0.4
Impact Factor
0.46
5-Years IF
4
5-Years H index
Algorithmic Finance / IOS Press
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [
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Main indicators
Raw data
| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.1 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1993 | 0.13 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
| 1994 | 0.14 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
| 1995 | 0.17 | 0 | 0 | 0 | (%) | 0.11 | ||||||||||
| 1996 | 0.22 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1997 | 0.22 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.24 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 1999 | 0.3 | 0 | 0 | 0 | (%) | 0.16 | ||||||||||
| 2000 | 0.37 | 0 | 0 | 0 | (%) | 0.14 | ||||||||||
| 2001 | 0.37 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2002 | 0.37 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2003 | 0.4 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2004 | 0.41 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2005 | 0.43 | 0 | 0 | 0 | (%) | 0.21 | ||||||||||
| 2006 | 0.44 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2007 | 0.37 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2008 | 0.39 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2009 | 0.36 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2010 | 0.34 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2011 | 0.41 | 5 | 5 | 2 | 0.4 | 9 | 0 | 0 | (%) | 2 | 0.4 | 0.2 | ||||
| 2012 |  0.2 | 0.45 | 0.2 | 5 | 1 | 0.2 | 5 | 1 | 5 | 1 | (%) | 0.21 | ||||
| 2013 | 0.2 | 0.5 | 0.2 | 16 | 21 | 4 | 0.19 | 27 | 5 | 1 | 5 | 1 | (%) | 3 | 0.19 | 0.2 |
| 2014 |  0.56 | 0.55 | 0.43 | 5 | 26 | 9 | 0.35 | 2 | 16 | 9 | 21 | 9 | (%) | 0.25 | ||
| 2015 | 0.1 | 0.57 | 0.12 | 26 | 3 | 0.12 | 21 | 2 | 26 | 3 | (%) | 0.26 | ||||
| 2016 | 0.4 | 0.66 | 0.46 | 26 | 12 | 0.46 | 5 | 2 | 26 | 12 | (%) | 0.34 |
| 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:
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2013 | Cluster 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 | 9 |
| 2 | 2013 | A 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 | 5 |
| 3 | 2011 | Forecasting 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 | 5 |
| 4 | 2013 | The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015. Full description at Econpapers || Download paper | 4 |
| 5 | 2013 | A 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 | 3 |
| 6 | 2013 | Stock 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 |
| 7 | 2014 | Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Chen, Bryant ; Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., . In: Algorithmic Finance. RePEc:ris:iosalg:0010. Full description at Econpapers || Download paper | 2 |
| 8 | 2011 | Efficient greek estimation in generic swap-rate market models. (2011). Joshi, Mark ; Yang, Chao . In: Algorithmic Finance. RePEc:ris:iosalg:0003. Full description at Econpapers || Download paper | 2 |
| 9 | 2011 | Markets are efficient if and only if P=NP. (2011). Maymin, Philip . In: Algorithmic Finance. RePEc:ris:iosalg:0001. Full description at Econpapers || Download paper | 1 |
| 10 | 2013 | Modeling market impact and timing risk in volume time. (2013). Mazur, Slava . In: Algorithmic Finance. RePEc:ris:iosalg:0018. Full description at Econpapers || Download paper | 1 |
| 11 | 2013 | Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Michailidis, George ; Mankad, Shawn . In: Algorithmic Finance. RePEc:ris:iosalg:0021. Full description at Econpapers || Download paper | 1 |
| 12 | 2013 | Sparse, mean reverting portfolio selection using simulated annealing. (2013). Levendovszky, Janos ; Fogarasi, Norbert . In: Algorithmic Finance. RePEc:ris:iosalg:0013. Full description at Econpapers || Download paper | 1 |
| 13 | 2011 | Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002. Full description at Econpapers || Download paper | 1 |
| 14 | 2013 | Optimizing sparse mean reverting portfolios. (2013). Levendovszky, Janos ; Sipos, Robert I.. In: Algorithmic Finance. RePEc:ris:iosalg:0019. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2013 | Cluster 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 | 7 |
| 2 | 2011 | Forecasting 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 |
| 3 | 2013 | The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015. Full description at Econpapers || Download paper | 2 |
| 4 | 2013 | A 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 |
| 5 | 2014 | Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Chen, Bryant ; Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., . In: Algorithmic Finance. RePEc:ris:iosalg:0010. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 2:
| Year | Title | |
|---|---|---|
| 2016 | Multivariate tail conditional expectation for elliptical distributions. (2016). Makov, Udi ; Landsman, Zinoviy ; Shushi, Tomer . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:216-223. Full description at Econpapers || Download paper | |
| 2016 | Tail conditional moments for elliptical and log-elliptical distributions. (2016). Shushi, Tomer ; Makov, Udi ; Landsman, Zinoviy . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:179-188. Full description at Econpapers || Download paper |
Recent citations (cites in year: CiY)
Recent citations received in 2014
| Year | Citing document |
|---|
Recent citations received in 2013
| Year | Citing document | |
|---|---|---|
| 2013 | Reflecting on the VPIN Dispute. (2013). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2013-42. Full description at Econpapers || Download paper | |
| 2013 | Assessing Measures of Order Flow Toxicity via Perfect Trade Classification. (2013). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2013-43. Full description at Econpapers || Download paper | |
| 2013 | Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books. (2013). Blanchet, Jose ; Chen, Xinyun . In: Papers. RePEc:arx:papers:1310.1103. Full description at Econpapers || Download paper |
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.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1st 2017. Contact: CitEc Team