Citation analysis for Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

0.91

5 Years IF

0.81

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
2001	0	0.38	0.46	0	67	67	2628	27	31	0		0			0	27	0.4	0.17
2002	0.57	0.41	0.46	0.57	63	130	993	56	91	67	38	67	38	4	7.1	10	0.16	0.21
2003	0.67	0.44	0.67	0.67	68	198	827	131	224	130	87	130	87	16	12.2	6	0.09	0.22
2004	0.51	0.49	0.64	0.55	67	265	1217	167	394	131	67	198	109	22	13.2	12	0.18	0.22
2005	0.41	0.5	0.8	0.6	50	315	1027	246	647	135	56	265	159	21	8.5	7	0.14	0.23
2006	0.49	0.5	0.78	0.58	45	360	522	273	929	117	57	315	184	39	14.3	11	0.24	0.23
2007	0.46	0.46	0.67	0.46	63	423	639	274	1212	95	44	293	135	18	6.6	10	0.16	0.2
2008	0.28	0.49	0.75	0.45	64	487	752	359	1579	108	30	293	132	35	9.7	19	0.3	0.23
2009	0.29	0.47	0.75	0.54	80	567	689	417	2003	127	37	289	157	33	7.9	5	0.06	0.23
2010	0.44	0.48	0.72	0.54	114	681	1521	483	2490	144	64	302	162	35	7.2	27	0.24	0.21
2011	0.37	0.52	0.64	0.4	130	811	833	512	3008	194	71	366	148	38	7.4	22	0.17	0.24
2012	0.5	0.51	0.75	0.59	166	977	918	724	3738	244	123	451	264	61	8.4	21	0.13	0.22
2013	0.43	0.56	0.9	0.59	140	1117	955	998	4740	296	128	554	329	57	5.7	29	0.21	0.24
2014	0.48	0.55	0.89	0.6	155	1272	821	1122	5875	306	147	630	381	53	4.7	24	0.15	0.23
2015	0.57	0.55	0.87	0.58	141	1413	1056	1228	7105	295	168	705	409	68	5.5	62	0.44	0.23
2016	0.69	0.53	0.99	0.61	136	1549	775	1540	8646	296	204	732	447	90	5.8	29	0.21	0.21
2017	0.65	0.55	0.87	0.63	141	1690	682	1472	10119	277	180	738	468	75	5.1	36	0.26	0.21
2018	0.75	0.57	0.88	0.69	151	1841	651	1628	11748	277	208	713	489	18	1.1	41	0.27	0.24
2019	0.75	0.6	0.85	0.72	154	1995	528	1684	13434	292	219	724	518	4	0.2	39	0.25	0.24
2020	0.88	0.73	0.99	0.84	137	2132	270	2098	15535	305	269	723	608	12	0.6	49	0.36	0.34
2021	0.91	1.02	0.95	0.81	132	2264	165	2151	17686	291	264	719	581	1	0	54	0.41	0.38

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years 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	1105
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	359
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	263
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	220
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	197
6	2018	Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949. Full description at Econpapers \|\| Download paper	193
7	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	166
8	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	158
9	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	158
10	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	152
11	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	148
12	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	147
13	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	144
14	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÆÃÂ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	140
15	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	136
16	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	136
17	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	136
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	128
19	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	128
20	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	127
21	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	123
22	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	122
23	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	117
24	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	104
25	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	102
26	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	99
27	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	97
28	2013	Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers \|\| Download paper	95
29	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	95
30	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	94
31	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	93
32	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	84
33	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÆÃÂ¼ller, 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	82
34	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	82
35	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	74
36	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	73
37	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	73
38	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	70
39	2008	A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, JosÃÆÃÂ© ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	68
40	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	68
41	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	64
42	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	64
43	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	64
44	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	64
45	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	63
46	2001	Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers \|\| Download paper	63
47	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	62
48	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	61
49	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	61
50	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	61

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	285
2	2018	Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949. Full description at Econpapers \|\| Download paper	146
3	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	106
4	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	67
5	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	65
6	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	61
7	2019	Universal features of price formation in financial markets: perspectives from deep learning. (2019). Cont, Rama ; Sirignano, Justin . In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1449-1459. Full description at Econpapers \|\| Download paper	55
8	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	51
9	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	48
10	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	45
11	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	39
12	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	38
13	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	38
14	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	36
15	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	35
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	35
17	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	35
18	2020	A critical investigation of cryptocurrency data and analysis. (2020). Dakos, M ; Alexander, C. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188. Full description at Econpapers \|\| Download paper	35
19	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	33
20	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	33
21	2013	Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers \|\| Download paper	32
22	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	31
23	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	29
24	2019	Gold price dynamics and the role of uncertainty. (2019). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:663-681. Full description at Econpapers \|\| Download paper	29
25	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	28
26	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÆÃÂ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	28
27	2018	Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. (2018). de Spiegeleer, Jan ; Schoutens, Wim ; Reyners, Sofie ; Madan, Dilip B. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1635-1643. Full description at Econpapers \|\| Download paper	28
28	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	27
29	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	26
30	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	25
31	2020	Quant GANs: deep generation of financial time series. (2020). Kretschmer, Peter ; Korn, Ralf ; Knobloch, Robert ; Wiese, Magnus. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:9:p:1419-1440. Full description at Econpapers \|\| Download paper	25
32	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	24
33	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	24
34	2019	Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:12:p:1995-2013. Full description at Econpapers \|\| Download paper	23
35	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	23
36	2019	Deep learning for limit order books. (2019). Sirignano, Justin A. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:549-570. Full description at Econpapers \|\| Download paper	22
37	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	22
38	2017	Toward robust early-warning models: a horse race, ensembles and model uncertainty. (2017). Holopainen, Markus ; Sarlin, Peter. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:12:p:1933-1963. Full description at Econpapers \|\| Download paper	21
39	2018	Hawkes processes and their applications to finance: a review. (2018). Hawkes, Alan G. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:2:p:193-198. Full description at Econpapers \|\| Download paper	21
40	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	21
41	2017	A new time-varying optimal copula model identifying the dependence across markets. (2017). Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:437-453. Full description at Econpapers \|\| Download paper	21
42	2017	The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2017). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:999-1020. Full description at Econpapers \|\| Download paper	20
43	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	20
44	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	20
45	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	19
46	2018	Turbocharging Monte Carlo pricing for the rough Bergomi model. (2018). Pakkanen, Mikko S ; McCrickerd, Ryan. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:11:p:1877-1886. Full description at Econpapers \|\| Download paper	19
47	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	19
48	2012	Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327. Full description at Econpapers \|\| Download paper	19
49	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	19
50	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	18

Citing documents used to compute impact factor: 264

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2021	On an Irreversible Investment Problem with Two-Factor Uncertainty. (2021). Ferrari, Giorgio ; Dammann, Felix. In: Papers. RePEc:arx:papers:2103.08258. Full description at Econpapers \|\| Download paper
2021	On an Irreversible Investment Problem with Two-Factor Uncertainty. (2021). Ferrari, Giorgio ; Dammann, Felix. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:646. Full description at Econpapers \|\| Download paper
2021	Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (2021). Li, Shuanming ; Jin, Zhuo ; Liu, Guo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:508-524. Full description at Econpapers \|\| Download paper
2021	Asymptotically optimal strategies in a diffusion approximation of a repeated betting game. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2108.11998. Full description at Econpapers \|\| Download paper
2021	International Trade and Technological Competition in Markets with Dynamic Increasing Returns. (2021). Napoletano, Mauro ; Guerini, Mattia ; Fontanelli, Luca. In: GREDEG Working Papers. RePEc:gre:wpaper:2021-33. Full description at Econpapers \|\| Download paper
2021	International Trade and Technological Competition in Markets with Dynamic Increasing Returns. (2021). Fontanelli, Luca ; Napoletano, Mauro ; Guerini, Mattia. In: LEM Papers Series. RePEc:ssa:lemwps:2021/27. Full description at Econpapers \|\| Download paper
2021	International trade and technological competition in markets with dynamic increasing returns. (2021). Guerini, Mattia ; Fontanelli, Luca ; Napoletano, Mauro. In: Working Papers. RePEc:hal:wpaper:hal-03370650. Full description at Econpapers \|\| Download paper
2021	Multilayer heat equations: application to finance. (2021). Muravey, D ; Lipton, A ; Itkin, A. In: Papers. RePEc:arx:papers:2102.08338. Full description at Econpapers \|\| Download paper
2021	Managerial compensation with hyperbolic discounting. (2021). He, Linfeng ; Niu, Yingjie ; Wu, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319305446. Full description at Econpapers \|\| Download paper
2021	A Sino-US comparative analysis of the hi-tech entrepreneurial model. (2021). Huang, Wenli ; Yang, Jinqiang ; Mu, Congming ; Shi, Huihong. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:953-966. Full description at Econpapers \|\| Download paper
2021	A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data. (2021). Mustafa, Faisal ; Ali, Kazim ; Khursheed, Ambreen ; Nasir, Ali. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10030-4. Full description at Econpapers \|\| Download paper
2021	A learning-based strategy for portfolio selection. (2021). Ge, Lei ; Chen, Shun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:936-942. Full description at Econpapers \|\| Download paper
2021	Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721. Full description at Econpapers \|\| Download paper
2021	Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh. In: Papers. RePEc:arx:papers:2109.00983. Full description at Econpapers \|\| Download paper
2021	The Limit Order Book Recreation Model (LOBRM): An Extended Analysis. (2021). Cartlidge, John ; Shi, Zijian. In: Papers. RePEc:arx:papers:2107.00534. Full description at Econpapers \|\| Download paper
2021	Analysis of stock market volatility: Adjusted VPIN with high-frequency data. (2021). Xue, Feng ; Yang, Haijun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:210-222. Full description at Econpapers \|\| Download paper
2021	Deep Hawkes Process for High-Frequency Market Making. (2021). Kumar, Pankaj. In: Papers. RePEc:arx:papers:2109.15110. Full description at Econpapers \|\| Download paper
2021	Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201. Full description at Econpapers \|\| Download paper
2021	Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection. (2021). Zohren, Stefan ; Roberts, Stephen ; Wood, Kieran. In: Papers. RePEc:arx:papers:2105.13727. Full description at Econpapers \|\| Download paper
2021	The Valuation of Weather Derivatives Using One Sided CrankâNicolson Schemes. (2021). Li, Peng. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:3:d:10.1007_s10614-020-10052-y. Full description at Econpapers \|\| Download paper
2021	After the Splits: Information Flow between Bitcoin and Bitcoin Family. (2021). Cho, Ye Rim ; Yi, Eojin ; Ahn, Kwangwon ; Sohn, Sungbin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308560. Full description at Econpapers \|\| Download paper
2021	Methodology for Building Traders Investment Strategy Based on Assessment of the Market Value of the Company. (2021). Zemlianska, Nataliia ; Wielki, Janusz ; Sytnik, Inessa ; Stopochkin, Artem. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:1:p:913-935. Full description at Econpapers \|\| Download paper
2021	Market Efficiency of US REITs: A Revisit. (2021). Ahn, Kwangwon ; Kim, Dongshin ; Jang, Hanwool ; Ryu, Inug. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921004240. Full description at Econpapers \|\| Download paper
2021	The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers \|\| Download paper
2021	An analysis of network filtering methods to sovereign bond yields during COVID-19. (2021). Fille, Erika ; Chhajer, Harsh ; Granados, Oscar M ; Pang, Raymond Ka-Kay. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002673. Full description at Econpapers \|\| Download paper
2021	Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers \|\| Download paper
2021	Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2021/45. Full description at Econpapers \|\| Download paper
2021	An analysis of network filtering methods to sovereign bond yields during COVID-19. (2020). Legara, Erika Fille ; Chhajer, Harsh ; Granados, Oscar ; Pang, Raymond Ka-Kay. In: Papers. RePEc:arx:papers:2009.13390. Full description at Econpapers \|\| Download paper
2021	A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374. Full description at Econpapers \|\| Download paper
2021	Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039. Full description at Econpapers \|\| Download paper
2021	On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. (2021). Marazzina, Daniele ; Bua, Gaetano. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00388-7. Full description at Econpapers \|\| Download paper
2021	Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633. Full description at Econpapers \|\| Download paper
2021	Log-modulated rough stochastic volatility models. (2020). Pigato, Paolo ; Harang, Fabian Andsem ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.03204. Full description at Econpapers \|\| Download paper
2021	Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79. Full description at Econpapers \|\| Download paper
2021	Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600. Full description at Econpapers \|\| Download paper
2021	Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814. Full description at Econpapers \|\| Download paper
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2021	Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017. Full description at Econpapers \|\| Download paper
2021	Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724. Full description at Econpapers \|\| Download paper
2021	Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148. Full description at Econpapers \|\| Download paper
2021	Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers \|\| Download paper
2021	Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility. (2021). Gehricke, Sebastian A ; Diaz-Rainey, Ivan ; Zhang, Renzhu ; Roberts, Helen. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000880. Full description at Econpapers \|\| Download paper
2021	Trading behavior of retail investors in derivatives markets: Evidence from Mini options. (2021). Zhong, Zhaodong ; Zhao, Chen ; Li, Yubin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002090. Full description at Econpapers \|\| Download paper
2021	Does Default Pecking Order Impact Systemic Risk? Evidence from Brazilian data. (2021). Silva, Thiago ; Rodrigues, Francisco A ; Michalak, Krzysztof ; Alexandre, Michel. In: Working Papers Series. RePEc:bcb:wpaper:557. Full description at Econpapers \|\| Download paper
2021	The contribution of the intra-firm exposures network to systemic risk. (2021). Lluberas, Rodrigo ; Martinez-Jaramillo, Serafin ; Baron, Andrea ; Rodriguez-Martinez, Anahi ; Caccioli, Fabio ; Landaberry, Victoria. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:2:s2666143821000120. Full description at Econpapers \|\| Download paper
2021	American options in the Volterra Heston model. (2021). Zuiga, Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-03178306. Full description at Econpapers \|\| Download paper
2021	Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551. Full description at Econpapers \|\| Download paper
2021	Mertonâs portfolio problem under Volterra Heston model. (2021). Wong, Hoi Ying ; Han, Bingyan. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319312917. Full description at Econpapers \|\| Download paper
2021	Discrete variance swap in a rough volatility economy. (2021). Wong, Hoi Ying ; Ru, YI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1640-1654. Full description at Econpapers \|\| Download paper
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2021	Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2020). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02412741. Full description at Econpapers \|\| Download paper
2021	Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2019). Jaber, Eduardo Abi. In: UniversitÃÂ© Paris1 PanthÃÂ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02412741. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers \|\| Download paper
2021	Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x. Full description at Econpapers \|\| Download paper
2021	Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736. Full description at Econpapers \|\| Download paper
2021	Time-consistent feedback strategies with Volterra processes. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1907.11378. Full description at Econpapers \|\| Download paper
2021	Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962. Full description at Econpapers \|\| Download paper
2021	Policy with stochastic hysteresis. (2021). Riabov, Georgii ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2104.10225. Full description at Econpapers \|\| Download paper
2021	Optimal stopping with signatures. (2021). Bayer, Christian ; Schoenmakers, John ; Riedel, Sebastian ; Hager, Paul. In: Papers. RePEc:arx:papers:2105.00778. Full description at Econpapers \|\| Download paper
2021	A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. (2021). Tan, Xiaolu ; Bouchard, Bruno. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00458-3. Full description at Econpapers \|\| Download paper
2021	Multidimensional Kyle-Back model with a risk averse informed trader. (2021). Ekren, Ibrahim ; Bose, Shreya. In: Papers. RePEc:arx:papers:2111.01957. Full description at Econpapers \|\| Download paper
2021	Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach. (2021). Nam, Kihun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:141:y:2021:i:c:p:376-411. Full description at Econpapers \|\| Download paper
2021	Global financial uncertainties and Chinaâs crude oil futures market: Evidence from interday and intraday price dynamics. (2021). Wang, Lei ; Liu, Liang ; Wei, YU ; Yang, Kun. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000542. Full description at Econpapers \|\| Download paper
2021	Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611. Full description at Econpapers \|\| Download paper
2021	A Survey of Forex and Stock Price Prediction Using Deep Learning. (2021). Khushi, Matloob ; Zhao, Yiqi. In: Papers. RePEc:arx:papers:2103.09750. Full description at Econpapers \|\| Download paper
2021	Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation. (2021). Carbo, Jose Manuel ; Alonso, Andres. In: Working Papers. RePEc:bde:wpaper:2105. Full description at Econpapers \|\| Download paper
2021	Deep Learning for Market by Order Data. (2021). Zohren, Stefan ; Lim, Bryan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2102.08811. Full description at Econpapers \|\| Download paper
2021	The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network. (2021). Cartlidge, John ; Chen, YU ; Shi, Zijian. In: Papers. RePEc:arx:papers:2103.01670. Full description at Econpapers \|\| Download paper
2021	Modelling Stock Markets by Multi-agent Reinforcement Learning. (2021). Palminteri, Stefano ; Bourgeois-Gironde, Sacha ; Lazarevich, Ivan ; Lussange, Johann ; Gutkin, Boris. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10038-w. Full description at Econpapers \|\| Download paper
2021	Deep Reinforcement Learning for Active High Frequency Trading. (2021). Briola, Antonio ; Turiel, Jeremy ; Marcaccioli, Riccardo ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2101.07107. Full description at Econpapers \|\| Download paper
2021	Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2105.10430. Full description at Econpapers \|\| Download paper
2021	AI in Finance: Challenges, Techniques and Opportunities. (2021). Cao, Longbing. In: Papers. RePEc:arx:papers:2107.09051. Full description at Econpapers \|\| Download paper
2021	Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers \|\| Download paper
2021	Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow. (2021). Gorse, Denise ; Lim, Ye-Sheen. In: Papers. RePEc:arx:papers:2109.13905. Full description at Econpapers \|\| Download paper
2021	How Robust are Limit Order Book Representations under Data Perturbation?. (2021). Veloso, Manuela ; Magazzeni, Daniele ; Mahfouz, Mahmoud ; Wu, Yufei. In: Papers. RePEc:arx:papers:2110.04752. Full description at Econpapers \|\| Download paper
2021	Multivariate Realized Volatility Forecasting with Graph Neural Network. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2112.09015. Full description at Econpapers \|\| Download paper
2021	Denoised Labels for Financial Time-Series Data via Self-Supervised Learning. (2021). Polukarov, Maria ; Ventre, Carmine ; Ma, Yanqing. In: Papers. RePEc:arx:papers:2112.10139. Full description at Econpapers \|\| Download paper
2021	Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis. (2021). Pattnaik, Debidutta ; Lim, Weng Marc ; Kumar, Satish ; Goodell, John W. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001210. Full description at Econpapers \|\| Download paper
2021	Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers \|\| Download paper
2021	An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778. Full description at Econpapers \|\| Download paper
2021	Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities. (2021). Aste, Tomaso. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:213-:d:551263. Full description at Econpapers \|\| Download paper
2021	Portfolio Optimization with Sparse Multivariate Modelling. (2021). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:2103.15232. Full description at Econpapers \|\| Download paper
2021	A Bayesian Approach to Measurement of Backtest Overfitting. (2021). Witzany, JiÅÃ. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:18-:d:476849. Full description at Econpapers \|\| Download paper
2021	Undersampling bankruptcy prediction: Taiwan bankruptcy data. (2021). Liu, Xiangdong ; Wang, Haoming. In: PLOS ONE. RePEc:plo:pone00:0254030. Full description at Econpapers \|\| Download paper
2021	A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection. (2021). Sermpinis, Georgios ; Paraschiv, Florentina ; Li, Wei. In: Papers. RePEc:arx:papers:2107.08808. Full description at Econpapers \|\| Download paper
2021	Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43. Full description at Econpapers \|\| Download paper
2021	Stop-loss protection for a large P2P insurance pool. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:210-233. Full description at Econpapers \|\| Download paper
2021	Efronâs asymptotic monotonicity property in the Gaussian stable domain of attraction. (2021). Robert, Christian Y ; Denuit, Michel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000816. Full description at Econpapers \|\| Download paper
2021	Option to survive or surrender: carbon asset management and optimization in thermal power enterprises from China. (2021). Sun, Huaping ; Zhen, Zaili ; Xie, Zhuyun ; Tian, Lixin ; Liu, Yue. In: Papers. RePEc:arx:papers:2104.04729. Full description at Econpapers \|\| Download paper
2021	Robust portfolio selection with regime switching and asymmetric dependence. (2021). Bai, Manying ; Su, Xiaoshan ; Han, Yingwei. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000754. Full description at Econpapers \|\| Download paper
2021	Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062. Full description at Econpapers \|\| Download paper
2021	The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786. Full description at Econpapers \|\| Download paper
2021	State-dependent asset allocation using neural networks. (2021). Bradrania, Reza ; Neghab, Davood Pirayesh. In: MPRA Paper. RePEc:pra:mprapa:115254. Full description at Econpapers \|\| Download paper
2021	The contagious effect of Chinaâs energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86. Full description at Econpapers \|\| Download paper
2021	Measuring financial interdependence in asset markets with an application to eurozone equities. (2021). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302478. Full description at Econpapers \|\| Download paper
2021	A joint test of policy contagion with application to the solar sector. (2021). Shao, Chengwu ; Sheng, NI ; Wei, Xinyang ; Hsiao, Cody Yu-Ling. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:141:y:2021:i:c:s1364032121000587. Full description at Econpapers \|\| Download paper
2021	Oil and US stock market shocks: implications for Canadian equities. (2021). Mahadeo, Scott ; Heinlein, Reinhold. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2021-07. Full description at Econpapers \|\| Download paper
2021	Contagion effects on capital and forex markets around GFC and COVID-19 crises. A comparative study. (2021). Brania, Krzysztof ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:31:y:2021:i:2:p:41-59:id:1605. Full description at Econpapers \|\| Download paper
2021	An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model. (2021). Xue, Cheng ; Bai, Yizhou. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s027553192100026x. Full description at Econpapers \|\| Download paper
2021	Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804. Full description at Econpapers \|\| Download paper
2021	Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141. Full description at Econpapers \|\| Download paper
2021	Variable annuities: Market incompleteness and policyholder behavior. (2021). Moenig, Thorsten. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:63-78. Full description at Econpapers \|\| Download paper
2021	Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428. Full description at Econpapers \|\| Download paper
2021	Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141. Full description at Econpapers \|\| Download paper
2021	Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341. Full description at Econpapers \|\| Download paper
2021	Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). (2021). Grasselli, Martino ; Callegaro, Giorgia ; Paees, Gilles. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:46:y:2021:i:1:p:221-254. Full description at Econpapers \|\| Download paper
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2021	Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes. (2020). Clinet, Simon. In: Papers. RePEc:arx:papers:2001.11624. Full description at Econpapers \|\| Download paper
2021	A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. (2021). Malevergne, Yannick ; da Fonseca, Jose. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725. Full description at Econpapers \|\| Download paper
2021	LOB modeling using Hawkes processes with a state-dependent factor. (2021). Toke, Ioane Muni ; Sfendourakis, Emmanouil. In: Papers. RePEc:arx:papers:2107.12872. Full description at Econpapers \|\| Download paper
2021	Dynamical Characteristics of Global Stock Markets Based on Time Dependent Tsallis Non-Extensive Statistics and Generalized Hurst Exponents. (2020). Karakatsanis, Leonidas P ; Antoniades, Ioannis P ; Pavlos, Evgenios G. In: Papers. RePEc:arx:papers:2012.06856. Full description at Econpapers \|\| Download paper
2021	The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591. Full description at Econpapers \|\| Download paper
2021	One model is not enough: Heterogeneity in cryptocurrenciesâ multifractal profiles. (2021). Fernandez Bariviera, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925. Full description at Econpapers \|\| Download paper
2021	Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents. (2021). Pavlos, E G ; Karakatsanis, L P ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003940. Full description at Econpapers \|\| Download paper
2021	Efficient valuation of variable annuity portfolios with dynamic programming. (2021). Moenig, Thorsten. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1023-1055. Full description at Econpapers \|\| Download paper
2021	Statistical arbitrage: Factor investing approach. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Hekimoglu, Alper ; Goncu, Ahmet ; Akyildirim, Erdinc. In: MPRA Paper. RePEc:pra:mprapa:105766. Full description at Econpapers \|\| Download paper
2021	Statistical Arbitrage: Factor Investing Approach. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Akyildirim, Erdinc ; Hekimoglu, Alper ; Goncu, Ahmet. In: Working Papers. RePEc:ipg:wpaper:2021-003. Full description at Econpapers \|\| Download paper
2021	Confronting Machine Learning With Financial Research. (2021). Kim, Jack ; el Harzli, Ouns ; Lommers, Kristof. In: Papers. RePEc:arx:papers:2103.00366. Full description at Econpapers \|\| Download paper
2021	Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336. Full description at Econpapers \|\| Download paper
2021	Order flow and price formation. (2021). Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2105.00521. Full description at Econpapers \|\| Download paper
2021	Data-driven Hedging of Stock Index Options via Deep Learning. (2021). Li, Lingfei ; Chen, Jie. In: Papers. RePEc:arx:papers:2111.03477. Full description at Econpapers \|\| Download paper
2021	Deep Learning Market Microstructure: Dual-Stage Attention-Based Recurrent Neural Networks. (2021). Park, Sukjin ; Chung, Chaeshick. In: Working Papers. RePEc:sgo:wpaper:2108. Full description at Econpapers \|\| Download paper
2021	On the Solution of the BlackâScholes Equation Using Feed-Forward Neural Networks. (2021). Polat, Refet ; Gunel, Korhan ; Eskiizmirliler, Saadet. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:3:d:10.1007_s10614-020-10070-w. Full description at Econpapers \|\| Download paper
2021	No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging. (2021). Nakagawa, Kei ; Minami, Kentaro ; Ito, Katsuya ; Imajo, Kentaro ; Imaki, Shota. In: Papers. RePEc:arx:papers:2103.01775. Full description at Econpapers \|\| Download paper
2021	Moment-matching approximations for stochastic sums in non-Gaussian OrnsteinâUhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247. Full description at Econpapers \|\| Download paper
2021	Pricing Asian Options with Correlators. (2021). Lavagnini, Silvia. In: Papers. RePEc:arx:papers:2104.11684. Full description at Econpapers \|\| Download paper
2021	Does Gold Retain its Hedge and Safe Haven Role for Energy Sector Indices During COVID-19 Pandemic? A Crossquantilogram Approach. (2021). Raju, Guntur Anjana ; Manohar, Jambotkar Mrunali. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-29. Full description at Econpapers \|\| Download paper
2021	A note on investor happiness and the predictability of realized volatility of gold. (2021). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303524. Full description at Econpapers \|\| Download paper
2021	Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Adediran, Idris ; Lakhani, Kanwal Hammad ; Yinusa, Olalekan D. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624. Full description at Econpapers \|\| Download paper
2021	Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market. (2021). Kallinterakis, Vasileios ; Charteris, Ailie. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000703. Full description at Econpapers \|\| Download paper
2021	Gold, platinum, and industry stock returns. (2021). Rudolf, Markus ; Thuy, Quynh Thi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:252-266. Full description at Econpapers \|\| Download paper
2021	The effects of commodity financialization on commodity market volatility. (2021). Du, Min ; Zheng, Dandan ; Cui, Tianxiang ; Ding, Shusheng. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002312. Full description at Econpapers \|\| Download paper
2021	Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period. (2021). Sarker, Ashutosh ; Brooks, Robert ; Tanin, Tauhidul Islam . In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001988. Full description at Econpapers \|\| Download paper
2021	Multi-step metal prices forecasting based on a data preprocessing method and an optimized extreme learning machine by marine predators algorithm. (2021). Wu, Jing ; Wang, Shouyang ; Sun, Shaolong ; Guo, Jue ; Du, Pei. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003445. Full description at Econpapers \|\| Download paper
2021	Do volatility indices diminish golds appeal as a safe haven to investors before and during the COVID-19 pandemic?. (2021). Shahbaz, Muhammad ; Sarker, Ashutosh ; Hammoudeh, Shawkat ; Tanin, Tauhidul Islam. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:214-235. Full description at Econpapers \|\| Download paper
2021	Sensitivity of Performance Indexes to Disaster Risk. (2021). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:40-:d:498644. Full description at Econpapers \|\| Download paper
2021	Evaluation of performance of stock and real estate investment trust markets in Japan. (2021). Hodoshima, Jiro. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01869-5. Full description at Econpapers \|\| Download paper
2021	Identifying the fair value of Sharpe ratio by an option valuation approach. (2021). Li, Xiu-Yan ; Lu, Jin-Ray. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:63-70. Full description at Econpapers \|\| Download paper
2021	Orthant-based variance decomposition in investment portfolios. (2021). Giner, Javier. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:497-511. Full description at Econpapers \|\| Download paper
2021	Fractal statistical measure and portfolio model optimization under power-law distribution. (2021). Yan, Ruzhen ; Li, Jia ; Zhang, Linlin ; Wu, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001169. Full description at Econpapers \|\| Download paper
2021	Variance and volatility swaps valuations with the stochastic liquidity risk. (2021). Huang, Nan-Jing ; Kang, Jian-Hao ; Yang, Ben-Zhang ; Xu, De-Xuan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309778. Full description at Econpapers \|\| Download paper
2021	Inferring Financial Bubbles from Option Data. (2020). Kwok, Simon Sai Man ; Jarrow, Robert. In: Working Papers. RePEc:syd:wpaper:2020-04. Full description at Econpapers \|\| Download paper
2021	The international spread of COVID-19 stock market collapses. (2021). De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317086. Full description at Econpapers \|\| Download paper
2021	Optimal Investment and Consumption under a Habit-Formation Constraint. (2021). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman. In: Papers. RePEc:arx:papers:2102.03414. Full description at Econpapers \|\| Download paper
2021	The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. (2020). Oosterlee, Cornelis W ; Grzelak, Lech A ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2009.03202. Full description at Econpapers \|\| Download paper
2021	Fast Sampling from Time-Integrated Bridges using Deep Learning. (2021). Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2111.13901. Full description at Econpapers \|\| Download paper
2021	An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options. (2021). Hassan, Kamrul ; Hoque, Ariful ; Le, Thi. In: JOItmC. RePEc:gam:joitmc:v:7:y:2021:i:1:p:23-:d:477544. Full description at Econpapers \|\| Download paper
2021	Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2021). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303467. Full description at Econpapers \|\| Download paper
2021	The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. (2021). Schwerin, Stefan ; Schmeck, Maren Diane. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:100-:d:557359. Full description at Econpapers \|\| Download paper
2021	Pricing volatility-equity options under the modified constant elasticity of variance model. (2021). Wang, Xingchun. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310414. Full description at Econpapers \|\| Download paper
2021	Optimal time-varying tail risk network with a rolling window approach. (2021). Zhang, Shuai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004003. Full description at Econpapers \|\| Download paper
2021	A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection. (2021). Gorse, Denise ; Kisiel, Damian. In: Papers. RePEc:arx:papers:2111.05935. Full description at Econpapers \|\| Download paper
2021	Numerical valuation of American basket options via partial differential complementarity problems. (2021). Snoeijer, Jacob ; In, Karel. In: Papers. RePEc:arx:papers:2106.01200. Full description at Econpapers \|\| Download paper
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2021	Semiparametric partial common principal component analysis for covariance matrices. (2021). Zhao, YI ; Luo, XI ; Wang, Bingkai ; Caffo, Brian. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:4:p:1175-1186. Full description at Econpapers \|\| Download paper
2021	Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method. (2021). Lou, Zhu-Sheng ; Li, Yong ; Wu, Wen-Bo ; Zhang, Jin-Yu. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:3:d:10.1007_s10614-020-10055-9. Full description at Econpapers \|\| Download paper
2021	Endogenous liquidity risk and dealer market structure. (2021). Jarrow, Robert ; Li, Siguang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:449-453. Full description at Econpapers \|\| Download paper
2021	Liquidity in competitive dealer markets. (2021). Muhlekarbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:827-856. Full description at Econpapers \|\| Download paper
2021	A characterisation of cross-impact kernels. (2021). Tomas, Mehdi ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2107.08684. Full description at Econpapers \|\| Download paper
2021	Cross impact in derivative markets. (2021). Mastromatteo, Iacopo ; Tomas, Mehdi ; Benzaquen, Michael. In: Working Papers. RePEc:hal:wpaper:hal-03378903. Full description at Econpapers \|\| Download paper
2021	Instabilities in Multi-Asset and Multi-Agent Market Impact Games. (2020). Lillo, Fabrizio ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:2004.03546. Full description at Econpapers \|\| Download paper
2021	Dynamic Default Contagion in Interbank Systems. (2020). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2010.15254. Full description at Econpapers \|\| Download paper
2021	Robust deep hedging. (2021). Sester, Julian ; Schmidt, Thorsten ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2106.10024. Full description at Econpapers \|\| Download paper
2021	Martingale transport with homogeneous stock movements. (2019). Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1908.10242. Full description at Econpapers \|\| Download paper
2021	Model-free price bounds under dynamic option trading. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2101.01024. Full description at Econpapers \|\| Download paper
2021	Does blockchain patent-development influence Bitcoin risk?. (2021). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Hu, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301475. Full description at Econpapers \|\| Download paper
2021	Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. (2021). Neslihanoglu, Serdar. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00247-z. Full description at Econpapers \|\| Download paper
2021	The entry and exit dynamics of the cryptocurrency market. (2021). Vidal-Tomas, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001252. Full description at Econpapers \|\| Download paper
2021	Cyber-attacks, spillovers and contagion in the cryptocurrency markets. (2021). Caporale, Guglielmo Maria ; Spagnolo, Nicola ; Kang, Woo-Young. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000172. Full description at Econpapers \|\| Download paper
2021	Compensatory model for quantile estimation and application to VaR. (2021). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2112.07278. Full description at Econpapers \|\| Download paper
2021	WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407. Full description at Econpapers \|\| Download paper
2021	The Bitcoin gold correlation puzzle. (2021). Hoang, Lai ; Baur, Dirk G. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001052. Full description at Econpapers \|\| Download paper
2021	Volatility models for cryptocurrencies and applications in the options market. (2021). Hao, Wenyan ; Chi, Yeguang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001359. Full description at Econpapers \|\| Download paper
2021	Finite population games of optimal execution. (2020). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2004.00790. Full description at Econpapers \|\| Download paper
2021	Radical Complexity. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2103.09692. Full description at Econpapers \|\| Download paper
2021	Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2021). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Post-Print. RePEc:hal:journl:hal-02998555. Full description at Econpapers \|\| Download paper
2021	Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57. Full description at Econpapers \|\| Download paper
2021	Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923. Full description at Econpapers \|\| Download paper
2021	Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: Papers. RePEc:arx:papers:2006.13539. Full description at Econpapers \|\| Download paper
2021	Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: UniversitÃÂ© Paris1 PanthÃÂ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02877569. Full description at Econpapers \|\| Download paper
2021	Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Jaber, Eduardo Abi ; Miller, Enzo ; Pham, Huyen. In: Post-Print. RePEc:hal:journl:hal-02877569. Full description at Econpapers \|\| Download paper
2021	Passive ESG Portfolio ManagementâThe Benchmark Strategy for Socially Responsible Investors. (2021). Weinmayer, Karl ; Rammerstorfer, Margarethe ; Amon, Julian. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:16:p:9388-:d:618851. Full description at Econpapers \|\| Download paper
2021	A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505. Full description at Econpapers \|\| Download paper
2021	Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert F ; Conrad, Christian. In: Working Paper series. RePEc:rim:rimwps:21-05. Full description at Econpapers \|\| Download paper
2021	Stock market volatility and public information flow: A non-linear perspective. (2021). Borup, Daniel ; Bertelsen, Kristoffer Pons ; Jakobsen, Johan Stax. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001828. Full description at Econpapers \|\| Download paper
2021	Sparse factor model based on trend filtering. (2021). Fabozzi, Frank J ; Kim, Woo Chang ; Ho, Jang. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-021-04029-9. Full description at Econpapers \|\| Download paper
2021	VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:785-810. Full description at Econpapers \|\| Download paper
2021	Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499. Full description at Econpapers \|\| Download paper
2021	ProyecciÃ³n Markoviana para 2020 y 2021 de las Calificaciones Corporativas en MÃ©xico. (2021). Pacheco, Christian Bucio ; Martinez, David Conaly ; Rosales, Alejandra Cabello. In: Remef - Revista Mexicana de EconomÃa y Finanzas Nueva Ãpoca REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:p:1-21. Full description at Econpapers \|\| Download paper
2021	ProyecciÃ³n Markoviana para 2020 y 2021 de las Calificaciones Corporativas en MÃ©xico. (2021). Rosales, Alejandra Cabello ; Pacheco, Christian Bucio ; Martinez, David Conaly. In: Remef - Revista Mexicana de EconomÃa y Finanzas Nueva Ãpoca REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:a:3. Full description at Econpapers \|\| Download paper
2021	Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices. (2021). Charles-Cadogan, G. In: CRETA Online Discussion Paper Series. RePEc:wrk:wcreta:71. Full description at Econpapers \|\| Download paper
2021	Pricing discretely-monitored double barrier options with small probabilities of execution. (2021). Zuev, Konstantin M ; Pantelous, Athanasios A ; Mendonca, Keegan ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:313-330. Full description at Econpapers \|\| Download paper
2021	Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates. (2021). Cui, Zhenyu ; Ma, Jingtang ; Yang, Wensheng. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:93:y:2021:i:2:d:10.1007_s00186-020-00735-5. Full description at Econpapers \|\| Download paper
2021	Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694. Full description at Econpapers \|\| Download paper
2021	Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers \|\| Download paper
2021	Exchange rate shocks in multicurrency interbank markets. (2021). Stefan, Martin ; Siklos, Pierre L. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000486. Full description at Econpapers \|\| Download paper
2021	A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362. Full description at Econpapers \|\| Download paper
2021	Asset pricing with general transaction costs: Theory and numerics. (2021). Shi, Xiaofei ; Muhlekarbe, Johannes ; Gonon, Lukas. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:595-648. Full description at Econpapers \|\| Download paper
2021	Sovereign Default Forecasting in the Era of the COVID-19 Crisis. (2021). Kristof, Tamas. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:494-:d:657397. Full description at Econpapers \|\| Download paper
2021	Fear of the Coronavirus and Cryptocurrencies returns. (2021). Hadhri, Sinda. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00507. Full description at Econpapers \|\| Download paper
2021	Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions. (2021). Chen, Jinyu ; Zhu, Xuehong. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002543. Full description at Econpapers \|\| Download paper
2021	Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252. Full description at Econpapers \|\| Download paper
2021	Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071. Full description at Econpapers \|\| Download paper
2021	The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452. Full description at Econpapers \|\| Download paper
2021	Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers \|\| Download paper
2021	Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers \|\| Download paper
2021	The COVID Crash of the 2020 U.S. Stock Market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: Papers. RePEc:arx:papers:2101.03625. Full description at Econpapers \|\| Download paper
2021	Exploring the Endogenous Nature of Meme Stocks Using the Log-Periodic Power Law Model and Confidence Indicator. (2021). Takagi, Hideyuki. In: Papers. RePEc:arx:papers:2110.06190. Full description at Econpapers \|\| Download paper
2021	The âCOVIDâ crash of the 2020 U.S. Stock market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001170. Full description at Econpapers \|\| Download paper
2021	Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach. (2021). ben Jabeur, Sami ; Serret, Vanessa ; Mefteh-Wali, Salma ; Gharib, Cheima. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004013. Full description at Econpapers \|\| Download paper
2021	The 2020 Global Stock Market Crash: Endogenous or Exogenous?. (2021). Zhu, Wei ; Shu, Min ; Song, Ruiqiang. In: Papers. RePEc:arx:papers:2101.00327. Full description at Econpapers \|\| Download paper
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2021	Estimating the BIS Capital Adequacy Ratio for Korean Banks Using Machine Learning: Predicting by Variable Selection Using Random Forest Algorithms. (2021). Shin, Minsoo ; Park, Jaewon ; Heo, Wookjae. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:32-:d:490781. Full description at Econpapers \|\| Download paper
2021	Improvements in PD models. A case-study approach. (2021). Alecsandru, Strat Vasile ; Traian, Pele Daniel ; Manuela-Simona, Cojocea ; Dana, Caplescu Raluca. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:15:y:2021:i:1:p:13-32:n:40. Full description at Econpapers \|\| Download paper
2021	Multivariate tempered stable additive subordination for financial models. (2021). Semeraro, Patrizia. In: Papers. RePEc:arx:papers:2105.00844. Full description at Econpapers \|\| Download paper
2021	Optimal annuity demand for general expected utility agents. (2021). Levante, Lucia ; de Gennaro, Luca ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:70-79. Full description at Econpapers \|\| Download paper
2021	Time-varying pattern causality inference in global stock markets. (2021). Liu, Siyao ; An, Sufang ; Gao, Xiangyun ; Wu, Tao. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001423. Full description at Econpapers \|\| Download paper
2021	Dynamic Equilibrium of Market Making with Price Competition. (2021). Zheng, Harry ; Luo, Jialiang. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:11:y:2021:i:3:d:10.1007_s13235-020-00373-w. Full description at Econpapers \|\| Download paper
2021	Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141. Full description at Econpapers \|\| Download paper
2021	Improving the naive diversification: An enhanced indexation approach. (2021). Wu, Baiyi ; Huang, Qin ; Li, Helong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302579. Full description at Econpapers \|\| Download paper
2021	Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach. (2021). GUPTA, RANGAN ; Ma, Shu-Jiao ; Bouri, Elie ; Zhang, Yue-Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301868. Full description at Econpapers \|\| Download paper
2021	News-based equity market uncertainty and crude oil volatility. (2021). Saeed, Tareq ; Bouri, Elie ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:222:y:2021:i:c:s0360544221001791. Full description at Econpapers \|\| Download paper
2021	The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255. Full description at Econpapers \|\| Download paper
2021	Forecasting the stock returns of Chinese oil companies: Can investor attention help?. (2021). Li, Zhao-Chen ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:531-555. Full description at Econpapers \|\| Download paper
2021	Does tracking the infectious diseases impact the gold, oil and US dollar returns and correlation? A quantile regression approach. (2021). Saidat, Zaid ; Matar, Ali ; Mensi, Walid ; Alomari, Mohammad ; al Rababa, Abdel Razzaq. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003214. Full description at Econpapers \|\| Download paper
2021	JDOI Variance Reduction Method and the Pricing of American-Style Options. (2021). Fabio, Maeder ; Ludovic, Mathys ; Johan, Auster. In: Papers. RePEc:arx:papers:2104.01365. Full description at Econpapers \|\| Download paper
2021	Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate. (2021). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00287-7. Full description at Econpapers \|\| Download paper
2021	Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320. Full description at Econpapers \|\| Download paper
2021	Modelling corporate bank accounts. (2021). Crockett, Keeley ; Slater-Petty, Helen ; Gerber, Luciano ; Griguta, Vlad-Marius ; Fry, John. In: Economics Letters. RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002019. Full description at Econpapers \|\| Download paper
2021	A general framework for a joint calibration of VIX and VXX options. (2020). Mazzoran, Andrea ; Grasselli, Martino ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2012.08353. Full description at Econpapers \|\| Download paper
2021	Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, AndrÃÂ©s ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370. Full description at Econpapers \|\| Download paper
2021	Catastrophic risks and the pricing of catastrophe equity put options. (2021). Tassinari, Gian Luca ; Quaranta, Anna Grazia ; Bianchi, Michele Leonardo ; ARNONE, MASSIMO . In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00391-y. Full description at Econpapers \|\| Download paper
2021	No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process. (2021). Rathgeber, Andreas W ; Stadler, Johannes ; Ulze, Markus. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:163-184. Full description at Econpapers \|\| Download paper
2021	Monte Carlo Simulation of SDEs using GANs. (2021). Liu, Shuaiqiang ; Grzelak, Lech A ; Oosterlee, Cornelis W ; van Rhijn, Jorino. In: Papers. RePEc:arx:papers:2104.01437. Full description at Econpapers \|\| Download paper
2021	Generative Adversarial Network: Some Analytical Perspectives. (2021). Cao, Haoyang ; Guo, Xin. In: Papers. RePEc:arx:papers:2104.12210. Full description at Econpapers \|\| Download paper
2021	cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope. (2021). Nielsen, Frank ; Goubet, Victor ; Marti, Gautier. In: Papers. RePEc:arx:papers:2107.10606. Full description at Econpapers \|\| Download paper
2021	Deep Hedging under Rough Volatility. (2021). Nuri, A ; Teichmann, Josef ; Horvath, Blanka. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:138-:d:597662. Full description at Econpapers \|\| Download paper
2021	A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742. Full description at Econpapers \|\| Download paper
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2021	A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881. Full description at Econpapers \|\| Download paper
2021	An analysis of electricity congestion price patterns in North America. (2021). Ibrahim, Zinatu ; Godin, Frederic. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003893. Full description at Econpapers \|\| Download paper
2021	Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968. Full description at Econpapers \|\| Download paper
2021	Functional quantization of rough volatility and applications to the VIX. (2021). Jacquier, Antoine ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2104.04233. Full description at Econpapers \|\| Download paper
2021	Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987. Full description at Econpapers \|\| Download paper
2021	Stock Marketâs responses to intraday investor sentiment. (2021). Ryu, Doojin ; Cho, Hoon ; Ik, Sang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001340. Full description at Econpapers \|\| Download paper
2021	Convergence of Deep Fictitious Play for Stochastic Differential Games. (2020). Long, Jihao ; Hu, Ruimeng ; Han, Jiequn. In: Papers. RePEc:arx:papers:2008.05519. Full description at Econpapers \|\| Download paper
2021	Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency. (2021). GILLET, Roland ; Veryzhenko, Iryna ; Ligot, Stephanie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001499. Full description at Econpapers \|\| Download paper
2021	Predicting risk in energy markets: Low-frequency data still matter. (2021). VÃÂ½rost, TomÃ¡Å¡ ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567. Full description at Econpapers \|\| Download paper
2021	Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach. (2021). Yang, Qiao ; Liu, Jia ; Jin, Xin. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:45-:d:695927. Full description at Econpapers \|\| Download paper
2021	Asymmetry, tail risk and time series momentum. (2021). Wang, Shixuan ; Lu, Shanglin ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002581. Full description at Econpapers \|\| Download paper
2021	How trading in commodity futures option markets impacts commodity futures prices. (2021). He, Feng ; Yu, Xiaoli ; Lin, Yu Ting ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1333-1347. Full description at Econpapers \|\| Download paper
2021	Convertible bond valuation with regime switching. (2021). Jang, Bong-Gyu ; Kim, Byung-June. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921005555. Full description at Econpapers \|\| Download paper
2021	Bank Capital Structure Dynamics and Covid-19: Evidence from South Asia. (2021). Mohammad, Khalil ; Khan, Mohsin Raza. In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:3:y:2021:i:3:p:293-304. Full description at Econpapers \|\| Download paper
2021	Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536. Full description at Econpapers \|\| Download paper
2021	Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions. (2021). TERESIENE, DEIMANTE ; Kanapickiene, Rasa ; Jurksas, Linas. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:35-:d:514849. Full description at Econpapers \|\| Download paper
2021	Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. (2021). Zhang, Xin ; Chen, Zhixue ; Wu, Lan. In: Papers. RePEc:arx:papers:2104.12484. Full description at Econpapers \|\| Download paper
2021	Analyzing a Decade of Wind Turbine Accident News with Topic Modeling. (2021). Kailas, Lakshmi ; Ertek, Gurdal. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:22:p:12757-:d:682004. Full description at Econpapers \|\| Download paper
2021	The role of investor attention in predicting stock prices: The long short-term memory networks perspective. (2021). Zhang, Yongjie ; Shen, Dehua ; Chu, Gang. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310943. Full description at Econpapers \|\| Download paper
2021	An efficient stock market prediction model using hybrid feature reduction method based on variational autoencoders and recursive feature elimination. (2021). Gunduz, Hakan. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00243-3. Full description at Econpapers \|\| Download paper
2021	A decomposition-ensemble model with regrouping method and attention-based gated recurrent unit network for energy price prediction. (2021). Liu, Cheng ; Xu, Kunliang ; Niu, Hongli. In: Energy. RePEc:eee:energy:v:231:y:2021:i:c:s0360544221011890. Full description at Econpapers \|\| Download paper
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2021	Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425. Full description at Econpapers \|\| Download paper

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2021	. Full description at Econpapers \|\| Download paper
2021	Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers \|\| Download paper
2021	The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers \|\| Download paper
2021	Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551. Full description at Econpapers \|\| Download paper
2021	Functional quantization of rough volatility and applications to the VIX. (2021). Jacquier, Antoine ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2104.04233. Full description at Econpapers \|\| Download paper
2021	Generative Adversarial Networks in finance: an overview. (2021). Osterrieder, Joerg ; Eckerli, Florian. In: Papers. RePEc:arx:papers:2106.06364. Full description at Econpapers \|\| Download paper
2021	Robust deep hedging. (2021). Sester, Julian ; Schmidt, Thorsten ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2106.10024. Full description at Econpapers \|\| Download paper
2021	On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758. Full description at Econpapers \|\| Download paper
2021	Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721. Full description at Econpapers \|\| Download paper
2021	cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope. (2021). Nielsen, Frank ; Goubet, Victor ; Marti, Gautier. In: Papers. RePEc:arx:papers:2107.10606. Full description at Econpapers \|\| Download paper
2021	Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers \|\| Download paper
2021	Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141. Full description at Econpapers \|\| Download paper
2021	Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. (2021). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed. In: Papers. RePEc:arx:papers:2109.04001. Full description at Econpapers \|\| Download paper
2021	On certain representations of pricing functionals. (2021). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2109.05564. Full description at Econpapers \|\| Download paper
2021	A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742. Full description at Econpapers \|\| Download paper
2021	Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320. Full description at Econpapers \|\| Download paper
2021	Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers \|\| Download paper
2021	Multi-Asset Spot and Option Market Simulation. (2021). Bai, Lianjun ; Murray, Phillip ; Buehler, Hans ; Korn, Ralf ; Pachoud, Alexandre ; Wood, Ben ; Wiese, Magnus. In: Papers. RePEc:arx:papers:2112.06823. Full description at Econpapers \|\| Download paper
2021	Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers \|\| Download paper
2021	Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis. (2021). Pattnaik, Debidutta ; Lim, Weng Marc ; Kumar, Satish ; Goodell, John W. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001210. Full description at Econpapers \|\| Download paper
2021	CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804. Full description at Econpapers \|\| Download paper
2021	Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Chang, Xiaoming ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297. Full description at Econpapers \|\| Download paper
2021	On the stability of stablecoins. (2021). Sapkota, Niranjan ; Kolari, James W ; Junttila, Juha ; Grobys, Klaus. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:207-223. Full description at Econpapers \|\| Download paper
2021	A multi-factor approach to modelling the impact of wind energy on electricity spot prices. (2021). Gruet, Pierre ; Rowiska, Paulina A. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953. Full description at Econpapers \|\| Download paper
2021	Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results. (2021). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004977. Full description at Econpapers \|\| Download paper
2021	Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526. Full description at Econpapers \|\| Download paper
2021	VCRIX â A volatility index for crypto-currencies. (2021). HÃÂ¤rdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416. Full description at Econpapers \|\| Download paper
2021	Deep hedging of long-term financial derivatives. (2021). Carbonneau, Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:327-340. Full description at Econpapers \|\| Download paper
2021	Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets. (2021). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:117-136. Full description at Econpapers \|\| Download paper
2021	The internal connection analysis of information sharing and investment performance in the venture capital network community. (2021). Chen, Min ; Zhong, Ziqi ; Sun, Kaiyang ; Feng, Bing. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112731. Full description at Econpapers \|\| Download paper
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2021	A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Zhu, Yichen. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076. Full description at Econpapers \|\| Download paper
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2021	Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint. (2021). Prepuk, Andrea ; Muratov-Szabo, Kira ; Friesz, Melinda ; Varadi, Kata. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:148-:d:617590. Full description at Econpapers \|\| Download paper
2021	Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724. Full description at Econpapers \|\| Download paper
2021	Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244. Full description at Econpapers \|\| Download paper
2021	Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202113. Full description at Econpapers \|\| Download paper
2021	Model uncertainty on commodity portfolios, the role of convenience yield. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Chen, Junhe. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00393-5. Full description at Econpapers \|\| Download paper
2021	Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: MPRA Paper. RePEc:pra:mprapa:108421. Full description at Econpapers \|\| Download paper
2021	Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty. (2021). GUPTA, RANGAN ; Ma, Feng ; Cepni, Oguzhan ; Wang, Jiqian. In: Working Papers. RePEc:pre:wpaper:202173. Full description at Econpapers \|\| Download paper
2021	Quantile-based optimal portfolio selection. (2021). Tyrcha, Joanna ; Thorsen, Erik ; Lindholm, Mathias ; Bodnar, Taras. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00395-8. Full description at Econpapers \|\| Download paper
2021	A new approach to wind power futures pricing. (2021). Hess, Markus. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00345-8. Full description at Econpapers \|\| Download paper
2021	A note on calculating expected shortfall for discrete time stochastic volatility models. (2021). Christou, Eliana ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00254-0. Full description at Econpapers \|\| Download paper
2021	Duality theory for robust utility maximisation. (2021). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00455-6. Full description at Econpapers \|\| Download paper
2021	Robust state-dependent meanâvariance portfolio selection: a closed-loop approach. (2021). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00457-4. Full description at Econpapers \|\| Download paper
2021	Robust Arbitrage Conditions for Financial Markets. (2021). Zhang, Shuzong ; Singh, Derek. In: SN Operations Research Forum. RePEc:spr:snopef:v:2:y:2021:i:3:d:10.1007_s43069-021-00073-0. Full description at Econpapers \|\| Download paper
2021	Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2021/45. Full description at Econpapers \|\| Download paper

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Recent citations received in 2020

Year	Citing document
2020	Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2001.08442. Full description at Econpapers \|\| Download paper
2020	A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194. Full description at Econpapers \|\| Download paper
2020	Old Problems, Classical Methods, New Solutions. (2020). Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.06903. Full description at Econpapers \|\| Download paper
2020	One model does not fit all: a multi-scale analysis of eighty-four cryptocurrencies. (2020). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:2003.09720. Full description at Econpapers \|\| Download paper
2020	Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers \|\| Download paper
2020	Effects of MiFID II on stock price formation. (2020). De Vilder, Robin ; Kleijn, Bas ; Derksen, Mike. In: Papers. RePEc:arx:papers:2003.10353. Full description at Econpapers \|\| Download paper
2020	A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.10502. Full description at Econpapers \|\| Download paper
2020	From code to market: Network of developers and correlated returns of cryptocurrencies. (2020). Baronchelli, Andrea ; Gallo, Angela ; Lepri, Bruno ; Alessandretti, Laura ; Lucchini, Lorenzo. In: Papers. RePEc:arx:papers:2004.07290. Full description at Econpapers \|\| Download paper
2020	Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:2005.05730. Full description at Econpapers \|\| Download paper
2020	Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390. Full description at Econpapers \|\| Download paper
2020	Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458. Full description at Econpapers \|\| Download paper
2020	An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515. Full description at Econpapers \|\| Download paper
2020	Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks. (2020). Roche, Jules ; Lezmi, Edmond ; Xu, Jiali ; Roncalli, Thierry. In: Papers. RePEc:arx:papers:2007.04838. Full description at Econpapers \|\| Download paper
2020	Pricing Options Under Rough Volatility with Backward SPDEs. (2020). Yao, Yao ; Qiu, Jinniao ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.01241. Full description at Econpapers \|\| Download paper
2020	Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M. In: Papers. RePEc:arx:papers:2009.05652. Full description at Econpapers \|\| Download paper
2020	CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764. Full description at Econpapers \|\| Download paper
2020	A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402. Full description at Econpapers \|\| Download paper
2020	The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890. Full description at Econpapers \|\| Download paper
2020	Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900. Full description at Econpapers \|\| Download paper
2020	A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256. Full description at Econpapers \|\| Download paper
2020	Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147. Full description at Econpapers \|\| Download paper
2020	An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers \|\| Download paper
2020	The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk. (2020). Ida, Yuuki ; Akahori, Jiro ; Tamada, Shuji ; Nishida, Maho. In: Papers. RePEc:arx:papers:2012.09606. Full description at Econpapers \|\| Download paper
2020	Adversarial trading. (2020). Miot, Alexandre. In: Papers. RePEc:arx:papers:2101.03128. Full description at Econpapers \|\| Download paper
2020	Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324. Full description at Econpapers \|\| Download paper
2020	Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403. Full description at Econpapers \|\| Download paper
2020	The impact of blockchain related name changes on corporate performance. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Yarovaya, Larisa ; Akyildirim, Erdinc. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302030. Full description at Econpapers \|\| Download paper
2020	Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901. Full description at Econpapers \|\| Download paper
2020	Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data. (2020). Vo, Xuan Vinh ; Kang, Sang Hoon ; Wanas, Idries Mohammad ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301777. Full description at Econpapers \|\| Download paper
2020	What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131. Full description at Econpapers \|\| Download paper
2020	Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. (2020). McGee, Richard ; Conlon, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304244. Full description at Econpapers \|\| Download paper
2020	Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177. Full description at Econpapers \|\| Download paper
2020	Volatility persistence in cryptocurrency markets under structural breaks. (2020). Madigu, Godfrey ; Gil-Alana, Luis ; Romero-Rojo, Fatima ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691. Full description at Econpapers \|\| Download paper
2020	Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. (2020). Corbet, Shaen ; Conlon, Thomas ; McGee, Richard J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304438. Full description at Econpapers \|\| Download paper
2020	Improving Thermochemical Energy Storage Dynamics Forecast with Physics-Inspired Neural Network Architecture. (2020). Oladyshkin, Sergey ; Walser, Thilo ; Praditia, Timothy ; Nowak, Wolfgang. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3873-:d:391364. Full description at Econpapers \|\| Download paper
2020	Portfolio Theory in Solving the Problem Structural Choice. (2020). Sukharev, Oleg S. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:195-:d:407294. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). arbia, giuseppe ; Bramante, Riccardo ; Facchinetti, Silvia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:95-:d:410286. Full description at Econpapers \|\| Download paper
2020	Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks. (2020). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:116-:d:439775. Full description at Econpapers \|\| Download paper
2020	Volatility in Rainfall and Predictability of Droughts in Northwest Bangladesh. (2020). Kamal, Asm Maksud ; Ahsanuddin, Mohammad ; Chung, Eun-Sung ; Shahid, Shamsuddin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:23:p:9810-:d:450246. Full description at Econpapers \|\| Download paper
2020	Sovereign Credit Spread Spillovers in Asia. (2020). Liang, Jufang ; Guo, Biao ; Han, Qian ; Yu, Jinyoung ; Ryu, Doojin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1472-:d:321357. Full description at Econpapers \|\| Download paper
2020	Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-02877569. Full description at Econpapers \|\| Download paper
2020	Robust utility maximization under model uncertainty via a penalization approach. (2020). Ning, Wei ; Loeper, Gregoire ; Langrene, Nicolas ; Guo, Ivan. In: Working Papers. RePEc:hal:wpaper:hal-02910261. Full description at Econpapers \|\| Download paper
2020	Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Bouchaud, Jean-Philippe ; Fosset, Antoine ; Benzaquen, Michael. In: Working Papers. RePEc:hal:wpaper:hal-02998555. Full description at Econpapers \|\| Download paper
2020	How Boltzmann Entropy Improves Prediction with LSTM. (2020). Grilli, Luca ; Santoro, Domenico. In: MPRA Paper. RePEc:pra:mprapa:100578. Full description at Econpapers \|\| Download paper
2020	Predictive ability of investor sentiment for the stock market. (2020). Ryu, Doojin ; Kim, Karam. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:4:p:33-46. Full description at Econpapers \|\| Download paper
2020	Will they repay their debt? Identification of borrowers likely to be charged off. (2020). Alecsandru, Strat Vasile ; Traian, Pele Daniel ; Ana-Maria, Panaite ; Dana, Caplescu Raluca. In: Management & Marketing. RePEc:vrs:manmar:v:15:y:2020:i:3:p:393-409:n:4. Full description at Econpapers \|\| Download paper
2020	The devil is in the details, but so is salvation: Different approachesin money market measurement. (2020). Paulick, Jan ; Muller, Alexander. In: Discussion Papers. RePEc:zbw:bubdps:662020. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	The Power of Machine Learning in the Biological Context. (2019). Stbinger, Johannes. In: Biostatistics and Biometrics Open Access Journal. RePEc:adp:jbboaj:v:9:y:2019:i:4:p:102-104. 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	Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101. Full description at Econpapers \|\| Download paper
2019	A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417. Full description at Econpapers \|\| Download paper
2019	Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1910.01044. Full description at Econpapers \|\| Download paper
2019	Vol-of-vol expansion for (rough) forward variance models. (2019). Akdogan, Ozan. In: Papers. RePEc:arx:papers:1910.03245. Full description at Econpapers \|\| Download paper
2019	Deep Reinforcement Learning for Trading. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1911.10107. Full description at Econpapers \|\| Download paper
2019	Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165. Full description at Econpapers \|\| Download paper
2019	A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695. Full description at Econpapers \|\| Download paper
2019	The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold. (2019). Ftiti, Zied ; Madani, Mohamed Arbi. In: Papers. RePEc:arx:papers:1912.12590. Full description at Econpapers \|\| Download paper
2019	Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:625. Full description at Econpapers \|\| Download paper
2019	Simulating liquidity stress in the derivatives market. (2019). Ferrara, Gerardo ; Vause, Nicholas ; Bardoscia, Marco ; Yoganayagam, Michael. In: Bank of England working papers. RePEc:boe:boeewp:0838. Full description at Econpapers \|\| Download paper
2019	Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model. (2019). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1929. Full description at Econpapers \|\| Download paper
2019	Regulating the doom loop. (2019). Langfield, Sam ; Alogoskoufis, Spyros. In: Working Paper Series. RePEc:ecb:ecbwps:20192313. Full description at Econpapers \|\| Download paper
2019	An asymptotic expansion method for geometric Asian options pricing under the double Heston model. (2019). Gao, Xiong ; Zhang, Sumei. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:127:y:2019:i:c:p:1-9. Full description at Econpapers \|\| Download paper
2019	Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40. Full description at Econpapers \|\| Download paper
2019	Investment horizons, cash flow news, and the profitability of momentum and reversal strategies in the Chinese stock market. (2019). Xu, Tiange ; Qian, Zongxin ; Gang, Jianhua. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:364-371. Full description at Econpapers \|\| Download paper
2019	An information theory perspective on the informational efficiency of gold price. (2019). Fernandez Bariviera, Aurelio ; Rosso, Osvaldo A ; Sorrosal-Forradellas, Teresa M ; Font-Ferrer, Alejandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304534. Full description at Econpapers \|\| Download paper
2019	Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988. Full description at Econpapers \|\| Download paper
2019	Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120. Full description at Econpapers \|\| Download paper
2019	What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?. (2019). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303184. 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	Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387. 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	The Impact of International Oil Prices on the Stock Price Fluctuations of Chinaâs Renewable Energy Enterprises. (2019). Hsiao, Cody Yu-Ling ; Lin, Weishun ; Sheng, NI ; Yan, Gaoyun ; Wei, Xinyang. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:24:p:4630-:d:294742. Full description at Econpapers \|\| Download paper
2019	Effect of Policy Incentives on the Uptake of Electric Vehicles in China. (2019). Chen, Hong ; Long, Ruyin ; Li, Wenbo ; Yang, Muyi ; Zheng, Xiao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3323-:d:240257. Full description at Econpapers \|\| Download paper
2019	Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langrene, Nicolas ; Zhang, Rongju. In: Post-Print. RePEc:hal:journl:hal-02909342. Full description at Econpapers \|\| Download paper
2019	Submodular Risk Allocation. (2019). Glasserman, Paul ; Ghamami, Samim. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4656-4675. Full description at Econpapers \|\| Download paper
2019	Hedge and safe haven investing with investment styles. (2019). Peltomaki, Jarkko ; Khrashchevskyi, Ian ; Hou, Ai Jun . In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00127-3. Full description at Econpapers \|\| Download paper
2019	The distribution of the average of log-normal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula. (2019). Alghalith, Moawia. In: MPRA Paper. RePEc:pra:mprapa:105588. Full description at Econpapers \|\| Download paper
2019	Rating firms and sensitivity analysis. (2019). Magni, Carlo Alberto ; Mastroleo, Giovanni ; Marchioni, Andrea ; MALAGOLI, STEFANO. In: MPRA Paper. RePEc:pra:mprapa:95265. Full description at Econpapers \|\| Download paper
2019	The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula. (2019). Alghalith, Moawia. In: MPRA Paper. RePEc:pra:mprapa:97324. Full description at Econpapers \|\| Download paper
2019	Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data. (2019). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal ; Boubaker, Heni. In: Working Papers. RePEc:pre:wpaper:201941. Full description at Econpapers \|\| Download paper
2019	Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201943. Full description at Econpapers \|\| Download paper
2019	Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951. Full description at Econpapers \|\| Download paper
2019	Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966. Full description at Econpapers \|\| Download paper
2019	Extreme at-the-money skew in a local volatility model. (2019). Pigato, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00406-2. Full description at Econpapers \|\| Download paper
2019	An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution. (2019). Bee, Marco ; Trapin, Luca ; Hambuckers, Julien. In: DEM Working Papers. RePEc:trn:utwprg:2019/11. Full description at Econpapers \|\| Download paper
2019	AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS. (2019). Peng, Qidi ; Schellhorn, Henry ; Liu, Chen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500444. Full description at Econpapers \|\| Download paper

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	Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts. (2018). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1801.07044. Full description at Econpapers \|\| Download paper
2018	Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Grbac, Zorana ; Gerhart, Christoph ; Eberlein, Ernst. In: Papers. RePEc:arx:papers:1805.02605. 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	Deep calibration of rough stochastic volatility models. (2018). Stemper, Benjamin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1810.03399. 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	Affine Rough Models. (2018). Pulido, Sergio ; Larsson, Martin ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1812.08486. 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	Dynamic conditional relationships between developed and emerging markets. (2018). Song, Wonho ; Park, Sung Y. ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:534-543. Full description at Econpapers \|\| Download paper
2018	Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis. (2018). Valaskova, Katarina ; Kliestik, Tomas ; Adamko, Peter ; Svabova, Lucia. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2144-:d:154028. Full description at Econpapers \|\| Download paper
2018	Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01890751. Full description at Econpapers \|\| Download paper
2018	Option pricing under fast-varying and rough stochastic volatility. (2018). Solna, Knut ; Garnier, Josselin. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4. 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	The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z. Full description at Econpapers \|\| Download paper
2018	Price-Based Investment Strategies. (2018). Shemer, Jacob Koby ; Zaremba, Adam. In: Springer Books. RePEc:spr:sprbok:978-3-319-91530-2. Full description at Econpapers \|\| Download paper
2018	Pairs trading with a mean-reverting jumpÃ¢â¬âdiffusion 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	What Factors Shape the Liquidity Levels of Euro Area Sovereign Bonds?. (2018). Linas, Jurksas. In: Open Economics. RePEc:vrs:openec:v:1:y:2018:i:1:p:154-166:n:13. Full description at Econpapers \|\| Download paper
2018	The directional information content of options volumes. (2018). Yang, Hee Jin ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:12:p:1533-1548. Full description at Econpapers \|\| Download paper
2018
2018
2018	Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach. (2018). Ryu, Doojin ; Lee, Geul. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201868. Full description at Econpapers \|\| Download paper
2018	Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500. (2018). Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:012018. Full description at Econpapers \|\| Download paper
2018	A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Stubinger, Johannes ; Endres, Sylvia. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:072018. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	80	2866
2	Physica A: Statistical Mechanics and its Applications / Elsevier	70	538
3	European Journal of Operational Research / Elsevier	121	230
4	Working Papers / HAL	56	213
5	Finance Research Letters / Elsevier	56	182
6	The North American Journal of Economics and Finance / Elsevier	42	179
7	Energy Economics / Elsevier	148	171
8	Post-Print / HAL	194	169
9			166
10	Risks / MDPI	15	160
11	Journal of Futures Markets / John Wiley & Sons, Ltd.	42	156