Citation analysis for Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney

Citation Profile [Updated: 2023-11-03 08:28:08]

5 Years H Index

Impact Factor (IF)

0.5

5 Years IF

0.64

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
1998	0	0.31	0	0	3	3	10		0	0		0			0		0	0.18
1999	0.33	0.39	0.33	0.33	27	30	228	9	10	3	1	3	1	5	55.6	8	0.3	0.25
2000	0.47	0.54	0.47	0.47	17	47	154	17	32	30	14	30	14	9	52.9	3	0.18	0.24
2001	0.61	0.49	0.63	0.6	25	72	397	44	77	44	27	47	28	21	47.7	13	0.52	0.27
2002	0.4	0.54	0.42	0.38	14	86	94	36	113	42	17	72	27	13	36.1	1	0.07	0.31
2003	0.77	0.53	0.63	0.51	27	113	156	70	184	39	30	86	44	29	41.4	7	0.26	0.3
2004	0.68	0.6	0.99	0.5	31	144	237	143	327	41	28	110	55	61	42.7	23	0.74	0.36
2005	0.47	0.6	0.78	0.51	27	171	436	131	460	58	27	114	58	52	39.7	11	0.41	0.36
2006	0.5	0.59	0.66	0.48	15	186	145	122	582	58	29	124	59	21	17.2	3	0.2	0.34
2007	0.64	0.52	0.53	0.44	26	212	114	113	695	42	27	114	50	25	22.1	3	0.12	0.29
2008	0.54	0.59	0.64	0.56	27	239	247	150	847	41	22	126	70	43	28.7	5	0.19	0.29
2009	0.45	0.58	0.67	0.57	24	263	127	176	1024	53	24	126	72	42	23.9	5	0.21	0.33
2010	0.57	0.52	0.6	0.51	21	284	215	171	1195	51	29	119	61	36	21.1	7	0.33	0.3
2011	0.4	0.61	0.59	0.52	12	296	64	174	1370	45	18	113	59	27	15.5		0	0.37
2012	1	0.68	0.61	0.57	24	320	76	193	1564	33	33	110	63	42	21.8	7	0.29	0.36
2013	0.44	0.67	0.74	0.66	18	338	58	249	1813	36	16	108	71	27	10.8	1	0.06	0.35
2014	0.55	0.67	0.57	0.44	11	349	96	198	2012	42	23	99	44	17	8.6	6	0.55	0.34
2015	0.59	0.66	0.45	0.57	15	364	62	165	2177	29	17	86	49	16	9.7	3	0.2	0.36
2016	0.65	0.65	0.48	0.5	13	377	45	181	2358	26	17	80	40	15	8.3	4	0.31	0.35
2017	0.89	0.62	0.52	0.52	7	384	18	201	2559	28	25	81	42	9	4.5	2	0.29	0.35
2018	0.75	0.62	0.49	0.59	10	394	73	194	2753	20	15	64	38	14	7.2	11	1.1	0.35
2019	1.18	0.63	0.34	0.55	9	403	8	139	2892	17	20	56	31	5	3.6	1	0.11	0.37
2020	0.58	0.72	0.25	0.43	14	417	12	104	2996	19	11	54	23	5	4.8	2	0.14	0.78
2021	0.39	0.99	0.26	0.57	4	421	4	109	3105	23	9	53	30	1	0.9	1	0.25	0.41

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	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	250
2	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	170
3	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	143
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	107
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	85
6	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	78
7	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	70
8	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	65
9	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	64
10	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	64
11	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	63
12	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	51
13	2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:35. Full description at Econpapers \|\| Download paper	46
14	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	45
15	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	42
16	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	37
17	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	35
18	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie. In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	32
19	2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers \|\| Download paper	29
20	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	29
21	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	28
22	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	28
23	2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers \|\| Download paper	25
24	2003	Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103. Full description at Econpapers \|\| Download paper	24
25	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	23
26	2000	Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46. Full description at Econpapers \|\| Download paper	23
27	2001	Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:49. Full description at Econpapers \|\| Download paper	23
28	2013	The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336. Full description at Econpapers \|\| Download paper	22
29	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	22
30	2005	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers \|\| Download paper	20
31	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	20
32	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	19
33	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	19
34	2009	A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers \|\| Download paper	19
35	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	19
36	1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers \|\| Download paper	18
37	1999	Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13. Full description at Econpapers \|\| Download paper	18
38	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	18
39	2010	The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers \|\| Download paper	18
40	2012	Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca. In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers \|\| Download paper	17
41	2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	17
42	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:184. Full description at Econpapers \|\| Download paper	16
43	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180. Full description at Econpapers \|\| Download paper	16
44	2004	A Survey of the Integral Representation of American Option Prices. (2004). Chiarella, Carl ; Kucera, Adam ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:118. Full description at Econpapers \|\| Download paper	16
45	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	15
46	2015	Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361. Full description at Econpapers \|\| Download paper	15
47	1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:18. Full description at Econpapers \|\| Download paper	15
48	2002	A Variance Reduction Technique Based on Integral Representations. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers \|\| Download paper	14
49	2006	Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation. (2006). Satchel, Stephen ; Xia, Wei. In: Research Paper Series. RePEc:uts:rpaper:181. Full description at Econpapers \|\| Download paper	14
50	2003	A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113. Full description at Econpapers \|\| Download paper	14

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

#	Year	Title	Cited
1	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	32
2	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	27
3	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	18
4	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	8
5	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	7
6	2015	Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361. Full description at Econpapers \|\| Download paper	7
7	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	5
8	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	5
9	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	5
10	2012	Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:316. Full description at Econpapers \|\| Download paper	5
11	2021	Short Rate Dynamics: A Fed Funds and SOFR Perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Research Paper Series. RePEc:uts:rpaper:420. Full description at Econpapers \|\| Download paper	5
12	2013	The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336. Full description at Econpapers \|\| Download paper	4
13	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	4
14	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	4
15	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	4
16	2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	4
17	2020	No-Arbitrage Concepts in Topological Vector Lattices. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:410. Full description at Econpapers \|\| Download paper	3
18	2019	Score Test for Marks in Hawkes Processes. (2019). , William ; Richards, Kylie-Anne ; Peters, Gareth W. In: Research Paper Series. RePEc:uts:rpaper:405. Full description at Econpapers \|\| Download paper	3
19	2011	Three-Dimensional Brownian Motion and the Golden Ratio Rule. (2011). Hulley, Hardy ; Glover, Kristoffer ; Peskir, Goran . In: Research Paper Series. RePEc:uts:rpaper:295. Full description at Econpapers \|\| Download paper	3
20	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	3
21	2019	Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach. (2019). Macrina, Andrea ; Backwell, Alex ; Skovmand, David ; Schlogl, Erik. In: Research Paper Series. RePEc:uts:rpaper:400. Full description at Econpapers \|\| Download paper	3
22	2016	Pricing American Options under Regime Switching Using Method of Lines. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Yang, Hongang . In: Research Paper Series. RePEc:uts:rpaper:368. Full description at Econpapers \|\| Download paper	3
23	2020	The Fast and the Furious: Exchange Latency and Ever-fast Trading. (2020). Zhou, Xuan ; Kang, Junqing ; He, Xue-Zhong. In: Research Paper Series. RePEc:uts:rpaper:419. Full description at Econpapers \|\| Download paper	2
24	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie. In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	2
25	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	2
26	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	2
27	2015	Algorithms for Optimal Control of Stochastic Switching Systems. (2015). Hinz, Juri ; Yap, Nicholas . In: Research Paper Series. RePEc:uts:rpaper:352. Full description at Econpapers \|\| Download paper	2
28	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	2
29	2018	Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries. (2018). Konstandatos, Otto. In: Research Paper Series. RePEc:uts:rpaper:396. Full description at Econpapers \|\| Download paper	2
30	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	2
31	2020	Kernel Density Estimation with Linked Boundary Conditions. (2020). Macnamara, Shev ; Kuritz, Karsten ; Botev, Zdravko I ; Colbrook, Matthew J. In: Research Paper Series. RePEc:uts:rpaper:414. Full description at Econpapers \|\| Download paper	2
32	2018	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395. Full description at Econpapers \|\| Download paper	2
33	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	2
34	2002	A Variance Reduction Technique Based on Integral Representations. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers \|\| Download paper	2
35	2007	A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard ; Runggaldier, Wolfgang . In: Research Paper Series. RePEc:uts:rpaper:191. Full description at Econpapers \|\| Download paper	2
36	2015	Market Sentiment and Paradigm Shifts. (2015). Li, Kai ; He, Xuezhong ; Tu, Jun ; Chu, Liya . In: Research Paper Series. RePEc:uts:rpaper:356. Full description at Econpapers \|\| Download paper	2
37	2017	Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Jorg ; Rudd, Ralph. In: Research Paper Series. RePEc:uts:rpaper:382. Full description at Econpapers \|\| Download paper	2
38	2009	The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245. Full description at Econpapers \|\| Download paper	2
39	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	2
40	2020	Forecasting Commodity Markets Volatility: HAR or Rough?. (2020). Nikitopoulos, Christina Sklibosios ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:415. Full description at Econpapers \|\| Download paper	2
41	2013	Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics. (2013). Chiarella, Carl ; Ziogas, Andrew ; Adolfsson, Thomas ; Ziveyi, Jonathan. In: Research Paper Series. RePEc:uts:rpaper:327. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 9

Year	Title
2022	Model Uncertainty: A Reverse Approach. (2022). Liebrich, Felix-Benedikt ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:2004.06636. Full description at Econpapers \|\| Download paper
2022	Exploiting arbitrage requires short selling. (2020). Tappe, Stefan ; Platen, Eckhard. In: Papers. RePEc:arx:papers:2011.12523. Full description at Econpapers \|\| Download paper
2022	The fundamental theorem of asset pricing for self-financing portfolios. (2020). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2005.05575. Full description at Econpapers \|\| Download paper
2022	Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974. Full description at Econpapers \|\| Download paper
2022	The role of information in a continuous double auction: An experiment and learning model. (2022). Panchenko, Valentyn ; Ledyard, John ; Arifovic, Jasmina ; Anufriev, Mikhail. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000914. Full description at Econpapers \|\| Download paper
2022	Comments on âthe role of information in a continuous double auction: An experiment and learning modelâ by Mikhail Anufriev, Jasmina Arifovic, John Ledyard and Valentyn Panchenko. (2022). Bao, TE. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000926. Full description at Econpapers \|\| Download paper
2022	Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition. (2022). Hayes, Joshua ; Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002497. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	On the impact of increasing penetration of variable renewables on electricity spot price extremes in Australia. (2020). Nunn, Oliver ; Rai, Alan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:67-86. Full description at Econpapers \|\| Download paper
2020	The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:411. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	85	103
2	Journal of Economic Dynamics and Control / Elsevier	122	47
3	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	6	32
4	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	24	25
5	Journal of Economic Behavior & Organization / Elsevier	126	18
6	Energy Economics / Elsevier	157	15
7	MPRA Paper / University Library of Munich, Germany	123	13
8	Computational Economics / Springer	31	12
9	Decisions in Economics and Finance / Springer	10	12
10	International Review of Financial Analysis / Elsevier	63	11
11	Post-Print / HAL	203	11