Quantitative Finance

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 0.08 1997 0.21 0 0 0 0.08 1998 0.22 0 0 0 0.1 1999 0.28 0 0 0 0.13 2000 0.37 0 0 0 0.16 2001 0.37 66 293 0 0 12 0.18 0.16 2002 0.29 0.41 63 126 66 19 0 6 0.1 0.19 2003 0.33 0.42 68 72 129 43 0 2 0.03 0.2 2004 0.25 0.47 68 117 131 33 0 9 0.13 0.21 2005 0.25 0.5 50 88 136 34 2.9 4 0.08 0.23 2006 0.23 0.51 45 46 118 27 22.2 3 0.07 0.22 2007 0.14 0.4 63 27 95 13 0 4 0.06 0.18 2008 0.05 0.42 64 57 108 5 0 6 0.09 0.21 2009 0.14 0.43 80 20 127 18 0 1 0.01 0.19
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:taf:quantf:v:1:y:2001:i:2:p:223-236 Empirical properties of asset returns: stylized facts and statistical issues (2001).
Cited: 50 times.

(2) RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167 Financial markets as nonlinear adaptive evolutionary systems (2001).
Cited: 47 times.

(3) RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245 What good is a volatility model? (2001).
Cited: 28 times.

(4) RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60 Dynamics of implied volatility surfaces (2002).
Cited: 27 times.

(5) RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684 Network topology of the interbank market (2004).
Cited: 21 times.

(6) RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14 Dependence structures for multivariate high-frequency data in finance (2003).
Cited: 20 times.

(7) RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24 Empirical modelling of contagion: a review of methodologies (2005).
Cited: 20 times.

(8) RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471 Significance of log-periodic precursors to financial crashes (2001).
Cited: 19 times.

(9) RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526 Asset price and wealth dynamics under heterogeneous expectations (2001).
Cited: 19 times.

(10) RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190 Fluctuations and response in financial markets: the subtle nature of random price changes (2004).
Cited: 17 times.

(11) RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256 Statistical properties of stock order books: empirical results and models (2002).
Cited: 17 times.

(12) RePEc:taf:quantf:v:1:y:2001:i:6:p:558-559 Stochastic volatility, power laws and long memory (2001).
Cited: 16 times.

(13) RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104 High-frequency cross-correlation in a set of stocks (2001).
Cited: 15 times.

(14) RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308 Pricing weather derivatives by marginal value (2001).
Cited: 14 times.

(15) RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397 What really causes large price changes? (2004).
Cited: 13 times.

(16) RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631 Stochastic volatility as a simple generator of apparent financial power laws and long memory (2001).
Cited: 12 times.

(17) RePEc:taf:quantf:v:11:y:2011:i:6:p:825-826 Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen (2011).
Cited: 12 times.

(18) RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364 Order book approach to price impact (2005).
Cited: 11 times.

(19) RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353 A simulation analysis of the microstructure of double auction markets (2002).
Cited: 11 times.

(20) RePEc:taf:quantf:v:2:y:2002:i:6:p:459-467 Consistent pricing and hedging for a modified constant elasticity of variance model (2002).
Cited: 11 times.

(21) RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37 Optimal positioning in derivative securities (2001).
Cited: 11 times.

(22) RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387 Infectious defaults (2001).
Cited: 9 times.

(23) RePEc:taf:quantf:v:1:y:2001:i:1:p:131-148 Multifractal returns and hierarchical portfolio theory (2001).
Cited: 9 times.

(24) RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453 Probability distribution of returns in the Heston model with stochastic volatility (2002).
Cited: 9 times.

(25) RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69 Asymptotics and calibration of local volatility models (2002).
Cited: 9 times.

(26) RePEc:taf:quantf:v:4:y:2004:i:3:p:256-265 Testing for persistence in stock returns with GARCH-stable shocks (2004).
Cited: 8 times.

(27) RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514 Statistical theory of the continuous double auction (2003).
Cited: 8 times.

(28) RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360 A statistical analysis of log-periodic precursors to financial crashes* (2001).
Cited: 8 times.

(29) RePEc:taf:quantf:v:4:y:2004:i:3:p:365-372 On the estimation of cost of capital and its reliability (2004).
Cited: 8 times.

(30) RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485 Portfolio selection with higher moments (2010).
Cited: 8 times.

(31) RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568 Multiple equilibria in a monopoly market with heterogeneous agents and externalities (2005).
Cited: 8 times.

(32) RePEc:taf:quantf:v:4:y:2004:i:1:p:70-86 Volatility processes and volatility forecast with long memory (2004).
Cited: 8 times.

(33) RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157 Optimal execution strategies in limit order books with general shape functions (2010).
Cited: 7 times.

(34) RePEc:taf:quantf:v:2:y:2002:i:1:p:11-23 Some recent developments in stochastic volatility modelling (2002).
Cited: 7 times.

(35) RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218 Tobin tax and market depth (2005).
Cited: 7 times.

(36) repec:taf:quantf:v:6:y:2006:i:6:p:513-536 ().
Cited: 7 times.

(37) RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250 Testing the Gaussian copula hypothesis for financial assets dependences (2003).
Cited: 7 times.

(38) RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604 A multifactor volatility Heston model (2008).
Cited: 7 times.

(39) RePEc:taf:quantf:v:1:y:2001:i:2:p:254-261 A builders guide to agent-based financial markets (2001).
Cited: 7 times.

(40) RePEc:taf:quantf:v:2:y:2002:i:5:p:370-377 Bounding Bermudan swaptions in a swap-rate market model (2002).
Cited: 6 times.

(41) RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122 A spot market model for pricing derivatives in electricity markets (2004).
Cited: 6 times.

(42) RePEc:taf:quantf:v:2:y:2002:i:6:p:432-442 Pricing of perpetual Bermudan options (2002).
Cited: 6 times.

(43) RePEc:taf:quantf:v:6:y:2006:i:1:p:15-36 A Bayesian analysis of log-periodic precursors to financial crashes (2006).
Cited: 6 times.

(44) RePEc:taf:quantf:v:1:y:2001:i:2:p:217-222 Correlation structure of extreme stock returns (2001).
Cited: 6 times.

(45) RePEc:taf:quantf:v:1:y:2001:i:1:p:105-112 Power laws in economics and finance: some ideas from physics (2001).
Cited: 6 times.

(46) RePEc:taf:quantf:v:1:y:2001:i:1:p:45-72 Asset allocation and derivatives (2001).
Cited: 6 times.

(47) RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269 Price fluctuations, market activity and trading volume (2001).
Cited: 6 times.

(48) RePEc:taf:quantf:v:8:y:2008:i:2:p:109-116 Goodness-of-fit tests for parametric families of Archimedean copulas (2008).
Cited: 6 times.

(49) RePEc:taf:quantf:v:2:y:2002:i:6:p:468-481 The US 2000-2002 market descent: How much longer and deeper? (2002).
Cited: 6 times.

(50) RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44 Information and option pricings (2001).
Cited: 6 times.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:inn:wpaper:2009-18 Firm growth, European industry dynamics and domestic business cycles (2009). Working Papers

Recent citations received in: 2008

(1) RePEc:bai:series:wp0022 The Effect of Rating Agencies on Herd Behaviour (2008). series

(2) RePEc:eei:rpaper:eeri_rp_2008_21 The Effect of Rating Agencies on Herd Behaviour (2008). EERI Research Paper Series

(3) RePEc:kap:apfinm:v:15:y:2008:i:1:p:3-24 A Stochastic Receding Horizon Control Approach to Constrained Index Tracking (2008). Asia-Pacific Financial Markets

(4) RePEc:nbr:nberwo:14299 Power Laws in Economics and Finance (2008). NBER Working Papers

(5) RePEc:pra:mprapa:6884 ON THE ABSORBABILITY OF HERD BEHAVIOUR AND INFORMATIONAL CASCADES: AN EXPERIMENTAL ANALYSIS (2008). MPRA Paper

(6) RePEc:spr:joevec:v:18:y:2008:i:5:p:639-646 A simple note on herd behaviour (2008). Journal of Evolutionary Economics

Recent citations received in: 2007

(1) RePEc:arx:papers:0705.0503 Change point estimation for the telegraph process observed at discrete times (2007). Quantitative Finance Papers

(2) RePEc:ise:isegwp:wp52007 The Seismography of Crashes in Financial Markets (2007). Working Papers

(3) RePEc:mis:wpaper:20071101 Modelling good and bad volatility (2007). Working Papers

(4) RePEc:mis:wpaper:20071102 A Geostatistical Approach to Define Guidelines for Radon Prone Area Identification (2007). Working Papers

Recent citations received in: 2006

(1) RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264 Static versus dynamic hedges: an empirical comparison for barrier options (2006). Review of Derivatives Research

(2) RePEc:spr:finsto:v:10:y:2006:i:2:p:178-203 Consistent Variance Curve Models (2006). Finance and Stochastics

(3) RePEc:taf:quantf:v:6:y:2006:i:6:p:451-451 The modified weibull distribution for asset returns: reply (2006). Quantitative Finance

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