arXiv.org / Quantitative Finance Papers

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.18 15 31 0 0 1 0.07 0.09 1998 0.07 0.21 44 46 15 1 0 0.13 1999 0.07 0.29 53 40 59 4 75 1 0.02 0.17 2000 0.06 0.39 74 74 97 6 100 3 0.04 0.2 2001 0.09 0.37 97 75 127 12 50 4 0.04 0.18 2002 0.08 0.42 110 66 171 13 46.2 6 0.05 0.2 2003 0.06 0.43 106 38 207 12 58.3 2 0.02 0.21 2004 0.07 0.49 151 91 216 15 26.7 3 0.02 0.24 2005 0.09 0.5 189 49 257 23 39.1 5 0.03 0.29 2006 0.08 0.53 244 35 340 28 17.9 3 0.01 0.28 2007 0.05 0.44 294 70 433 21 61.9 19 0.06 0.24
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:arx:papers:cond-mat/9804100 Universal features in the growth dynamics of complex organizations (1998).
Cited: 23 times.

(2) RePEc:arx:papers:cond-mat/0106520 Significance of log-periodic precursors to financial crashes (2001).
Cited: 15 times.

(3) RePEc:arx:papers:cond-mat/9907161 Scaling of the distribution of price fluctuations of individual companies (1999).
Cited: 14 times.

(4) RePEc:arx:papers:0708.2090 The Product Space Conditions the Development of Nations (2007).
Cited: 13 times.

(5) RePEc:arx:papers:cond-mat/9705087 Scaling in stock market data: stable laws and beyond (1997).
Cited: 12 times.

(6) RePEc:arx:papers:cond-mat/0311053 The long memory of the efficient market (2004).
Cited: 12 times.

(7) RePEc:arx:papers:physics/0512005 The Growth of Business Firms: Theoretical Framework and Empirical Evidence (2005).
Cited: 11 times.

(8) RePEc:arx:papers:cond-mat/9905305 Scaling of the distribution of fluctuations of financial market indices (1999).
Cited: 10 times.

(9) RePEc:arx:papers:cond-mat/9702082 Scaling behavior in economics: I. Empirical results for company growth (1997).
Cited: 10 times.

(10) RePEc:arx:papers:cond-mat/0008113 Statistical Properties of Share Volume Traded in Financial Markets (2000).
Cited: 10 times.

(11) RePEc:arx:papers:cond-mat/0401300 Networks of equities in financial markets (2004).
Cited: 9 times.

(12) RePEc:arx:papers:cond-mat/0004263 The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash (2000).
Cited: 9 times.

(13) RePEc:arx:papers:cond-mat/0006454 Fractional calculus and continuous-time finance II: the waiting-time distribution (2000).
Cited: 9 times.

(14) RePEc:arx:papers:math/0405293 Optimal investment with random endowments in incomplete markets (2004).
Cited: 8 times.

(15) RePEc:arx:papers:physics/0502066 Structure and Evolution of the World Trade Network (2005).
Cited: 8 times.

(16) RePEc:arx:papers:cond-mat/0312703 What really causes large price changes? (2004).
Cited: 8 times.

(17) RePEc:arx:papers:cond-mat/0202527 Volatility in Financial Markets: Stochastic Models and Empirical Results (2002).
Cited: 8 times.

(18) RePEc:arx:papers:0708.1756 Optimal execution strategies in limit order books with general shape functions (2007).
Cited: 8 times.

(19) RePEc:arx:papers:cond-mat/0310061 Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms (2003).
Cited: 8 times.

(20) RePEc:arx:papers:cond-mat/0401225 Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact (2004).
Cited: 8 times.

(21) RePEc:arx:papers:cond-mat/9709118 A Prototype Model of Stock Exchange (1997).
Cited: 8 times.

(22) RePEc:arx:papers:cond-mat/0104341 A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles (2002).
Cited: 8 times.

(23) RePEc:arx:papers:cond-mat/0403051 Fitness-dependent topological properties of the World Trade Web (2004).
Cited: 8 times.

(24) RePEc:arx:papers:cond-mat/9903369 The statistical properties of the volatility of price fluctuations (1999).
Cited: 7 times.

(25) RePEc:arx:papers:cond-mat/0203046 Probability distribution of returns in the Heston model with stochastic volatility (2002).
Cited: 6 times.

(26) RePEc:arx:papers:cond-mat/0103544 Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States (2001).
Cited: 6 times.

(27) RePEc:arx:papers:cond-mat/0301543 Critical Market Crashes (2003).
Cited: 6 times.

(28) RePEc:arx:papers:cond-mat/0104295 On the coherence of Expected Shortfall (2002).
Cited: 6 times.

(29) RePEc:arx:papers:cond-mat/0106114 Analyzing and modelling 1+1d markets (2001).
Cited: 6 times.

(30) RePEc:arx:papers:cond-mat/0004256 Statistical mechanics of money: How saving propensity affects its distribution (2000).
Cited: 6 times.

(31) RePEc:arx:papers:cond-mat/0012419 The price dynamics of common trading strategies (2000).
Cited: 6 times.

(32) RePEc:arx:papers:cond-mat/0106657 Quantifying Stock Price Response to Demand Fluctuations (2001).
Cited: 5 times.

(33) RePEc:arx:papers:cond-mat/0208514 Theoretical Analysis and Simulations of the Generalized Lotka-Volterra Model (2002).
Cited: 5 times.

(34) RePEc:arx:papers:cond-mat/0002438 Symmetry alteration of ensemble return distribution in crash and rally days of financial markets (2000).
Cited: 5 times.

(35) RePEc:arx:papers:cond-mat/0209065 The US 2000-2002 Market Descent: How Much Longer and Deeper? (2002).
Cited: 5 times.

(36) RePEc:arx:papers:cond-mat/9909265 Modeling Market Mechanism with Minority Game (1999).
Cited: 5 times.

(37) RePEc:arx:papers:cond-mat/9702085 Scaling behavior in economics: II. Modeling of company growth (1997).
Cited: 4 times.

(38) RePEc:arx:papers:cond-mat/9901035 Critical Crashes (1999).
Cited: 4 times.

(39) RePEc:arx:papers:nlin/0108022 Forecasting Portfolio Risk in Normal and Stressed Markets (2001).
Cited: 4 times.

(40) RePEc:arx:papers:0706.0474 Stability of utility-maximization in incomplete markets (2007).
Cited: 4 times.

(41) RePEc:arx:papers:physics/0701140 Agent-based Models of Financial Markets (2007).
Cited: 4 times.

(42) RePEc:arx:papers:cond-mat/0209475 A theory for Fluctuations in Stock Prices and Valuation of their Options (2002).
Cited: 4 times.

(43) RePEc:arx:papers:cond-mat/0102423 Power Laws of Wealth, Market Order Volumes and Market Returns (2001).
Cited: 4 times.

(44) RePEc:arx:papers:cond-mat/9901268 Financial ``Anti-Bubbles: Log-Periodicity in Gold and Nikkei collapses (1999).
Cited: 4 times.

(45) RePEc:arx:papers:cond-mat/0108033 Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets (2003).
Cited: 4 times.

(46) RePEc:arx:papers:cond-mat/9801240 Optimal Investment Strategy for Risky Assets (1998).
Cited: 4 times.

(47) RePEc:arx:papers:0811.2125 GDP growth rate and population (2008).
Cited: 4 times.

(48) RePEc:arx:papers:cond-mat/0102305 From Rational Bubbles to Crashes (2001).
Cited: 4 times.

(49) RePEc:arx:papers:cond-mat/0001353 Thermometers of Speculative Frenzy (2000).
Cited: 4 times.

(50) RePEc:arx:papers:cond-mat/9801209 Rational Decisions, Random Matrices and Spin Glasses (1998).
Cited: 4 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(2) RePEc:ams:ndfwpp:07-14 Asset Prices, Traders Behavior, and Market Design (2007). Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance / CeNDEF Working Papers

(3) RePEc:arx:papers:0709.3005 Feedback and efficiency in limit order markets (2007). arXiv.org / Quantitative Finance Papers

(4) RePEc:arx:papers:0710.0459 Statistical properties of agent-based market area model (2007). arXiv.org / Quantitative Finance Papers

(5) RePEc:arx:papers:0710.2402 Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks (2007). arXiv.org / Quantitative Finance Papers

(6) RePEc:arx:papers:0710.5497 Multifractality in the Random Parameters Model (2007). arXiv.org / Quantitative Finance Papers

(7) RePEc:arx:papers:0711.1595 Likelihood-based inference for correlated diffusions (2007). arXiv.org / Quantitative Finance Papers

(8) RePEc:arx:papers:0712.1275 Continuous-time trading and emergence of randomness (2007). arXiv.org / Quantitative Finance Papers

(9) RePEc:arx:papers:0712.1483 Continuous-time trading and emergence of volatility (2007). arXiv.org / Quantitative Finance Papers

(10) RePEc:pra:mprapa:2128 Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory (2007). University Library of Munich, Germany / MPRA Paper

(11) RePEc:pra:mprapa:2256 Martingales, Detrending Data, and the Efficient Market Hypothesis (2007). University Library of Munich, Germany / MPRA Paper

(12) RePEc:pra:mprapa:5075 Optimal Portfolio Liquidation for CARA Investors (2007). University Library of Munich, Germany / MPRA Paper

(13) RePEc:pra:mprapa:5303 Martingales, the efficient market hypothesis, and spurious stylized facts (2007). University Library of Munich, Germany / MPRA Paper

(14) RePEc:pra:mprapa:5548 Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision (2007). University Library of Munich, Germany / MPRA Paper

(15) RePEc:pra:mprapa:5811 Ito Processes with Finitely Many States of Memory (2007). University Library of Munich, Germany / MPRA Paper

(16) RePEc:pra:mprapa:5813 Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts (2007). University Library of Munich, Germany / MPRA Paper

(17) RePEc:pra:mprapa:5996 International Trade Patterns over the Last Four Decades: How does Portugal Compare with other Cohesion Countries? (2007). University Library of Munich, Germany / MPRA Paper

(18) RePEc:spr:jeicoo:v:2:y:2007:i:2:p:111-124 Patterns of dominant flows in the world trade web (2007). Journal of Economic Interaction and Coordination

(19) RePEc:ssa:lemwps:2007/25 Using Complex Network Analysis to Assess the Evolution of International Economic Integration: The cases of East Asia and Latin America (2007). Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy / LEM Papers Series

Recent citations received in: 2006

(1) RePEc:arx:papers:math/0612649 General Duality for Perpetual American Options (2006). arXiv.org / Quantitative Finance Papers

(2) RePEc:arx:papers:physics/0508156 Size matters: some stylized facts of the stock market revisited (2006). arXiv.org / Quantitative Finance Papers

(3) RePEc:pra:mprapa:73 The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation (2006). University Library of Munich, Germany / MPRA Paper

Recent citations received in: 2005

(1) RePEc:arx:papers:physics/0504197 The Rich Are Different!: Pareto Law from asymmetric interactions in asset exchange models (2005). arXiv.org / Quantitative Finance Papers

(2) RePEc:arx:papers:physics/0507136 Ideal-Gas Like Markets: Effect of Savings (2005). arXiv.org / Quantitative Finance Papers

(3) RePEc:taf:quantf:v:5:y:2005:i:6:p:519-521 Two phase behaviour and the distribution of volume (2005). Quantitative Finance

(4) RePEc:wpa:wuwpfi:0506015 Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model (2005). EconWPA / Finance

(5) RePEc:wpa:wuwpri:0507004 Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model (2005). EconWPA / Risk and Insurance

Recent citations received in: 2004

(1) RePEc:arx:papers:cond-mat/0408013 Stock Price Clustering and Discreteness: The Compass Rose and Predictability (2004). arXiv.org / Quantitative Finance Papers

(2) RePEc:pra:mprapa:2240 What Economists can learn from physics and finance (2004). University Library of Munich, Germany / MPRA Paper

(3) RePEc:sfi:sfiwpa:500063 Random walks, liquidity molasses and critical response in financial markets (2004). Science & Finance, Capital Fund Management / Science & Finance (CFM) working paper archive

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