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Algorithmic Finance / IOS Press

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
6
Impact Factor
0.07
5 Years IF
0.07
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 0.09 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 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.19 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 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.26 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.27 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.32 0 0 0 0 0 0 0 0 0 0 0.14
2001 0 0.35 0 0 0 0 0 0 0 0 0 0 0.15
2002 0 0.37 0 0 0 0 0 0 0 0 0 0 0.19
2003 0 0.4 0 0 0 0 0 0 0 0 0 0 0.19
2004 0 0.44 0 0 0 0 0 0 0 0 0 0 0.2
2005 0 0.45 0 0 0 0 0 0 0 0 0 0 0.21
2006 0 0.46 0 0 0 0 0 0 0 0 0 0 0.2
2007 0 0.42 0 0 0 0 0 0 0 0 0 0 0.18
2008 0 0.44 0 0 0 0 0 0 0 0 0 0 0.2
2009 0 0.43 0 0 0 0 0 0 0 0 0 0 0.21
2010 0 0.43 0 0 0 0 0 1 0 0 0 0 0.18
2011 0 0.45 0.4 0 5 5 21 2 3 0 0 0 2 0.4 0.2
2012 0.2 0.45 0.2 0.2 0 5 0 1 4 5 1 5 1 0 0 0.19
2013 0.2 0.5 0.19 0.2 16 21 59 4 8 5 1 5 1 0 3 0.19 0.21
2014 0.56 0.51 0.27 0.43 12 33 6 9 17 16 9 21 9 0 0 0.2
2015 0.14 0.5 0.12 0.15 10 43 3 5 22 28 4 33 5 0 0 0.19
2016 0.09 0.5 0.28 0.35 10 53 1 15 37 22 2 43 15 0 0 0.18
2017 0 0.5 0.16 0.19 9 62 8 10 47 20 48 9 0 0 0.18
2018 0 0.54 0.06 0.04 9 71 2 4 51 19 57 2 0 0 0.21
2019 0.11 0.58 0.18 0.12 5 76 0 14 65 18 2 50 6 0 0 0.21
2020 0.07 0.75 0.22 0.07 0 76 0 17 82 14 1 43 3 0 0 0.29
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
#YearTitleCited
12011Forecasting 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

12
22013Cluster 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

11
32013Stock 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

10
42013Nonlinear support vector machines can systematically identify stocks with high and low future returns. (2013). Elkan, Charles ; Huerta, Ramon ; Corbacho, Fernando . In: Algorithmic Finance. RePEc:ris:iosalg:0024.

Full description at Econpapers || Download paper

10
52013The 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.

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10
62013A 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.

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9
72017Classification-based financial markets prediction using deep neural networks. (2017). Klabjan, Diego ; Dixon, Matthew ; Bang, Jin Hoon. In: Algorithmic Finance. RePEc:ris:iosalg:0059.

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6
82013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

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4
92011Markets are efficient if and only if P=NP. (2011). Maymin, Philip. In: Algorithmic Finance. RePEc:ris:iosalg:0001.

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3
102017Trump tweets and the efficient Market Hypothesis. (2017). Myers, David H ; Born, Jeffery A ; Clark, William J. In: Algorithmic Finance. RePEc:ris:iosalg:0062.

Full description at Econpapers || Download paper

3
112011Efficient greek estimation in generic swap-rate market models. (2011). Joshi, Mark ; Yang, Chao. In: Algorithmic Finance. RePEc:ris:iosalg:0003.

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3
122011Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002.

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3
132014The extent of price misalignment in prediction markets. (2014). Rothschild, David ; Pennock, David M.. In: Algorithmic Finance. RePEc:ris:iosalg:0007.

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3
142013Sparse, mean reverting portfolio selection using simulated annealing. (2013). Levendovszky, Janos ; Fogarasi, Norbert . In: Algorithmic Finance. RePEc:ris:iosalg:0013.

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2
152013Optimizing sparse mean reverting portfolios. (2013). Levendovszky, Janos ; Sipos, Robert I.. In: Algorithmic Finance. RePEc:ris:iosalg:0019.

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2
162014Linear-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.

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2
172015Market sentiment and exchange rate directional forecasting. (2015). Gogas, Periklis ; Plakandaras, Vasilios ; Diamantaras, Konstantinos ; Papadimitriou, Theophilos. In: Algorithmic Finance. RePEc:ris:iosalg:0037.

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2
182013Discovering 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.

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2
192018Machine learning and corporate bond trading. (2018). Lee, Jacky ; Capriotti, Luca ; Wright, Dominic. In: Algorithmic Finance. RePEc:ris:iosalg:0071.

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2
202016Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael P ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051.

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1
212018Cryptoasset factor models. (2018). Kakushadze, Zura. In: Algorithmic Finance. RePEc:ris:iosalg:0070.

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1
222011Behavioral biases and investor performance.. (2011). Feldman, Todd. In: Algorithmic Finance. RePEc:ris:iosalg:0005.

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1
232015Microstructure-based order placement in a continuous double auction agent based model. (2015). Mande, Alexandru. In: Algorithmic Finance. RePEc:ris:iosalg:0040.

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1
242013Modeling market impact and timing risk in volume time. (2013). Mazur, Slava . In: Algorithmic Finance. RePEc:ris:iosalg:0018.

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1
252015Smile in motion: An intraday analysis of asymmetric implied volatility. (2015). Wallmeier, Martin. In: Algorithmic Finance. RePEc:ris:iosalg:0039.

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1
262014Stochastic flow diagrams. (2014). de Prado, Marcos Lopez ; Calkin, Neil J.. In: Algorithmic Finance. RePEc:ris:iosalg:0008.

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1
272016The network of the Italian stock market during the 2008–2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053.

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1
282014The design and performance of the adaptive stock market index. (2014). Kenett, Dror Y ; Zatlavi, Lior ; Ben-Jacob, Eshel. In: Algorithmic Finance. RePEc:ris:iosalg:0031.

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1
292013The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective. (2013). Tapiero, Oren J.. In: Algorithmic Finance. RePEc:ris:iosalg:0020.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12017Classification-based financial markets prediction using deep neural networks. (2017). Klabjan, Diego ; Dixon, Matthew ; Bang, Jin Hoon. In: Algorithmic Finance. RePEc:ris:iosalg:0059.

Full description at Econpapers || Download paper

6
22011Forecasting 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

6
32013Nonlinear support vector machines can systematically identify stocks with high and low future returns. (2013). Elkan, Charles ; Huerta, Ramon ; Corbacho, Fernando . In: Algorithmic Finance. RePEc:ris:iosalg:0024.

Full description at Econpapers || Download paper

5
42013The 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

5
52017Trump tweets and the efficient Market Hypothesis. (2017). Myers, David H ; Born, Jeffery A ; Clark, William J. In: Algorithmic Finance. RePEc:ris:iosalg:0062.

Full description at Econpapers || Download paper

3
62013Stock 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
72014The extent of price misalignment in prediction markets. (2014). Rothschild, David ; Pennock, David M.. In: Algorithmic Finance. RePEc:ris:iosalg:0007.

Full description at Econpapers || Download paper

3
82011Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002.

Full description at Econpapers || Download paper

2
92013Discovering 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

2
102013Cluster 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

2
112015Market sentiment and exchange rate directional forecasting. (2015). Gogas, Periklis ; Plakandaras, Vasilios ; Diamantaras, Konstantinos ; Papadimitriou, Theophilos. In: Algorithmic Finance. RePEc:ris:iosalg:0037.

Full description at Econpapers || Download paper

2
122018Machine learning and corporate bond trading. (2018). Lee, Jacky ; Capriotti, Luca ; Wright, Dominic. In: Algorithmic Finance. RePEc:ris:iosalg:0071.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor: 1
YearTitle
2020History-Augmented Collaborative Filtering for Financial Recommendations. (2020). Carlier, Laurent ; Barreau, Baptiste. In: Post-Print. RePEc:hal:journl:hal-03144669.

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Recent citations
Recent citations received in 2018
YearCiting document

Recent citations received in 2017
YearCiting document