Citation analysis for Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

0.6

5 Years IF

0.59

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
1990	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.09	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		0	0		0			0		0	0.06
1995	0	0.2	0	0	0	0	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	0	0	0		0	0		0			0		0	0.1
1997	0	0.23	0	0	0	0	0		0	0		0			0		0	0.1
1998	0	0.27	0	0	0	0	0		0	0		0			0		0	0.12
1999	0	0.29	0	0	0	0	0		0	0		0			0		0	0.14
2000	0	0.34	0	0	0	0	0		1	0		0			0		0	0.15
2001	0	0.36	0.39	0	67	67	1888	22	27	0		0			0	22	0.33	0.16
2002	0.54	0.4	0.45	0.54	63	130	750	51	86	67	36	67	36	4	7.8	9	0.14	0.21
2003	0.62	0.41	0.6	0.62	68	198	632	117	205	130	81	130	81	12	10.3	5	0.07	0.2
2004	0.5	0.46	0.6	0.52	67	265	915	157	363	131	65	198	103	21	13.4	12	0.18	0.21
2005	0.4	0.47	0.7	0.55	50	315	788	213	583	135	54	265	145	17	8	5	0.1	0.22
2006	0.45	0.47	0.72	0.54	45	360	392	251	842	117	53	315	170	34	13.5	10	0.22	0.21
2007	0.37	0.42	0.58	0.4	63	423	414	241	1089	95	35	293	117	18	7.5	11	0.17	0.19
2008	0.24	0.45	0.67	0.42	64	487	543	320	1417	108	26	293	122	33	10.3	18	0.28	0.21
2009	0.28	0.44	0.68	0.52	80	567	492	379	1801	127	36	289	151	33	8.7	5	0.06	0.21
2010	0.38	0.44	0.58	0.45	114	681	968	393	2198	144	55	302	136	30	7.6	23	0.2	0.18
2011	0.28	0.46	0.5	0.34	130	811	485	402	2605	194	54	366	125	38	9.5	16	0.12	0.21
2012	0.39	0.47	0.62	0.48	166	977	618	600	3211	244	95	451	218	61	10.2	13	0.08	0.19
2013	0.31	0.53	0.73	0.5	140	1117	587	810	4026	296	93	554	277	54	6.7	23	0.16	0.22
2014	0.41	0.55	0.77	0.53	155	1272	471	967	5001	306	124	630	332	51	5.3	23	0.15	0.21
2015	0.51	0.55	0.76	0.52	141	1413	566	1071	6074	295	150	705	367	62	5.8	42	0.3	0.21
2016	0.63	0.56	0.88	0.54	136	1549	306	1363	7438	296	186	732	395	83	6.1	8	0.06	0.2
2017	0.52	0.58	0.76	0.57	141	1690	249	1286	8724	277	145	738	419	72	5.6	19	0.13	0.21
2018	0.66	0.7	0.75	0.61	128	1818	116	1363	10087	277	183	713	432	18	1.3	19	0.15	0.28
2019	0.6	0.88	0.67	0.59	154	1972	41	1323	11410	269	162	701	414	1	0.1	11	0.07	0.33

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	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	2001	Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers \|\| Download paper	733
2	2004	Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers \|\| Download paper	251
3	2005	Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers \|\| Download paper	225
4	2001	What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers \|\| Download paper	162
5	2001	Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers \|\| Download paper	153
6	2003	Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers \|\| Download paper	112
7	2001	Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers \|\| Download paper	111
8	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÂ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	108
9	2010	Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers \|\| Download paper	106
10	2003	Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers \|\| Download paper	103
11	2008	High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers \|\| Download paper	101
12	2002	Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers \|\| Download paper	100
13	2002	A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers \|\| Download paper	99
14	2004	Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers \|\| Download paper	95
15	2010	Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers \|\| Download paper	92
16	2011	Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers \|\| Download paper	90
17	2004	What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers \|\| Download paper	87
18	2001	Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers \|\| Download paper	87
19	2013	Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers \|\| Download paper	79
20	2001	Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers \|\| Download paper	78
21	2001	High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers \|\| Download paper	76
22	2010	Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers \|\| Download paper	72
23	2010	No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers \|\| Download paper	69
24	2010	A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers \|\| Download paper	69
25	2003	Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers \|\| Download paper	65
26	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÂ¼ller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers \|\| Download paper	61
27	2008	A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, JosÃÂ© ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	60
28	2016	Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers \|\| Download paper	58
29	2015	The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers \|\| Download paper	56
30	2011	Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers \|\| Download paper	55
31	2010	Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers \|\| Download paper	54
32	2001	Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631. Full description at Econpapers \|\| Download paper	54
33	2007	Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers \|\| Download paper	53
34	2012	Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707. Full description at Econpapers \|\| Download paper	52
35	2002	Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers \|\| Download paper	52
36	2012	The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers \|\| Download paper	50
37	2003	Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers \|\| Download paper	49
38	2002	Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198. Full description at Econpapers \|\| Download paper	47
39	2005	Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers \|\| Download paper	47
40	2001	Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers \|\| Download paper	46
41	2002	The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392. Full description at Econpapers \|\| Download paper	46
42	2011	Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers \|\| Download paper	45
43	2015	Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers \|\| Download paper	44
44	2001	Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers \|\| Download paper	43
45	2008	Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers \|\| Download paper	42
46	2013	Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers \|\| Download paper	42
47	2008	Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57. Full description at Econpapers \|\| Download paper	41
48	2001	Price fluctuations, market activity and trading volume. (2001). Gabaix, Xavier ; Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269. Full description at Econpapers \|\| Download paper	41
49	2001	Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers \|\| Download paper	41
50	2010	Valuation of energy storage: an optimal switching approach. (2010). Ludkovski, Michael ; Carmona, Rene. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:359-374. Full description at Econpapers \|\| Download paper	40

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

#	Year	Title	Cited
1	2001	Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers \|\| Download paper	192
2	2016	Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers \|\| Download paper	54
3	2004	Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers \|\| Download paper	43
4	2005	Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers \|\| Download paper	34
5	2008	High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers \|\| Download paper	33
6	2011	Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers \|\| Download paper	31
7	2010	Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers \|\| Download paper	28
8	2010	Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers \|\| Download paper	27
9	2001	What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers \|\| Download paper	27
10	2017	Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433. Full description at Econpapers \|\| Download paper	25
11	2003	Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers \|\| Download paper	24
12	2011	Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers \|\| Download paper	22
13	2013	Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers \|\| Download paper	22
14	2010	Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers \|\| Download paper	22
15	2015	Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636. Full description at Econpapers \|\| Download paper	21
16	2015	The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers \|\| Download paper	21
17	2015	Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers \|\| Download paper	20
18	2010	Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers \|\| Download paper	20
19	2004	Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers \|\| Download paper	20
20	2014	Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71. Full description at Econpapers \|\| Download paper	19
21	2012	The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers \|\| Download paper	18
22	2017	Short-time at-the-money skew and rough fractional volatility. (2017). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:189-198. Full description at Econpapers \|\| Download paper	18
23	2015	On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733. Full description at Econpapers \|\| Download paper	18
24	2013	Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers \|\| Download paper	17
25	2014	Robust risk measurement and model risk. (2014). Glasserman, Paul ; Xu, Xingbo . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58. Full description at Econpapers \|\| Download paper	17
26	2002	A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers \|\| Download paper	17
27	2013	The dynamics of commodity prices. (2013). Prokopczuk, Marcel ; Brooks, Chris. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:4:p:527-542. Full description at Econpapers \|\| Download paper	16
28	2002	Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers \|\| Download paper	16
29	2010	No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers \|\| Download paper	16
30	2014	Hawkes model for price and trades high-frequency dynamics. (2014). Bacry, Emmanuel ; Muzy, Jean-Franois . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:7:p:1147-1166. Full description at Econpapers \|\| Download paper	16
31	2001	Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers \|\| Download paper	16
32	2003	Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers \|\| Download paper	15
33	2001	Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers \|\| Download paper	15
34	2011	Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers \|\| Download paper	15
35	2005	Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313. Full description at Econpapers \|\| Download paper	15
36	2008	Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57. Full description at Econpapers \|\| Download paper	15
37	2002	Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers \|\| Download paper	14
38	2015	Emergence of statistically validated financial intraday lead-lag relationships. (2015). Mantegna, Rosario ; Curme, Chester ; Kenett, Dror Y ; Stanley, Eugene H ; Tumminello, Michele. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:8:p:1375-1386. Full description at Econpapers \|\| Download paper	14
39	2001	Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers \|\| Download paper	13
40	2015	Optimal execution with limit and market orders. (2015). Cartea, ÃÂlvaro ; Jaimungal, Sebastian. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:8:p:1279-1291. Full description at Econpapers \|\| Download paper	12
41	2015	Modelling the emergence of the interbank networks. (2015). Kok, Christoffer ; Halaj, Grzegorz. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:653-671. Full description at Econpapers \|\| Download paper	12
42	2016	The profitability of pairs trading strategies: distance, cointegration and copula methods. (2016). faff, robert ; Yew, Rand Kwong ; Rad, Hossein . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:10:p:1541-1558. Full description at Econpapers \|\| Download paper	12
43	2010	Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528. Full description at Econpapers \|\| Download paper	12
44	2017	Quadratic Hawkes processes for financial prices. (2017). Blanc, P ; J.-P. Bouchaud, ; J. -P. Bouchaud, ; Donier, J. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:171-188. Full description at Econpapers \|\| Download paper	12
45	2014	Parsimonious HJM modelling for multiple yield curve dynamics. (2014). Pallavicini, Andrea ; Moreni, N.. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:2:p:199-210. Full description at Econpapers \|\| Download paper	11
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47	2015	A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Mastromatteo, I ; Bonart, J. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121. Full description at Econpapers \|\| Download paper	11
48	2010	A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers \|\| Download paper	11
49	2013	The non-linear market impact of large trades: evidence from buy-side order flow. (2013). Rakhlin, Dmitry ; Bershova, Nataliya . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1759-1778. Full description at Econpapers \|\| Download paper	11
50	2007	Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442. Full description at Econpapers \|\| Download paper	11

Citing documents used to compute impact factor: 162

Year	Title
2019	Crude oil futures trading and uncertainty. (2019). Czudaj, Robert. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep027. Full description at Econpapers \|\| Download paper
2019	Crude oil futures trading and uncertainty. (2019). Czudaj, Robert. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:793-811. Full description at Econpapers \|\| Download paper
2019	Comparing nested data sets and objectively determining financial bubblesâ inceptions. (2019). Sornette, D ; Demos, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:661-675. Full description at Econpapers \|\| Download paper
2019	Portfolio management with cryptocurrencies: The role of estimation risk. (2019). Urquhart, Andrew ; Platanakis, Emmanouil. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:76-80. Full description at Econpapers \|\| Download paper
2019	The effects of markets, uncertainty and search intensity on bitcoin returns. (2019). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:220-242. Full description at Econpapers \|\| Download paper
2019	News and subjective beliefs: A Bayesian approach to Bitcoin investments. (2019). Flori, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:336-356. Full description at Econpapers \|\| Download paper
2019	Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:1805.06682. Full description at Econpapers \|\| Download paper
2019	Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Working Papers. RePEc:hal:wpaper:hal-01799398. Full description at Econpapers \|\| Download paper
2019	Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Post-Print. RePEc:hal:journl:hal-01799398. Full description at Econpapers \|\| Download paper
2019	Modeling Credit Risk with Hidden Markov Default Intensity. (2019). Ching, Wai-Ki ; Gu, Jia-Wen ; Lu, Jiejun ; Yu, Feng-Hui. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9869-7. Full description at Econpapers \|\| Download paper
2019	On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes. (2019). Raju, V L ; Rodosthenous, Neofytos ; Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101272. Full description at Econpapers \|\| Download paper
2019	Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers \|\| Download paper
2019	From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers \|\| Download paper
2019	Volatility options in rough volatility models. (2019). Tankov, Peter ; Jacquier, Antoine ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1802.01641. Full description at Econpapers \|\| Download paper
2019	Short-term at-the-money asymptotics under stochastic volatility models. (2019). Rosenbaum, Mathieu ; Gatheral, Jim ; Fukasawa, Masaaki ; el Euch, Omar. In: Papers. RePEc:arx:papers:1801.08675. Full description at Econpapers \|\| Download paper
2019	Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868. Full description at Econpapers \|\| Download paper
2019	Is Volatility Rough ?. (2019). Westphal, Rebecca ; Takabatake, Tetsuya ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1905.04852. Full description at Econpapers \|\| Download paper
2019	Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01890751. Full description at Econpapers \|\| Download paper
2019	Affine Rough Models. (2019). Pulido, Sergio ; Larsson, Martin ; Keller-Ressel, Martin. In: Working Papers. RePEc:hal:wpaper:hal-02265210. Full description at Econpapers \|\| Download paper
2019	Dynamic portfolio strategies under a fully correlated jump-diffusion process. (2019). Moreno-Franco, Harold A ; Escobar-Anel, Marcos. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3. Full description at Econpapers \|\| Download paper
2019	Optimal VWAP execution under transient price impact. (2019). Lillo, Fabrizio ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:1901.02327. Full description at Econpapers \|\| Download paper
2019	A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Working Papers. RePEc:hal:wpaper:hal-02003143. Full description at Econpapers \|\| Download paper
2019	A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1902.09606. Full description at Econpapers \|\| Download paper
2019	Incorporating signals into optimal trading. (2019). Lehalle, Charles-Albert ; Neuman, Eyal. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7. Full description at Econpapers \|\| Download paper
2019	Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728. Full description at Econpapers \|\| Download paper
2019	Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals. (2019). Yang, Chunpeng ; Zhou, Liyun. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:130-140. Full description at Econpapers \|\| Download paper
2019	Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs. (2019). Tolotti, Marco ; Pellizzari, Paolo ; Liuzzi, Danilo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0233-8. Full description at Econpapers \|\| Download paper
2019	Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market. (2019). Zhang, Rui ; Fu, Zhiming ; Yan, Xin ; Wu, Liang. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:275-280. Full description at Econpapers \|\| Download paper
2019	What determines bitcoin exchange prices? A network VAR approach. (2019). Abu-Hashish, Iman ; Giudici, Paolo. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:309-318. Full description at Econpapers \|\| Download paper
2019	Latent factor models for credit scoring in P2P systems. (2019). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:112-121. Full description at Econpapers \|\| Download paper
2019	Asymmetric competition, risk, and return distribution. (2019). Oh, Ilfan ; Mundt, Philipp. In: BERG Working Paper Series. RePEc:zbw:bamber:145. Full description at Econpapers \|\| Download paper
2019	Animal spirits, risk premia and monetary policy at the zero lower bound. (2019). ProaÃÂ±o, Christian ; Lojak, Benjamin ; Acosta, Christian Proao. In: BERG Working Paper Series. RePEc:zbw:bamber:148. Full description at Econpapers \|\| Download paper
2019	Global financial cycles since 1880. (2019). Wolters, Maik ; Potjagailo, Galina. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2122. Full description at Econpapers \|\| Download paper
2019	Global financial cycles since 1880. (2019). Wolters, Maik ; Potjagailo, Galina. In: IMFS Working Paper Series. RePEc:zbw:imfswp:132. Full description at Econpapers \|\| Download paper
2019	Topology and formation of production input interlinkages: Evidence from Japanese microdata. (2019). Mundt, Philipp ; Arata, Yoshiyuki. In: BERG Working Paper Series. RePEc:zbw:bamber:152. Full description at Econpapers \|\| Download paper
2019	Characterizing the financial cycle: Evidence from a frequency domain analysis. (2019). Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:568-591. Full description at Econpapers \|\| Download paper
2019	The perks of being in the smaller team: Incentives in overlapping contests. (2019). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:155. Full description at Econpapers \|\| Download paper
2019	Resilience of trading networks: evidence from the sterling corporate bond market. (2019). Roberts-Sklar, Matt ; Silvestri, Laura ; Mallaburn, David. In: Bank of England working papers. RePEc:boe:boeewp:0813. Full description at Econpapers \|\| Download paper
2019	Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142. Full description at Econpapers \|\| Download paper
2019	Forecasting market states. (2019). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:1807.05836. Full description at Econpapers \|\| Download paper
2019	It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269. Full description at Econpapers \|\| Download paper
2019	Deep Learning Volatility. (2019). Tomas, Mehdi ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1901.09647. Full description at Econpapers \|\| Download paper
2019	On deep calibration of (rough) stochastic volatility models. (2019). Tomas, Mehdi ; Stemper, Benjamin ; Muguruza, Aitor ; Horvath, Blanka ; Bayer, Christian. In: Papers. RePEc:arx:papers:1908.08806. Full description at Econpapers \|\| Download paper
2019	A seasonal copula mixture for hedging the clean spark spread with wind power futures. (2019). Hog, Esben ; Pircalabu, Anca ; Christensen, Troels Sonderby. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:64-80. Full description at Econpapers \|\| Download paper
2019	Wind Power Pricing Game Strategy under the Chinaâs Market Trading Mechanism. (2019). Shi, Lei ; Ding, Xiaohui ; Dong, Fugui. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:18:p:3456-:d:265173. Full description at Econpapers \|\| Download paper
2019	The European intraday electricity market : a modeling based on the Hawkes process. (2019). FAVETTO, BENJAMIN . In: Working Papers. RePEc:hal:wpaper:hal-02089289. Full description at Econpapers \|\| Download paper
2019	Pricing variance swaps under the Hawkes jumpâdiffusion process. (2019). Zhu, Songping ; Liu, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:635-655. Full description at Econpapers \|\| Download paper
2019	Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Wang, Chiu-Ping ; Lin, Shin-Hung ; Huang, Hung-Hsi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130. Full description at Econpapers \|\| Download paper
2019	Option pricing models without probability. (2019). Brigo, Damiano ; Cass, Thomas ; Bellani, Claudio ; Armstrong, John. In: Papers. RePEc:arx:papers:1808.09378. Full description at Econpapers \|\| Download paper
2019	A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249. Full description at Econpapers \|\| Download paper
2019	Linear Stochastic Dividend Model. (2019). Willems, Sander. In: Papers. RePEc:arx:papers:1908.05850. Full description at Econpapers \|\| Download paper
2019	The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction. (2019). Hatemi-J, Abdulnasser ; GUPTA, RANGAN ; Bouri, Elie ; Hajji, Mohamed A. In: Working Papers. RePEc:pre:wpaper:201959. Full description at Econpapers \|\| Download paper
2019	Multi-period portfolio selection with drawdown control. (2019). Lindstrom, Erik ; Boyd, Stephen ; Nystrup, Peter ; Madsen, Henrik. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2947-3. Full description at Econpapers \|\| Download paper
2019	Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. (2019). Arai, Takuji. In: Papers. RePEc:arx:papers:1904.12260. Full description at Econpapers \|\| Download paper
2019	Dynamics of symmetric SSVI smiles and implied volatility bubbles. (2019). Martini, Claude ; Jacquier, Antoine ; el Amrani, Mehdi. In: Papers. RePEc:arx:papers:1909.10272. Full description at Econpapers \|\| Download paper
2019	Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits. (2019). Yi, Bingji ; Feng, Runhuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:60-73. Full description at Econpapers \|\| Download paper
2019	Forecasting downside risk in Chinaâs stock market based on high-frequency data. (2019). Xie, Nan ; Gong, XU ; Chen, Sicen ; Wang, Zongrun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541. Full description at Econpapers \|\| Download paper
2019	Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24. Full description at Econpapers \|\| Download paper
2019	FX trade execution: complex and highly fragmented. (2019). Sushko, Vladyslav ; Schrimpf, Andreas. In: BIS Quarterly Review. RePEc:bis:bisqtr:1912g. Full description at Econpapers \|\| Download paper
2019	Internalisation by electronic FX spot dealers. (2019). Oomen, R ; Butz, M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90485. Full description at Econpapers \|\| Download paper
2019	Integrated risk analysis of water-energy nexus systems based on systems dynamics, orthogonal design and copula analysis. (2019). , YanpengCai ; Xu, Qiao ; Tan, Qian ; Cai, Jianying . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:99:y:2019:i:c:p:125-137. Full description at Econpapers \|\| Download paper
2019	Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model. (2019). Mehra, Aparna ; Goel, Anubha. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9772-7. Full description at Econpapers \|\| Download paper
2019	Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. (2019). Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:80-92. Full description at Econpapers \|\| Download paper
2019	Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:273-284. Full description at Econpapers \|\| Download paper
2019	How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures. (2019). Wu, Xin ; Huang, Wenli ; Wang, Qiyu ; Zhang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244. Full description at Econpapers \|\| Download paper
2019	A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression. (2019). Anderson, Gary ; Audzeyeva, Alena. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-74. Full description at Econpapers \|\| Download paper
2019	Identifying influential nodes based on fluctuation conduction network model. (2019). Wang, ZE ; Chen, Zhihua ; Sun, Qingru ; Liu, Xueyong ; Tang, Renwu ; Gao, Xiangyun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:355-369. Full description at Econpapers \|\| Download paper
2019	Global RÃ©nyi index of the distance matrix. (2019). Nie, Chun-Xiao ; Song, Fu-Tie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:902-915. Full description at Econpapers \|\| Download paper
2019	The impact of corporate lifecycle on FamaâFrench three-factor model. (2019). Liu, Hao ; Gao, Ya-Chun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:390-398. Full description at Econpapers \|\| Download paper
2019	Portfolio optimization based on network topology. (2019). Li, Yan ; Zheng, BO ; Tian, Yue ; Jiang, Xiong-Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:671-681. Full description at Econpapers \|\| Download paper
2019	Analysing the systemic risk of Indian banks. (2019). Ahmad, Wasim ; Bekiros, Stelios ; Uddin, Gazi Salah ; Verma, Ramprasad. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:103-108. Full description at Econpapers \|\| Download paper
2019	Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions. (2019). Zhu, Xiaoqian ; Li, Jianping ; Yao, Yanzhen. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:2. Full description at Econpapers \|\| Download paper
2019	Multifractal characterization of Brazilian market sectors. (2019). , Paulo ; Stosic, Darko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:956-964. Full description at Econpapers \|\| Download paper
2019	When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin. (2019). Wang, Gang-Jin ; Zhao, Longfeng ; Wen, Danyan ; Xie, Chi. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318305749. Full description at Econpapers \|\| Download paper
2019	Connectedness and risk spillovers in Chinaâs stock market: A sectoral analysis. (2019). Zhang, Dayong ; Wu, Fei. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302590. Full description at Econpapers \|\| Download paper
2019	How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. (2019). Zhang, Yue-Jun ; Ma, Shu-Jiao. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303573. Full description at Econpapers \|\| Download paper
2019	Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84. Full description at Econpapers \|\| Download paper
2019	Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611. Full description at Econpapers \|\| Download paper
2019	The Holy Grail of Crypto Currencies: Ready to Replace Fiat Money?. (2019). Senner, Richard ; Sornette, Didier. In: Journal of Economic Issues. RePEc:mes:jeciss:v:53:y:2019:i:4:p:966-1000. Full description at Econpapers \|\| Download paper
2019	Time-dependent lead-lag relationships between the VIX and VIX futures markets. (2019). Shao, Ying-Hui ; Yang, Yan-Hong. In: Papers. RePEc:arx:papers:1910.13729. Full description at Econpapers \|\| Download paper
2019	Time-varying leadâlag structure between the crude oil spot and futures markets. (2019). Yang, Yan-Hong ; Shao, Ying-Hui ; Stanley, Eugene H. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:723-733. Full description at Econpapers \|\| Download paper
2019	Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes. (2019). Na, Young Hoon ; Jang, Hyun Jin ; Ho, Geon . In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:43-53. Full description at Econpapers \|\| Download paper
2019	Herd behavior and idiosyncratic volatility in a frontier market. (2019). Anh, Dang Bao ; Vo, Xuan Vinh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:321-330. Full description at Econpapers \|\| Download paper
2019	Behavioral heterogeneity and excess stock price volatility in China. (2019). Xiong, Xiong ; Zhou, Zhong-Qiang ; Zhang, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:348-354. Full description at Econpapers \|\| Download paper
2019	A novel approach to detect volatility clusters in financial time series. (2019). Sanchez-Granero, M A ; Fernandez-Martinez, M ; Trinidad, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314098. Full description at Econpapers \|\| Download paper
2019	Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543. Full description at Econpapers \|\| Download paper
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2019	Computation of the corrected CornishâFisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4. Full description at Econpapers \|\| Download paper
2019	Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04. Full description at Econpapers \|\| Download paper
2019	Realized variance modeling: decoupling forecasting from estimation. (2019). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_05. Full description at Econpapers \|\| Download paper
2019	A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:122. Full description at Econpapers \|\| Download paper
2019	A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:125. Full description at Econpapers \|\| Download paper
2019	A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20. Full description at Econpapers \|\| Download paper
2019	Optimal execution with dynamic risk adjustment. (2019). Wang, Tai-Ho ; di Giacinto, Marina ; Cheng, Xue. In: Papers. RePEc:arx:papers:1901.00617. Full description at Econpapers \|\| Download paper
2019	Statistical Learning and Exchange Rate Forecasting. (2019). Pelagatti, Matteo ; Colombo, Emilio. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1901. Full description at Econpapers \|\| Download paper
2019	An evaluation of early warning models for systemic banking crises: Does machine learning improve predictions?. (2019). von Schweinitz, Gregor ; Beutel, Johannes ; List, Sophia. In: IWH Discussion Papers. RePEc:zbw:iwhdps:22019. Full description at Econpapers \|\| Download paper
2019	Predicting systemic financial crises with recurrent neural networks. (2019). Tolo, Eero. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_014. Full description at Econpapers \|\| Download paper
2019	Uncertainty Shocks and Financial Crisis Indicators. (2019). Roth, Markus ; Hristov, Nikolay. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7839. Full description at Econpapers \|\| Download paper
2019	Uncertainty shocks and financial crisis indicators. (2019). Roth, Markus ; Hristov, Nikolay. In: Discussion Papers. RePEc:zbw:bubdps:362019. Full description at Econpapers \|\| Download paper
2019	Does machine learning help us predict banking crises?. (2019). von Schweinitz, Gregor ; List, Sophia ; Beutel, Johannes. In: Journal of Financial Stability. RePEc:eee:finsta:v:45:y:2019:i:c:s1572308918305801. Full description at Econpapers \|\| Download paper
2019	Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method. (2019). Dai, Yimin ; Wei, YU ; Tang, Yong ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314414. Full description at Econpapers \|\| Download paper
2019	Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849. Full description at Econpapers \|\| Download paper
2019	A profitable modification to global quadratic hedging. (2019). Godin, Frederic ; Augustyniak, Maciej ; Simard, Clarence. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:111-131. Full description at Econpapers \|\| Download paper
2019	A general framework for pricing Asian options under stochastic volatility on parallel architectures. (2019). Corsaro, Stefania ; Marino, Zelda ; Marazzina, Daniele ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095. Full description at Econpapers \|\| Download paper
2019	Queue-reactive Hawkes models for the order flow. (2019). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Rambaldi, Marcello ; Wu, Peng. In: Papers. RePEc:arx:papers:1901.08938. Full description at Econpapers \|\| Download paper
2019	Zero-Inflated Regime-Switching Stochastic Differential Equation Models for Highly Unbalanced Multivariate, Multi-Subject Time-Series Data. (2019). Cole, Pamela M ; Ram, Nilam ; Chow, Sy-Miin ; Lu, Zhao-Hua. In: Psychometrika. RePEc:spr:psycho:v:84:y:2019:i:2:d:10.1007_s11336-019-09664-7. Full description at Econpapers \|\| Download paper
2019	An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26. Full description at Econpapers \|\| Download paper
2019	Trading stocks on blocks: The quality of decentralized markets. (2019). Weinhardt, Christof ; Englert, Daniel ; Marino, Vincenzo ; Notheisen, Benedikt. In: Working Paper Series in Economics. RePEc:zbw:kitwps:129. Full description at Econpapers \|\| Download paper
2019	New Weak Error bounds and expansions for Optimal Quantization. (2019). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Working Papers. RePEc:hal:wpaper:hal-02361644. Full description at Econpapers \|\| Download paper
2019	Quantization meets Fourier: a new technology for pricing options. (2019). Grasselli, Martino ; Fiorin, Lucio ; Callegaro, Giorgia. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3048-z. Full description at Econpapers \|\| Download paper
2019	Expected shortfall and portfolio management in contagious markets. (2019). nicolosi, marco ; Kokholm, Thomas ; Buccioli, Alice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:100-115. Full description at Econpapers \|\| Download paper
2019	A realized volatility approach to option pricing with continuous and jump variance components. (2019). Corsi, Fulvio ; Bormetti, Giacomo ; Alitab, Dario ; Majewski, Adam A. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00241-2. Full description at Econpapers \|\| Download paper
2019	OTC discount. (2019). Schneider, Michael ; de Roure, Calebe ; Pelizzon, Loriana ; Monch, Emanuel. In: Discussion Papers. RePEc:zbw:bubdps:422019. Full description at Econpapers \|\| Download paper
2019	Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19. Full description at Econpapers \|\| Download paper
2019	Seasonal anomalies in the market for American depository receipts. (2019). Lobo, Julio. In: Journal of Economics, Finance and Administrative Science. RePEc:ris:joefas:0148. Full description at Econpapers \|\| Download paper
2019	Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108. Full description at Econpapers \|\| Download paper
2019	On the cross-sectional distribution of portfolio returns. (2019). CalÃÂ¨s, Ludovic ; Emiris, Ioannis Z ; Chalkis, Apostolos ; Cales, Ludovic . In: Working Papers. RePEc:jrs:wpaper:201911. Full description at Econpapers \|\| Download paper
2019	Financial contagion across major stock markets: A study during crisis episodes. (2019). Bensaida, Ahmed ; Benmim, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:187-201. Full description at Econpapers \|\| Download paper
2019	Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a meanâvariance insurer with ambiguity aversion. (2019). Zeng, Yan ; Shen, Yang ; Zhao, Hui ; Zhang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:159-180. Full description at Econpapers \|\| Download paper
2019	Asymptotic theory for rough fractional Vasicek models. (2019). Yu, Jun ; Xiao, Weilin. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:26-29. Full description at Econpapers \|\| Download paper
2019	The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:556-583. Full description at Econpapers \|\| Download paper
2019	Statistical inference for Vasicek-type model driven by Hermite processes. (2019). Diu, T T ; Nourdin, Ivan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:10:p:3774-3791. Full description at Econpapers \|\| Download paper
2019	Markovian structure of the Volterra Heston model. (2019). el Euch, Omar ; Jaber, Eduardo Abi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:149:y:2019:i:c:p:63-72. Full description at Econpapers \|\| Download paper
2019	Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298. Full description at Econpapers \|\| Download paper
2019	Quantum systems for Monte Carlo methods and applications to fractional stochastic processes. (2019). Huang, Yuping ; Nguyen, Lac ; Chatterjee, Rupak ; Tudor, Sebastian F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711931115x. Full description at Econpapers \|\| Download paper
2019	Transaction Cost Analytics for Corporate Bonds. (2019). Xu, Renyuan ; Lehalle, Charles-Albert ; Guo, Xin. In: Papers. RePEc:arx:papers:1903.09140. Full description at Econpapers \|\| Download paper
2019	Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187. Full description at Econpapers \|\| Download paper
2019	Empirical investigation of state-of-the-art mean reversion strategies for equity markets. (2019). Moon, Byung-Ro ; Kim, Yong-Hyuk. In: Papers. RePEc:arx:papers:1909.04327. Full description at Econpapers \|\| Download paper
2019	Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203. Full description at Econpapers \|\| Download paper
2019	Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967. Full description at Econpapers \|\| Download paper
2019	Mind the tail, or risk to fail. (2019). Chaudhry, Sajid ; Gupta, Jairaj. In: Journal of Business Research. RePEc:eee:jbrese:v:99:y:2019:i:c:p:167-185. Full description at Econpapers \|\| Download paper
2019	Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. (2019). Statti, Francesco ; Kressner, Daniel ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1902.04367. Full description at Econpapers \|\| Download paper
2019	An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components. (2019). RodrÃÂguez, Gabriel ; Gonzales, Jose Carlos ; Ojeda, Junior A. In: Portuguese Economic Journal. RePEc:spr:portec:v:18:y:2019:i:2:d:10.1007_s10258-019-00156-1. Full description at Econpapers \|\| Download paper
2019	Una nota sobre el pronÃ³stico del riesgo diario de volatilidad en el mercado de valores peruano utilizando retornos intradÃa. (2019). Zevallos, Mauricio. In: Revista EconomÃa. RePEc:pcp:pucrev:y:2019:i:84:p:94-101. Full description at Econpapers \|\| Download paper
2019	Investigating large-amplitude protein loop motions as extreme events using recurrence interval analysis. (2019). Karain, Wael I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:1-10. Full description at Econpapers \|\| Download paper
2019	Portfolio Optimization under Correlation Constraint. (2019). Pirvu, Traian ; Maheshwari, Aditya. In: Papers. RePEc:arx:papers:1912.12521. Full description at Econpapers \|\| Download paper
2019	Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767. Full description at Econpapers \|\| Download paper
2019	Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations. (2019). Dixon, Matthew ; Cr, St'Ephane . In: Papers. RePEc:arx:papers:1901.11081. Full description at Econpapers \|\| Download paper
2019	Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes. (2019). Oskoui, Amir ; Karatas, Tugce ; Hirsa, Ali. In: Papers. RePEc:arx:papers:1902.05810. Full description at Econpapers \|\| Download paper
2019	Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. (2019). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1903.00369. Full description at Econpapers \|\| Download paper
2019	Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795. Full description at Econpapers \|\| Download paper
2019	Machine Learning for Pricing American Options in High Dimension. (2019). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1903.11275. Full description at Econpapers \|\| Download paper
2019	A neural network-based framework for financial model calibration. (2019). Oosterlee, Cornelis W ; Grzelak, Lech A ; Borovykh, Anastasia ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:1904.10523. Full description at Econpapers \|\| Download paper
2019	Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166. Full description at Econpapers \|\| Download paper
2019	The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636. Full description at Econpapers \|\| Download paper
2019	Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?. (2019). Ryu, Doojin ; Park, Chanhi ; Cho, Hoon ; Ik, Sang. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:13:p:3718-:d:246434. Full description at Econpapers \|\| Download paper
2019	How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119. Full description at Econpapers \|\| Download paper
2019	Who has volatility information in the index options market?. (2019). Yang, Heejin ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:266-270. Full description at Econpapers \|\| Download paper
2019	Volatility information trading in the index options market: An intraday analysis. (2019). Ryu, Doojin ; Kutan, Ali M ; Yang, Heejin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:412-426. Full description at Econpapers \|\| Download paper
2019	A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180. Full description at Econpapers \|\| Download paper
2019	The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market. (2019). Zeng, Hongchao ; Wu, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:96-110. Full description at Econpapers \|\| Download paper
2019	The linear and nonlinear leadâlag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets. (2019). Li, Long ; Bao, SI ; Jiang, Tao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:878-893. Full description at Econpapers \|\| Download paper
2019	A jump model for credit default swaps with hierarchical clustering. (2019). Zeitsch, Peter J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:737-775. Full description at Econpapers \|\| Download paper
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2019	Lead-lag Relationships in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1906.10388. Full description at Econpapers \|\| Download paper
2019	A Study on Global Investorsâ Criteria for Investment in the Local Currency Bond Markets Using AHP Methods: The Case of the Republic of Korea. (2019). Park, Min Jae ; Jang, Jae Young. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:101-:d:272823. Full description at Econpapers \|\| Download paper
2019	Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. (2019). Sibbertsen, Philipp ; Nguyen, Duc Khuong ; Wegener, Christoph ; Basse, Tobias. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-019-03326-8. Full description at Econpapers \|\| Download paper
2019	Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002. Full description at Econpapers \|\| Download paper
2019	Machine Learning Optimization Algorithms & Portfolio Allocation. (2019). Roncalli, Thierry ; Perrin, Sarah. In: Papers. RePEc:arx:papers:1909.10233. Full description at Econpapers \|\| Download paper
2019	Combining value and momentum: evidence from the Nordic equity market. (2019). Huhta-Halkola, Topi ; Grobys, Klaus. In: Applied Economics. RePEc:taf:applec:v:51:y:2019:i:26:p:2872-2884. Full description at Econpapers \|\| Download paper
2019	Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series. (2019). Hale, Nicholas ; Chan, Tat Lung. In: Papers. RePEc:arx:papers:1811.09257. Full description at Econpapers \|\| Download paper
2019	An SFP--FCC Method for Pricing and Hedging Early-exercise Options under L\evy Processes. (2019). , Chan ; Lung, Tat . In: Papers. RePEc:arx:papers:1909.07319. Full description at Econpapers \|\| Download paper

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2019	The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200. Full description at Econpapers \|\| Download paper
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Recent citations received in 2018

Year	Citing document
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26. Full description at Econpapers \|\| Download paper
2018	Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency. (2018). LEHALLE, Charles-Albert ; Mounjid, Othmane. In: Papers. RePEc:arx:papers:1610.00261. Full description at Econpapers \|\| Download paper
2018	Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1808.03548. Full description at Econpapers \|\| Download paper
2018	On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Muguruza, Aitor ; Garc, David ; Alos, Elisa. In: Papers. RePEc:arx:papers:1808.03610. Full description at Econpapers \|\| Download paper
2018	The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098. Full description at Econpapers \|\| Download paper
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers \|\| Download paper
2018	Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Glynn, Peter W ; Zhang, Xiaowei. In: Papers. RePEc:arx:papers:1811.00122. Full description at Econpapers \|\| Download paper
2018	Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014. Full description at Econpapers \|\| Download paper
2018	High-frequency Pairs Trading on a Small Stock Exchange. (2018). Mikkelsen, Andreas ; Kjarland, Frode. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-11. Full description at Econpapers \|\| Download paper
2018	Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62. Full description at Econpapers \|\| Download paper
2018	Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353. Full description at Econpapers \|\| Download paper
2018	Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669. Full description at Econpapers \|\| Download paper
2018	Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). Gogolin, Fabian ; Vigne, Samuel A ; Peat, Maurice ; Lucey, Brian M ; Kearney, Fearghal. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593. Full description at Econpapers \|\| Download paper
2018	Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis. (2018). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:22-42. Full description at Econpapers \|\| Download paper
2018	Fast and accurate calculation of American option prices. (2018). Ballestra, Luca Vincenzo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0224-1. Full description at Econpapers \|\| Download paper
2018	Pairs trading with a mean-reverting jumpâdiffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751. Full description at Econpapers \|\| Download paper
2018

Recent citations received in 2017

Year	Citing document
2017	An empirical behavioural order-driven model with price limit rules. (2017). Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng. In: Papers. RePEc:arx:papers:1704.04354. Full description at Econpapers \|\| Download paper
2017	Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles inceptions. (2017). Demos, Guilherme ; Sornette, Didier. In: Papers. RePEc:arx:papers:1707.07162. Full description at Econpapers \|\| Download paper
2017	A regularity structure for rough volatility. (2017). Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Papers. RePEc:arx:papers:1710.07481. Full description at Econpapers \|\| Download paper
2017	Stock market as temporal network. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Papers. RePEc:arx:papers:1712.04863. Full description at Econpapers \|\| Download paper
2017	Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14. Full description at Econpapers \|\| Download paper
2017	Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1733. Full description at Econpapers \|\| Download paper
2017	Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926. Full description at Econpapers \|\| Download paper
2017	Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375. Full description at Econpapers \|\| Download paper
2017	Characterizing the financial cycle: evidence from a frequency domain analysis. (2017). ProaÃÂ±o, Christian ; Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: IMK Working Paper. RePEc:imk:wpaper:189-2017. Full description at Econpapers \|\| Download paper
2017	Using Ratios of Successive Returns for the Estimation of Serial Correlation in Return Series. (2017). Reschenhofer, Erhard. In: Noble International Journal of Economics and Financial Research. RePEc:nap:nijefr:2017:p:125-130. Full description at Econpapers \|\| Download paper
2017	Divergent Behavior in Markets with Idiosyncratic Private Information. (2017). Goldbaum, David. In: Review of Behavioral Economics. RePEc:now:jnlrbe:105.00000064. Full description at Econpapers \|\| Download paper
2017	Comparing market power at home and abroad: evidence from Austrian banks and their subsidiaries in CESEE. (2017). Sigmund, Michael ; Feldkircher, Martin. In: Focus on European Economic Integration. RePEc:onb:oenbfi:y:2017:i:q3/17:b:4. Full description at Econpapers \|\| Download paper
2017	On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752. Full description at Econpapers \|\| Download paper
2017	Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207. Full description at Econpapers \|\| Download paper
2017	Contests as selection mechanisms: The impact of risk aversion. (2017). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:127. Full description at Econpapers \|\| Download paper
2017	Fiscal consolidations and finite planning horizons. (2017). Mavromatis, Kostas(Konstantinos) ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:130. Full description at Econpapers \|\| Download paper
2017	Managing unanchored, heterogeneous expectations and liquidity traps. (2017). Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:131. Full description at Econpapers \|\| Download paper
2017	Fiscal consolidations and heterogeneous expectations. (2017). Mavromatis, Kostas(Konstantinos) ; Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:132. Full description at Econpapers \|\| Download paper
2017	Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1602.07910. Full description at Econpapers \|\| Download paper
2016	Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516. Full description at Econpapers \|\| Download paper
2016	An extreme value analysis of the last century crises across industries in the U.S. economy. (2016). Trapin, Luca ; Riccaboni, Massimo ; Bee, Marco. In: Working Papers. RePEc:ial:wpaper:02/2016. Full description at Econpapers \|\| Download paper
2016	Maximizing excess return per unit variance: A novel investment management objective. (2016). Glabadanidis, Paskalis. In: Journal of Asset Management. RePEc:pal:assmgt:v:17:y:2016:i:7:d:10.1057_jam.2016.11. Full description at Econpapers \|\| Download paper
2016	Oil price, exchange rate and consumer price co-movement: A continuous-wavelet analysis. (2016). Habimana, Olivier. In: MPRA Paper. RePEc:pra:mprapa:71886. Full description at Econpapers \|\| Download paper
2016	Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. (2016). von Mettenheim, Hans-JÃÂ¶rg ; Wegener, Christoph ; Kunze, Frederik ; Basse, Tobias. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:12:p:1961-1968. Full description at Econpapers \|\| Download paper
2016	Pricing bounds and approximations for discrete arithmetic Asian options under time-changed LÃ©vy processes. (2016). Zeng, Pingping ; Kwok, Yue Kuen. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:9:p:1375-1391. Full description at Econpapers \|\| Download paper
2016	THE EFFECT OF HETEROGENEITY ON FINANCIAL CONTAGION DUE TO OVERLAPPING PORTFOLIOS. (2016). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:19:y:2016:i:08:n:s0219525916500168. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	54	1705
2	Physica A: Statistical Mechanics and its Applications / Elsevier	54	467
3	Quantitative Finance / Taylor & Francis Journals	43	236
4	European Journal of Operational Research / Elsevier	91	134
5	Journal of Banking & Finance / Elsevier	133	132
6	Post-Print / HAL	104	124
7	Insurance: Mathematics and Economics / Elsevier	44	120
8	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	15	113
9	Computational Economics / Springer	26	109
10	Journal of Economic Dynamics and Control / Elsevier	99	108
11	Working Papers / HAL	32	100