Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!
Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Algorithmic Finance / IOS Press

0.5

Impact Factor

0.38

5-Years IF

3

5-Years H index

[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 IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.08000 (%)0.05
19910.08000 (%)0.05
19920.09000 (%)0.05
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.15000 (%)0.1
19960.19000 (%)0.09
19970.2000 (%)0.08
19980.21000 (%)0.12
19990.27000 (%)0.15
20000.36000 (%)0.14
20010.36000 (%)0.17
20020.37000 (%)0.18
20030.39000 (%)0.18
20040.41000 (%)0.18
20050.43000 (%)0.22
20060.45000 (%)0.19
20070.38000 (%)0.17
20080.38000 (%)0.17
20090.35000 (%)0.17
20100.32000 (%)0.15
20110.415520.4700 (%)20.40.2
20120.20.460.2510.25151 (%)0.21
20130.40.490.4162140.19125252 (%)20.130.22
20140.50.560.3852680.31168218 (%)0.3
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
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: 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:

[Click on heading to sort table]

YearTitleCited
2013A big data approach to analyzing market volatility. (2013). Leinweber, David ; Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng . In: Algorithmic Finance. RePEc:ris:iosalg:0016.

Full description at Econpapers || Download paper

4
2011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Reed, Josh ; Stoikov, Sasha ; Avellaneda, Marco . In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

4
2013Stock chatter: Using stock sentiment to predict price direction. (2013). Rechenthin, Michael ; Srinivasan, Padmini ; Street, Nick W.. In: Algorithmic Finance. RePEc:ris:iosalg:0012.

Full description at Econpapers || Download paper

3
2013Cluster formation and evolution in networks of financial market indices. (2013). Sandoval, Leonidas Junior . In: Algorithmic Finance. RePEc:ris:iosalg:0023.

Full description at Econpapers || Download paper

3
2013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

Full description at Econpapers || Download paper

2
2011Efficient greek estimation in generic swap-rate market models. (2011). Yang, Chao ; Joshi, Mark . In: Algorithmic Finance. RePEc:ris:iosalg:0003.

Full description at Econpapers || Download paper

2
2011Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002.

Full description at Econpapers || Download paper

1

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2013A big data approach to analyzing market volatility. (2013). Leinweber, David ; Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng . In: Algorithmic Finance. RePEc:ris:iosalg:0016.

Full description at Econpapers || Download paper

4
2013Stock chatter: Using stock sentiment to predict price direction. (2013). Rechenthin, Michael ; Srinivasan, Padmini ; Street, Nick W.. In: Algorithmic Finance. RePEc:ris:iosalg:0012.

Full description at Econpapers || Download paper

3
2013Cluster formation and evolution in networks of financial market indices. (2013). Sandoval, Leonidas Junior . In: Algorithmic Finance. RePEc:ris:iosalg:0023.

Full description at Econpapers || Download paper

3
2011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Reed, Josh ; Stoikov, Sasha ; Avellaneda, Marco . In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

2
2013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 8:

[Click on heading to sort table]

YearTitleSee
2014Do Google Trend data contain more predictability than price returns?. (2014). Ahmed Bel Hadj Ayed, ; Challet, Damien . In: Papers. RePEc:arx:papers:1403.1715.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Predictable markets? A news-driven model of the stock market. (2014). Govorkov, Boris ; Sharov, Sergey V. ; Zhilyaev, Maxim ; Gusev, Maxim ; Ushanov, Dmitry ; Kroujiline, Dimitri . In: MPRA Paper. RePEc:pra:mprapa:58831.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Market Sentiment and Exchange Rate Directional Forecasting. (2014). Diamantaras, Konstantinos ; Plakandaras, Vasilios ; Papadimitriou, Theophilos ; Gogas, Periklis . In: Working Paper Series. RePEc:rim:rimwps:37_14.

Full description at Econpapers || Download paper

[Citation Analysis]
2014VPIN and the Flash Crash: A rejoinder. (2014). Easley, David ; O'Hara, Maureen ; Lopez de Prado, Marcos M., . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:47-52.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Reflecting on the VPIN dispute. (2014). Bondarenko, Oleg ; Andersen, Torben G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Hydrodynamic limit of order book dynamics. (2014). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Dynamics in two networks based on stocks of the US stock market. (2014). Junior, Leonidas Sandoval . In: Papers. RePEc:arx:papers:1408.1728.

Full description at Econpapers || Download paper

[Citation Analysis]
2014To lag or not to lag? How to compare indices of stock markets that operate on different times. (2014). Sandoval, Leonidas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:403:y:2014:i:c:p:227-243.

Full description at Econpapers || Download paper

[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

[Click on heading to sort table]

YearTitleSee
2013Reflecting on the VPIN Dispute. (2013). Bondarenko, Oleg ; Andersen, Torben G.. In: CREATES Research Papers. RePEc:aah:create:2013-42.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Assessing Measures of Order Flow Toxicity via Perfect Trade Classification. (2013). Bondarenko, Oleg ; Andersen, Torben G.. In: CREATES Research Papers. RePEc:aah:create:2013-43.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee
2011Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance. (2011). Homescu, Cristian . In: Papers. RePEc:arx:papers:1107.1831.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2011). De Larrard, Adrien ; Cont, Rama . In: Working Papers. RePEc:hal:wpaper:hal-00672274.

Full description at Econpapers || Download paper

[Citation Analysis]

10 most frequent citing series:

[Click on heading to sort table]

SeriesCited

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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