Citation analysis for Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

0.35

5 Years IF

0.55

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
1998	0	0.3	0	0	3	3	10		0	0		0			0		0	0.18
1999	0.33	0.38	0.33	0.33	27	30	221	9	10	3	1	3	1	5	55.6	8	0.3	0.25
2000	0.43	0.52	0.45	0.43	17	47	154	16	31	30	13	30	13	9	56.3	3	0.18	0.24
2001	0.61	0.48	0.63	0.6	25	72	390	44	76	44	27	47	28	21	47.7	13	0.52	0.27
2002	0.4	0.52	0.41	0.36	14	86	92	35	111	42	17	72	26	13	37.1	1	0.07	0.29
2003	0.74	0.51	0.61	0.5	27	113	153	68	180	39	29	86	43	29	42.6	7	0.26	0.29
2004	0.68	0.57	0.99	0.5	31	144	236	143	323	41	28	110	55	61	42.7	23	0.74	0.35
2005	0.45	0.58	0.77	0.51	27	171	420	129	454	58	26	114	58	52	40.3	11	0.41	0.36
2006	0.5	0.58	0.65	0.47	15	186	144	121	575	58	29	124	58	21	17.4	3	0.2	0.34
2007	0.64	0.5	0.53	0.44	26	212	112	112	687	42	27	114	50	25	22.3	3	0.12	0.29
2008	0.54	0.58	0.63	0.55	27	239	246	148	837	41	22	126	69	43	29.1	5	0.19	0.3
2009	0.45	0.56	0.67	0.57	24	263	126	175	1013	53	24	126	72	42	24	5	0.21	0.32
2010	0.57	0.51	0.6	0.51	21	284	211	171	1184	51	29	119	61	36	21.1	7	0.33	0.29
2011	0.4	0.6	0.58	0.51	12	296	64	170	1355	45	18	113	58	27	15.9		0	0.35
2012	0.94	0.65	0.6	0.55	24	320	74	190	1546	33	31	110	61	41	21.6	7	0.29	0.34
2013	0.44	0.64	0.73	0.66	18	338	58	247	1793	36	16	108	71	27	10.9	1	0.06	0.34
2014	0.57	0.65	0.57	0.45	11	349	90	198	1992	42	24	99	45	17	8.6	6	0.55	0.34
2015	0.59	0.63	0.45	0.57	15	364	56	163	2155	29	17	86	49	16	9.8	3	0.2	0.35
2016	0.65	0.63	0.48	0.5	13	377	43	180	2335	26	17	80	40	15	8.3	4	0.31	0.34
2017	0.89	0.62	0.52	0.52	7	384	17	201	2536	28	25	81	42	9	4.5	2	0.29	0.34
2018	0.75	0.62	0.49	0.58	10	394	64	193	2729	20	15	64	37	14	7.3	11	1.1	0.35
2019	1.18	0.62	0.34	0.55	9	403	6	139	2868	17	20	56	31	5	3.6	1	0.11	0.37
2020	0.58	0.7	0.25	0.43	14	417	12	105	2973	19	11	54	23	5	4.8	2	0.14	0.72
2021	0.35	1.01	0.25	0.55	4	421	3	107	3080	23	8	53	29	1	0.9	1	0.25	0.42

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years 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

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	235
2	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	167
3	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	143
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	106
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	85
6	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	78
7	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	65
8	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	63
9	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	63
10	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	63
11	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	57
12	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	50
13	2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:35. Full description at Econpapers \|\| Download paper	46
14	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	44
15	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	41
16	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	37
17	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie. In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	32
18	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	32
19	2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers \|\| Download paper	29
20	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	29
21	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	28
22	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	27
23	2003	Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103. Full description at Econpapers \|\| Download paper	24
24	2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers \|\| Download paper	24
25	2000	Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46. Full description at Econpapers \|\| Download paper	23
26	2001	Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:49. Full description at Econpapers \|\| Download paper	23
27	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	22
28	2013	The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336. Full description at Econpapers \|\| Download paper	22
29	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	22
30	2005	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers \|\| Download paper	20
31	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	20
32	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	19
33	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	19
34	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	19
35	2009	A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers \|\| Download paper	19
36	1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers \|\| Download paper	18
37	1999	Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13. Full description at Econpapers \|\| Download paper	18
38	2010	The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers \|\| Download paper	18
39	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	17
40	2012	Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca. In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers \|\| Download paper	17
41	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180. Full description at Econpapers \|\| Download paper	16
42	2004	A Survey of the Integral Representation of American Option Prices. (2004). Chiarella, Carl ; Kucera, Adam ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:118. Full description at Econpapers \|\| Download paper	16
43	2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	15
44	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:184. Full description at Econpapers \|\| Download paper	15
45	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	15
46	2003	A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113. Full description at Econpapers \|\| Download paper	14
47	2001	Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:55. Full description at Econpapers \|\| Download paper	13
48	2009	The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245. Full description at Econpapers \|\| Download paper	13
49	1999	Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:5. Full description at Econpapers \|\| Download paper	13
50	2002	A Variance Reduction Technique Based on Integral Representations. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers \|\| Download paper	13

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

#	Year	Title	Cited
1	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	34
2	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	26
3	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	18
4	2013	The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336. Full description at Econpapers \|\| Download paper	11
5	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	10
6	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	10
7	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	9
8	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	7
9	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	6
10	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	6
11	2011	Three-Dimensional Brownian Motion and the Golden Ratio Rule. (2011). Hulley, Hardy ; Glover, Kristoffer ; Peskir, Goran . In: Research Paper Series. RePEc:uts:rpaper:295. Full description at Econpapers \|\| Download paper	5
12	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	5
13	2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	5
14	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	4
15	2017	Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Jorg ; Rudd, Ralph. In: Research Paper Series. RePEc:uts:rpaper:382. Full description at Econpapers \|\| Download paper	4
16	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	4
17	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	4
18	2015	Algorithms for Optimal Control of Stochastic Switching Systems. (2015). Hinz, Juri ; Yap, Nicholas . In: Research Paper Series. RePEc:uts:rpaper:352. Full description at Econpapers \|\| Download paper	4
19	2016	Pricing American Options under Regime Switching Using Method of Lines. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Yang, Hongang . In: Research Paper Series. RePEc:uts:rpaper:368. Full description at Econpapers \|\| Download paper	4
20	2015	Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361. Full description at Econpapers \|\| Download paper	4
21	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	4
22	2021	Short Rate Dynamics: A Fed Funds and SOFR Perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Research Paper Series. RePEc:uts:rpaper:420. Full description at Econpapers \|\| Download paper	4
23	2020	No-Arbitrage Concepts in Topological Vector Lattices. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:410. Full description at Econpapers \|\| Download paper	4
24	2012	Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:316. Full description at Econpapers \|\| Download paper	4
25	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	3
26	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	3
27	2013	Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics. (2013). Chiarella, Carl ; Ziogas, Andrew ; Adolfsson, Thomas ; Ziveyi, Jonathan. In: Research Paper Series. RePEc:uts:rpaper:327. Full description at Econpapers \|\| Download paper	3
28	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie. In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	3
29	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	3
30	2019	Score Test for Marks in Hawkes Processes. (2019). , William ; Richards, Kylie-Anne ; Peters, Gareth W. In: Research Paper Series. RePEc:uts:rpaper:405. Full description at Econpapers \|\| Download paper	2
31	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	2
32	2012	Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets. (2012). Schlogl, Erik ; Chang, Yang. In: Research Paper Series. RePEc:uts:rpaper:310. Full description at Econpapers \|\| Download paper	2
33	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	2
34	2020	Wind Generation and the Dynamics of Electricity Prices in Australia. (2020). Konstandatos, Otto ; Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Research Paper Series. RePEc:uts:rpaper:416. Full description at Econpapers \|\| Download paper	2
35	2019	Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach. (2019). Macrina, Andrea ; Backwell, Alex ; Skovmand, David ; Schlogl, Erik. In: Research Paper Series. RePEc:uts:rpaper:400. Full description at Econpapers \|\| Download paper	2
36	2012	Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs. (2012). Zheng, Min ; Shi, Lei. In: Research Paper Series. RePEc:uts:rpaper:302. Full description at Econpapers \|\| Download paper	2
37	2020	The Fast and the Furious: Exchange Latency and Ever-fast Trading. (2020). Zhou, Xuan ; Kang, Junqing ; He, Xue-Zhong. In: Research Paper Series. RePEc:uts:rpaper:419. Full description at Econpapers \|\| Download paper	2
38	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	2
39	1999	Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). TerÃÆÃÂ¤svirta, Timo ; He, C. ; Terasvirta, Timo ; Malmsten, H.. In: Research Paper Series. RePEc:uts:rpaper:29. Full description at Econpapers \|\| Download paper	2
40	2018	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395. Full description at Econpapers \|\| Download paper	2
41	2009	The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245. Full description at Econpapers \|\| Download paper	2
42	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	2
43	2020	Kernel Density Estimation with Linked Boundary Conditions. (2020). Macnamara, Shev ; Kuritz, Karsten ; Botev, Zdravko I ; Colbrook, Matthew J. In: Research Paper Series. RePEc:uts:rpaper:414. Full description at Econpapers \|\| Download paper	2
44	2020	Forecasting Commodity Markets Volatility: HAR or Rough?. (2020). Nikitopoulos, Christina Sklibosios ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:415. Full description at Econpapers \|\| Download paper	2
45	2016	A PDE View of Games Options. (2016). Meyer, Gunter H. In: Research Paper Series. RePEc:uts:rpaper:369. Full description at Econpapers \|\| Download paper	2
46	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	2
47	2004	A Survey of the Integral Representation of American Option Prices. (2004). Chiarella, Carl ; Kucera, Adam ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:118. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 8

Year	Title
2021	Boundary estimation with the fuzzy set density estimator. (2021). Harmath, Pedro ; Fajardo, Jesus. In: METRON. RePEc:spr:metron:v:79:y:2021:i:3:d:10.1007_s40300-021-00210-z. Full description at Econpapers \|\| Download paper
2021	Spatiotemporal Variations and Risk Analysis of Chinese Typhoon Disasters. (2021). Du, Enyu ; Jia, Huicong ; Chen, Fang ; Yang, Aqiang ; Wang, Ning. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:4:p:2278-:d:502411. Full description at Econpapers \|\| Download paper
2021	Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141. Full description at Econpapers \|\| Download paper
2021	Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy. (2021). Garcia, Fausto Pedro ; Acarolu, Hakan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:22:p:7473-:d:675237. Full description at Econpapers \|\| Download paper
2021	Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308. Full description at Econpapers \|\| Download paper
2021	Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model. (2021). Wen, Fenghua ; Yan, Lizhao ; Zhang, Ziting ; Liu, Jian. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00292-8. Full description at Econpapers \|\| Download paper
2021	Asymptotic distribution of the score test for detecting marks in hawkes processes. (2021). Richards, Kylie-Anne ; Peters, Gareth W ; Clinet, Simon. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09245-5. Full description at Econpapers \|\| Download paper
2021	Infection rate models for COVID-19: Model risk and public health news sentiment exposure adjustments. (2021). Shevchenko, Pavel V ; Peters, Gareth W ; Yan, Hongxuan ; Chalkiadakis, Ioannis. In: PLOS ONE. RePEc:plo:pone00:0253381. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	On the impact of increasing penetration of variable renewables on electricity spot price extremes in Australia. (2020). Nunn, Oliver ; Rai, Alan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:67-86. Full description at Econpapers \|\| Download paper
2020	The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:411. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751. Full description at Econpapers \|\| Download paper
2018	Behavioral & experimental macroeconomics and policy analysis: a complex systems approach. (2018). Hommes, Cars. In: Working Paper Series. RePEc:ecb:ecbwps:20182201. Full description at Econpapers \|\| Download paper
2018	Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70. Full description at Econpapers \|\| Download paper
2018	Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51. Full description at Econpapers \|\| Download paper
2018	An agent-based model of intra day financial markets dynamics. (2018). Staccioli, Jacopo ; Napoletano, Mauro. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1834. Full description at Econpapers \|\| Download paper
2018	Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886. Full description at Econpapers \|\| Download paper
2018	Crowding out effect and traders overreliance on public information in financial markets: a lesson from the lab. (2018). Morone, Andrea ; Alfarano, Simone ; Camacho-Cuena, Eva ; Ruiz-Buforn, Alba. In: MPRA Paper. RePEc:pra:mprapa:88866. Full description at Econpapers \|\| Download paper
2018	A heterogeneous agent model of asset price dynamics with two time delays. (2018). Guerrini, Luca ; Szidarovszky, Ferenc ; Matsumoto, Akio. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0223-2. Full description at Econpapers \|\| Download paper
2018	Some reflections on past and future of nonlinear dynamics in economics and finance. (2018). Tramontana, Fabio ; Radi, Davide ; Anufriev, Mikhail. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0229-9. Full description at Econpapers \|\| Download paper
2018	Time-varying economic dominance in financial markets: A bistable dynamics approach. (2018). He, Xuezhong ; Wang, Chuncheng ; Li, Kai. In: Published Paper Series. RePEc:uts:ppaper:2018-1. Full description at Econpapers \|\| Download paper
2018	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	80	129
2	Journal of Economic Dynamics and Control / Elsevier	118	54
3	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	6	47
4	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	24	34
5	Energy Economics / Elsevier	148	16
6	Post-Print / HAL	194	15
7	Journal of Economic Behavior & Organization / Elsevier	122	15
8	BERG Working Paper Series / Bamberg University, Bamberg Economic Research Group	19	13
9	MPRA Paper / University Library of Munich, Germany	119	13
10	Decisions in Economics and Finance / Springer	10	13
11	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	11