15:y:2020:i:2:p:181-197.

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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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2020Mean-variance-utility portfolio selection with time and state dependent risk aversion. (2020). He, Xin-Jiang ; Yang, Ben-Zhang ; Zhu, Song-Ping. In: Papers. RePEc:arx:papers:2007.06510.

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2020Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2020A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions. (2020). Kang, Boda ; Zhu, Song-Ping ; Ma, Guiyuan. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09923-w.

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2020Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2005.06782.

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2020Optimal investment and consumption with return predictability and execution costs. (2020). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:408-419.

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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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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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2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020.

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2020Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78.

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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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2020Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time. (2020). Zou, Bin ; Deng, Jun. In: Papers. RePEc:arx:papers:2005.06015.

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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 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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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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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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2020Comparing the market microstructure between two South African exchanges. (2020). Chang, Patrick ; Jericevich, Ivan ; Gebbie, Tim. In: Papers. RePEc:arx:papers:2011.04367.

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2020Data science in economics: comprehensive review of advanced machine learning and deep learning methods. (2020). Mosavi, Amir ; Nosratabadi, Saeed ; Gandomi, Amir H ; Gama, Joao ; Reuter, Uwe ; Band, Shahab S ; Filip, Ferdinand ; Ghamisi, Pedram ; Duan, Puhong. In: LawArXiv. RePEc:osf:lawarx:kczj5.

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2020Data science in economics: comprehensive review of advanced machine learning and deep learning methods. (2020). Mosavi, Amir ; Nosratabadi, Saeed ; Gandomi, Amir H ; Gama, Joao ; Reuter, Uwe ; Band, Shahab S ; Filip, Ferdinand ; Ghamisi, Pedram ; Duan, Puhong. In: OSF Preprints. RePEc:osf:osfxxx:yc6e2.

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2020Data science in economics: comprehensive review of advanced machine learning and deep learning methods. (2020). Mosavi, Amir ; Nosratabadi, Saeed ; Gandomi, Amir H ; Gama, Joao ; Reuter, Uwe ; Band, Shahab S ; Filip, Ferdinand ; Ghamisi, Pedram ; Duan, Puhong. In: Thesis Commons. RePEc:osf:thesis:auyvc.

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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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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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Recent citations received in 2020
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2020Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2001.08442.

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2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

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2020One model does not fit all: a multi-scale analysis of eighty-four cryptocurrencies. (2020). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:2003.09720.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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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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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Pricing Options Under Rough Volatility with Backward SPDEs. (2020). Yao, Yao ; Qiu, Jinniao ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.01241.

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2020Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M. In: Papers. RePEc:arx:papers:2009.05652.

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2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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2020The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890.

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2020A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256.

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2020Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147.

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2020An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625.

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2020mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms. (2020). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2012.00729.

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2020The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk. (2020). Ida, Yuuki ; Akahori, Jiro ; Tamada, Shuji ; Nishida, Maho. In: Papers. RePEc:arx:papers:2012.09606.

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2020Adversarial trading. (2020). Miot, Alexandre. In: Papers. RePEc:arx:papers:2101.03128.

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2020Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324.

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2020Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

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2020The impact of blockchain related name changes on corporate performance. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Yarovaya, Larisa ; Akyildirim, Erdinc. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302030.

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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: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2020Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data. (2020). Vo, Xuan Vinh ; Kang, Sang Hoon ; Wanas, Idries Mohammad ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301777.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. (2020). McGee, Richard ; Conlon, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304244.

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2020Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177.

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2020Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. (2020). Corbet, Shaen ; Conlon, Thomas ; McGee, Richard J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304438.

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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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2020Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks. (2020). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:116-:d:439775.

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2020Volatility in Rainfall and Predictability of Droughts in Northwest Bangladesh. (2020). Uddin, Mohammad Ahsan ; Chung, Eun-Sung ; Shahid, Shamsuddin ; Kamal, Asm Maksud ; Ahsanuddin, Mohammad. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:23:p:9810-:d:450246.

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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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2020Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Bouchaud, Jean-Philippe ; Fosset, Antoine ; Benzaquen, Michael. In: Working Papers. RePEc:hal:wpaper:hal-02998555.

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2020Predictive ability of investor sentiment for the stock market. (2020). Ryu, Doojin ; Kim, Karam. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:4:p:33-46.

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2020Will they repay their debt? Identification of borrowers likely to be charged off. (2020). Alecsandru, Strat Vasile ; Traian, Pele Daniel ; Ana-Maria, Panaite ; Dana, Caplescu Raluca. In: Management & Marketing. RePEc:vrs:manmar:v:15:y:2020:i:3:p:393-409:n:4.

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2020The devil is in the details, but so is salvation: Different approachesin money market measurement. (2020). Paulick, Jan ; Muller, Alexander. In: Discussion Papers. RePEc:zbw:bubdps:662020.

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Recent citations received in 2019
YearCiting document
2019The Power of Machine Learning in the Biological Context. (2019). Stbinger, Johannes. In: Biostatistics and Biometrics Open Access Journal. RePEc:adp:jbboaj:v:9:y:2019:i:4:p:102-104.

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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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2019The distribution of the average of log-normal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula. (2019). Alghalith, Moawia. In: MPRA Paper. RePEc:pra:mprapa:105588.

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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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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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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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2018Price-Based Investment Strategies. (2018). Shemer, Jacob Koby ; Zaremba, Adam. In: Springer Books. RePEc:spr:sprbok:978-3-319-91530-2.

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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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2018What Factors Shape the Liquidity Levels of Euro Area Sovereign Bonds?. (2018). Linas, Jurksas. In: Open Economics. RePEc:vrs:openec:v:1:y:2018:i:1:p:154-166:n:13.

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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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2017Banks in Colombia: how homogeneous are they?. (2017). León, Carlos ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1022.

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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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