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Algorithmic Finance / IOS Press

Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
8
Impact Factor (IF)
0
5 Years IF
0.61
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
2011 0 0.52 0.4 0 5 5 26 2 2 0 0 0 2 0.4 0.24
2013 0.4 0.56 0.24 0.4 16 21 71 5 8 5 2 5 2 0 3 0.19 0.24
2014 0.63 0.55 0.3 0.48 12 33 7 10 18 16 10 21 10 0 0 0.23
2015 0.18 0.55 0.16 0.18 10 43 20 7 25 28 5 33 6 0 1 0.1 0.23
2016 0.14 0.53 0.36 0.42 10 53 10 19 44 22 3 43 18 0 1 0.1 0.21
2017 0.05 0.54 0.19 0.23 9 62 39 12 56 20 1 48 11 0 0 0.22
2018 0.05 0.56 0.11 0.11 9 71 8 8 64 19 1 57 6 0 0 0.24
2019 0.5 0.58 0.36 0.38 5 76 0 27 91 18 9 50 19 0 0 0.23
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
#YearTitleCited
12017Classification-based financial markets prediction using deep neural networks. (2017). Klabjan, Diego ; Dixon, Matthew ; Bang, Jin Hoon. In: Algorithmic Finance. RePEc:ris:iosalg:0059.

Full description at Econpapers || Download paper

24
22011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Reed, Josh ; Stoikov, Sasha ; Avellaneda, Marco. In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

16
32013The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015.

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15
42013Cluster formation and evolution in networks of financial market indices. (2013). Sandoval, Leonidas Junior . In: Algorithmic Finance. RePEc:ris:iosalg:0023.

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12
52013A big data approach to analyzing market volatility. (2013). Leinweber, David ; Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng. In: Algorithmic Finance. RePEc:ris:iosalg:0016.

Full description at Econpapers || Download paper

12
62013Nonlinear support vector machines can systematically identify stocks with high and low future returns. (2013). Elkan, Charles ; Huerta, Ramon ; Corbacho, Fernando . In: Algorithmic Finance. RePEc:ris:iosalg:0024.

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11
72013Stock chatter: Using stock sentiment to predict price direction. (2013). Rechenthin, Michael ; Srinivasan, Padmini ; Street, Nick W.. In: Algorithmic Finance. RePEc:ris:iosalg:0012.

Full description at Econpapers || Download paper

10
82017Trump tweets and the efficient Market Hypothesis. (2017). Myers, David H ; Born, Jeffery A ; Clark, William J. In: Algorithmic Finance. RePEc:ris:iosalg:0062.

Full description at Econpapers || Download paper

10
92018Cryptoasset factor models. (2018). Kakushadze, Zura. In: Algorithmic Finance. RePEc:ris:iosalg:0070.

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7
102015Market sentiment and exchange rate directional forecasting. (2015). Gogas, Periklis ; Plakandaras, Vasilios ; Diamantaras, Konstantinos ; Papadimitriou, Theophilos. In: Algorithmic Finance. RePEc:ris:iosalg:0037.

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6
112015Smile in motion: An intraday analysis of asymmetric implied volatility. (2015). Wallmeier, Martin. In: Algorithmic Finance. RePEc:ris:iosalg:0039.

Full description at Econpapers || Download paper

6
122013Sparse, mean reverting portfolio selection using simulated annealing. (2013). Levendovszky, Janos ; Fogarasi, Norbert . In: Algorithmic Finance. RePEc:ris:iosalg:0013.

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4
132013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

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4
142015Predictable markets? A news-driven model of the stock market. (2015). Kroujiline, Dimitri ; Gusev, Maxim ; Zhilyaev, Maxim ; Ushanov, Dmitry ; Sharov, Sergey V ; Govorkov, Boris. In: Algorithmic Finance. RePEc:ris:iosalg:0035.

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4
152016Sensitivity and computational complexity in financial networks. (2016). Khanna, Sanjeev ; Hemenway, Brett . In: Algorithmic Finance. RePEc:ris:iosalg:0052.

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4
162014The extent of price misalignment in prediction markets. (2014). Rothschild, David ; Pennock, David M.. In: Algorithmic Finance. RePEc:ris:iosalg:0007.

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3
172011Markets are efficient if and only if P=NP. (2011). Maymin, Philip. In: Algorithmic Finance. RePEc:ris:iosalg:0001.

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3
182017AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. (2017). Jiang, Yupeng ; Capriotti, Luca ; Macrina, Andrea. In: Algorithmic Finance. RePEc:ris:iosalg:0057.

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3
192015Multi-scale capability: A better approach to performance measurement for algorithmic trading. (2015). Ong, Michael ; Cooper, Ricky ; van Vliet, Ben. In: Algorithmic Finance. RePEc:ris:iosalg:0036.

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3
202011Efficient greek estimation in generic swap-rate market models. (2011). Joshi, Mark ; Yang, Chao. In: Algorithmic Finance. RePEc:ris:iosalg:0003.

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3
212017Impact of global financial crisis on network of Asian stock markets. (2017). Aswani, Jitendra . In: Algorithmic Finance. RePEc:ris:iosalg:0060.

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3
222011Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002.

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3
232016Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael P ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051.

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3
242018Machine learning and corporate bond trading. (2018). Lee, Jacky ; Capriotti, Luca ; Wright, Dominic. In: Algorithmic Finance. RePEc:ris:iosalg:0071.

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2
252011Behavioral biases and investor performance.. (2011). Feldman, Todd. In: Algorithmic Finance. RePEc:ris:iosalg:0005.

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2
262013Optimizing sparse mean reverting portfolios. (2013). Levendovszky, Janos ; Sipos, Robert I.. In: Algorithmic Finance. RePEc:ris:iosalg:0019.

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2
272016The network of the Italian stock market during the 2008–2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053.

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2
282014Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Chen, Bryant ; Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., . In: Algorithmic Finance. RePEc:ris:iosalg:0010.

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2
292014Stochastic flow diagrams. (2014). de Prado, Marcos Lopez ; Calkin, Neil J.. In: Algorithmic Finance. RePEc:ris:iosalg:0008.

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2
302013Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Michailidis, George ; Mankad, Shawn. In: Algorithmic Finance. RePEc:ris:iosalg:0021.

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2
312013The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective. (2013). Tapiero, Oren J.. In: Algorithmic Finance. RePEc:ris:iosalg:0020.

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1
322015Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks. (2015). Capriotti, Luca. In: Algorithmic Finance. RePEc:ris:iosalg:0038.

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1
332016Darwinian adverse selection. (2016). Kuhle, Wolfgang. In: Algorithmic Finance. RePEc:ris:iosalg:0047.

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1
342016Multi-scale representation of high frequency market liquidity. (2016). Chliamovitch, Gregor ; Golub, Anton ; Chopard, Bastien ; Dupuis, Alexandre. In: Algorithmic Finance. RePEc:ris:iosalg:0045.

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1
352013Modeling market impact and timing risk in volume time. (2013). Mazur, Slava . In: Algorithmic Finance. RePEc:ris:iosalg:0018.

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1
362015Microstructure-based order placement in a continuous double auction agent based model. (2015). Mande, Alexandru. In: Algorithmic Finance. RePEc:ris:iosalg:0040.

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1
372014The design and performance of the adaptive stock market index. (2014). Kenett, Dror Y ; Zatlavi, Lior ; Ben-Jacob, Eshel. In: Algorithmic Finance. RePEc:ris:iosalg:0031.

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

Full description at Econpapers || Download paper

12
22017Trump tweets and the efficient Market Hypothesis. (2017). Myers, David H ; Born, Jeffery A ; Clark, William J. In: Algorithmic Finance. RePEc:ris:iosalg:0062.

Full description at Econpapers || Download paper

8
32013The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015.

Full description at Econpapers || Download paper

6
42011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Reed, Josh ; Stoikov, Sasha ; Avellaneda, Marco. In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

4
52016Sensitivity and computational complexity in financial networks. (2016). Khanna, Sanjeev ; Hemenway, Brett . In: Algorithmic Finance. RePEc:ris:iosalg:0052.

Full description at Econpapers || Download paper

3
62016Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael P ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051.

Full description at Econpapers || Download paper

3
72018Cryptoasset factor models. (2018). Kakushadze, Zura. In: Algorithmic Finance. RePEc:ris:iosalg:0070.

Full description at Econpapers || Download paper

3
82013Sparse, mean reverting portfolio selection using simulated annealing. (2013). Levendovszky, Janos ; Fogarasi, Norbert . In: Algorithmic Finance. RePEc:ris:iosalg:0013.

Full description at Econpapers || Download paper

2
92017AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. (2017). Jiang, Yupeng ; Capriotti, Luca ; Macrina, Andrea. In: Algorithmic Finance. RePEc:ris:iosalg:0057.

Full description at Econpapers || Download paper

2
102016The network of the Italian stock market during the 2008–2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053.

Full description at Econpapers || Download paper

2
112013Stock chatter: Using stock sentiment to predict price direction. (2013). Rechenthin, Michael ; Srinivasan, Padmini ; Street, Nick W.. In: Algorithmic Finance. RePEc:ris:iosalg:0012.

Full description at Econpapers || Download paper

2
122015Smile in motion: An intraday analysis of asymmetric implied volatility. (2015). Wallmeier, Martin. In: Algorithmic Finance. RePEc:ris:iosalg:0039.

Full description at Econpapers || Download paper

2
132017Impact of global financial crisis on network of Asian stock markets. (2017). Aswani, Jitendra . In: Algorithmic Finance. RePEc:ris:iosalg:0060.

Full description at Econpapers || Download paper

2
142013A big data approach to analyzing market volatility. (2013). Leinweber, David ; Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng. In: Algorithmic Finance. RePEc:ris:iosalg:0016.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations