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Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
60
Impact Factor (IF)
0.7
5 Years IF
0.7
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 0.39 0.46 0 67 67 2888 27 32 0 0 0 27 0.4 0.17
2002 0.57 0.41 0.46 0.57 63 130 1090 56 92 67 38 67 38 4 7.1 10 0.16 0.21
2003 0.67 0.44 0.68 0.67 68 198 886 132 226 130 87 130 87 16 12.1 6 0.09 0.22
2004 0.52 0.5 0.65 0.56 67 265 1299 170 399 131 68 198 110 22 12.9 14 0.21 0.22
2005 0.41 0.51 0.82 0.61 50 315 1099 250 656 135 56 265 162 21 8.4 7 0.14 0.24
2006 0.49 0.51 0.81 0.61 45 360 562 283 947 117 57 315 191 39 13.8 11 0.24 0.23
2007 0.45 0.46 0.67 0.46 62 422 727 274 1230 95 43 293 135 18 6.6 10 0.16 0.2
2008 0.27 0.49 0.76 0.46 64 486 828 360 1597 107 29 292 133 34 9.4 19 0.3 0.23
2009 0.3 0.48 0.77 0.56 79 565 778 426 2031 126 38 288 160 33 7.7 6 0.08 0.24
2010 0.45 0.49 0.73 0.55 114 679 1778 489 2524 143 65 300 164 35 7.2 28 0.25 0.21
2011 0.41 0.52 0.66 0.43 128 807 933 524 3054 193 79 364 155 39 7.4 22 0.17 0.24
2012 0.53 0.52 0.76 0.6 164 971 1020 729 3789 242 129 447 267 61 8.4 21 0.13 0.22
2013 0.46 0.56 0.92 0.62 135 1106 1079 1019 4812 292 135 549 341 56 5.5 30 0.22 0.24
2014 0.49 0.55 0.9 0.61 154 1260 983 1121 5946 299 146 620 381 52 4.6 24 0.16 0.23
2015 0.57 0.55 0.88 0.58 138 1398 1254 1232 7180 289 164 695 406 66 5.4 65 0.47 0.23
2016 0.7 0.53 1 0.61 136 1534 985 1540 8721 292 203 719 441 89 5.8 30 0.22 0.21
2017 0.66 0.54 0.89 0.64 141 1675 897 1483 10205 274 181 727 468 75 5.1 36 0.26 0.22
2018 0.75 0.55 0.89 0.69 151 1826 896 1621 11827 277 208 704 486 18 1.1 42 0.28 0.24
2019 0.75 0.57 0.85 0.72 154 1980 800 1684 13513 292 220 720 520 4 0.2 41 0.27 0.23
2020 0.87 0.68 0.97 0.83 136 2116 458 2052 15568 305 266 720 600 12 0.6 49 0.36 0.32
2021 0.89 0.81 0.94 0.79 132 2248 422 2108 17676 290 259 718 570 6 0.3 54 0.41 0.3
2022 0.82 0.86 0.89 0.83 137 2385 146 2119 19795 268 219 714 592 3 0.1 22 0.16 0.26
2023 0.7 0.92 0.74 0.7 117 2502 73 1863 21658 269 189 710 494 8 0.4 21 0.18 0.27
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
12001Empirical 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.

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1254
22004Network 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.

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383
32005Empirical 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.

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281
42018Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

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244
52001What 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.

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236
62016Pricing 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.

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224
72001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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198
82010Robustness 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.

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191
92008High-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.

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189
102010Optimal 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.

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168
112002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

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160
122011Econophysics 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.

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158
132002Statistical 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.

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158
142001Asset 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.

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156
152003Dependence 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.

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154
162010Portfolio 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.

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153
172004Fluctuations 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.

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145
182007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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141
192003Statistical 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.

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140
202010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

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139
212002A 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.

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138
222001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

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130
232015The 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.

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129
242004What 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.

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128
252010Statistical 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.

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125
262013Modelling 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.

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123
272017Extreme 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.

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115
282011Econophysics 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.

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108
292001High-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.

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106
302010A 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.

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104
312001Significance 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.

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100
322013Limit 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.

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97
332015Filling 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.

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93
342002Probability 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.

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91
352004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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88
362007Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442.

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86
372019Universal 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.

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85
382015On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

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82
392001Stochastic 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.

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79
402010Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

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79
412003Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

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77
422012Leverage 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.

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77
432012The 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.

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76
442008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

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74
452012Does 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.

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73
462014Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71.

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73
472010International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399.

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72
482013Optimal 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.

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72
492002Dynamical 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.

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71
502001Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44.

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69
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Empirical 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

216
22018Volatility 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

109
32016Pricing 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

109
42010Robustness 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

60
52008High-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

55
62017Extreme 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

52
72019Universal 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

47
82004Network 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

44
92020A 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.

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41
102010Statistical 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

40
112015The 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

38
122010Portfolio 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

36
132007Ambiguity 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

34
142019Gold 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.

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34
152020Quant 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.

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32
162010No-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

31
172021Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. (2021). Tomas, Mehdi ; Muguruza, Aitor ; Horvath, Blanka. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:11-27.

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31
182015Filling 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

29
192015On 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

27
202014Arbitrage-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

26
212018Hawkes 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.

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25
222001What 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

25
232005Empirical 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

25
242010A 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

24
252021Bitcoin, currencies, and fragility. (2021). Taleb, Nassim Nicholas. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:8:p:1249-1255.

Full description at Econpapers || Download paper

23
262013Optimal 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

23
272010Financial 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

23
282002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

Full description at Econpapers || Download paper

22
292011Econophysics 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

22
302002Statistical 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

22
312021Volatility has to be rough. (2021). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:1-8.

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22
322001Optimal 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

21
332007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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20
342019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:12:p:1995-2013.

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352013Modelling 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.

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362011Econophysics 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.

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372012Does 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.

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382018Machine 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.

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392010Optimal 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.

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402017Toward 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.

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412021XVA analysis from the balance sheet. (2021). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:99-123.

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422021Jumps and oil futures volatility forecasting: a new insight. (2021). Ma, Feng ; Li, Haibo ; Zeng, Qing ; Liang, Chao. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:5:p:853-863.

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18
432017Short-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.

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442021Multilayer information spillover networks: measuring interconnectedness of financial institutions. (2021). Stanley, Eugene H ; Xie, Chi ; Yi, Shuyue ; Wang, Gang-Jin. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:7:p:1163-1185.

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452002Probability 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.

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462019On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators. (2019). GUPTA, RANGAN ; Demirer, Riza ; Sornette, Didier ; Demos, Guilherme. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:5:p:843-858.

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17
472005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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482015Partial correlation analysis: applications for financial markets. (2015). Kenett, Dror Y. ; Stanley, Eugene H. ; Havlin, Shlomo ; Vodenska, Irena ; Huang, Xuqing . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:569-578.

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492019Deep learning for limit order books. (2019). Sirignano, Justin A. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:549-570.

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502015A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Mastromatteo, I ; Bonart, J. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121.

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Citing documents used to compute impact factor: 189
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2023Shaking hands with common foes: Clique premium and information diffusion in private equity networks. (2023). Pipic, Denis ; Giovannetti, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000431.

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2023Dynamic effects of social influence on asset prices. (2023). Wang, Juanxi ; Zhang, Yang ; Huang, Jia-Ping. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00382-z.

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2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

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2023A systematic literature review of investor behavior in the cryptocurrency markets. (2023). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001071.

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2023Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm. (2023). Arroyo, Javier ; Lorenzo, Luis. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00438-2.

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2023On the topology of cryptocurrency markets. (2023). Dotko, Pawe ; Rudkin, Wanling. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002752.

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2023Frequency connectedness between FinTech, NFT and DeFi: Considering linkages to investor sentiment. (2023). Muhammed, Shahnawaz ; Goodell, John W ; Gunay, Samet ; Kirimhan, Destan. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004416.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2023Effect of Index Concentration on Index Volatility and Performance. (2023). Sharma, Anil Kumar ; Pandey, Amit. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09389-1.

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2023Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?. (2023). van Nguyen, Phuc ; Ngo, Vu Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000624.

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2023A bibliometric review of portfolio diversification literature. (2023). Paltrinieri, Andrea ; Goodell, John W ; Migliavacca, Milena. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003526.

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2023Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models. (2023). Gacesa, Marko ; Wang, Fang. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002089.

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2023Forecasting private investment in Finland using Q-theory and frequency decomposition. (2023). Sinivuori, Taina ; Nippala, Veera. In: BoF Economics Review. RePEc:zbw:bofecr:279701.

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2023From elephant to goldfish (and back): memory in stochastic Volterra processes. (2023). Pages, Gilles ; Grasselli, Martino ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2306.02708.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Power law in Sandwiched Volterra Volatility model. (2023). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2311.01228.

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2023Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model. (2023). Bianchi, Sergio ; Angelini, Daniele. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004514.

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2023Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2023Machine Learning Applications to Valuation of Options on Non-liquid Markets. (2023). Fiura, Milan ; Witzany, Jii. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.001.

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2023Learning Volatility Surfaces using Generative Adversarial Networks. (2023). Wan, Justin ; Zhang, Meixin ; Na, Andrew. In: Papers. RePEc:arx:papers:2304.13128.

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2023Applications of fractional gradient descent method with adaptive momentum in BP neural networks. (2023). Dong, Jianping ; Han, Xiaohui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:448:y:2023:i:c:s0096300323001133.

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2023Machine learning for option pricing: an empirical investigation of network architectures. (2023). Papazoglou-Hennig, Jonas ; Papapantoleon, Antonis ; van Mieghem, Laurens. In: Papers. RePEc:arx:papers:2307.07657.

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2023Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling. (2023). Imajo, Kentaro ; Minami, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2307.13217.

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2023Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843.

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2023Robustness and sensitivity analyses of rough Volterra stochastic volatility models. (2023). Pospiil, Jan ; Matas, Jan. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:4:d:10.1007_s10436-023-00433-2.

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2023A stochastic time-series model for solar irradiation. (2023). Benth, Fred Espen ; Green, Rikard ; Larsson, Karl. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005503.

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2023Handling the risk dimensions of wind energy generation. (2023). Santos-Alamillos, Francisco J ; Christodoulou, Theodoros ; Thomaidis, Nikolaos S. In: Applied Energy. RePEc:eee:appene:v:339:y:2023:i:c:s0306261923002891.

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2023
2023Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336.

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2023Market Making of Options via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01814.

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2023Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4.

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2023Pathwise CVA Regressions With Oversimulated Defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbas-Turki, Lokman A. In: Post-Print. RePEc:hal:journl:hal-03910149.

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2023Operational research and artificial intelligence methods in banking. (2023). Zhang, Wenke ; Platanakis, Emmanouil ; Gounopoulos, Dimitrios ; Zopounidis, Constantin ; Doumpos, Michalis. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:1-16.

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2023XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79.

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2023Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307.

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2023
2023A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181.

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2023Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071.

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2023On intermediate Marginals in Martingale Optimal Transportation. (2023). Sester, Julian. In: Papers. RePEc:arx:papers:2307.09710.

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2023An analysis of the return–volume relationship in decentralised finance (DeFi). (2023). Zhang, Yuanyuan ; Chan, Stephen ; Chu, Jeffrey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:236-254.

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2023Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies. (2023). Tzeremes, Panayiotis ; Brahim, Mariem ; Dogan, Eyup ; Sharif, Arshian. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000920.

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2023Bitcoin Price Short-term Forecast Using Twitter Sentiment Analysis. (2023). Stepanova, Diana I ; Chang, Tsangyao ; Uhunamure, Solomon Eghosa ; Khare, Vikas ; Yu, Alexey. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:230408:p:123-137.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2023Fast calculation of Counterparty Credit exposures and associated sensitivities using fourier series expansion. (2023). Shen, Xiaoyu ; Mast, Gijs ; Fang, Fang. In: Papers. RePEc:arx:papers:2311.12575.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning. (2022). Yuan, Jun ; Wang, Zeyu ; Poulos, Zissis ; Hull, John ; Farghadani, Soroush ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2205.05614.

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2023Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503.

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2023Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z.

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2023.

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2023Does the risk of carbon leakage justify the CBAM?. (2023). Nordstrom, Hakan. In: RSCAS Working Papers. RePEc:rsc:rsceui:2023/08.

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2023Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205.

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2023Impact of COVID-19 on the contagion effect of risks in the banking industry: based on transfer entropy and social network analysis method. (2023). Bashir, Usman ; Yu, Zhang ; Yijun, Wang. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:2:d:10.1057_s41283-023-00117-1.

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2023Multivariate stress scenario selection in interbank networks. (2023). Kwon, Eunji ; Kim, Kyoung-Kuk ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185.

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2023Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts. (2023). Hertrich, Daniel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001822.

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2023Did the 2016 election cause changes in substance use? An intersectional approach. (2023). Perry, Teresa. In: Economics and Politics. RePEc:bla:ecopol:v:35:y:2023:i:3:p:1020-1069.

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2023
2023Covariance matrix estimation for robust portfolio allocation. (2023). Gatignol, Valentin ; de Carvalho, Nathan ; Bitar, Ahmad W. In: Working Papers. RePEc:hal:wpaper:hal-04046454.

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2023Deconstructing the Gerber statistic. (2023). Polakow, Daniel ; Flint, Emlyn. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005160.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks. (2023). Bouri, Elie ; Gupta, Rangan ; Plakandaras, Vasilios ; Foglia, Matteo. In: Working Papers. RePEc:pre:wpaper:202337.

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2023Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective. (2023). Zhu, Xiaoqian ; Huang, Chuangxia ; Li, Jianping ; Wen, Shigang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:190-202.

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2023Multilayer information spillover networks between oil shocks and banking sectors: Evidence from oil-rich countries. (2023). Elsayed, Ahmed ; Wang, Gang-Jin ; Uddin, Gazi Salah ; Naifar, Nader. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001187.

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2023Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378.

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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

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2023A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572.

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2023A new multilayer network for measuring interconnectedness among the energy firms. (2023). Zhang, Xiaotong ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s014098832300378x.

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2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

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2023Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China. (2023). Uddin, Gazi ; Wang, Gang-Jin ; Chen, Yan ; Xie, Chi ; Zhu, You. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323001011.

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2023The two square root laws of market impact and the role of sophisticated market participants. (2023). Rosenbaum, Mathieu ; Durin, Bruno ; Szymanski, Gr'Egoire. In: Papers. RePEc:arx:papers:2311.18283.

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2023Determination of equilibrium transaction fees in the Bitcoin network: A rank-order contest. (2023). Webb, Robert I ; Ryu, Doojin ; Kim, Daehan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000030.

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2023Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets. (2023). Ugolini, Andrea ; Mensi, Walid ; Reboredo, Juan C. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000661.

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2023Forecasting bitcoin volatility: exploring the potential of deep learning. (2023). Rubio, Lihki ; Ramos, Filipe R ; Pratas, Tiago E. In: Eurasian Economic Review. RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00232-0.

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2023Empirical evidence on the ownership and liquidity of real estate tokens. (2023). Swinkels, Laurens. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00427-5.

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2023How connected is the crypto market risk to investor sentiment?. (2023). Zhu, Hao ; Meng, Yiqun ; Lin, Xudong. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005494.

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2023Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events. (2023). Cheng, Feiyang ; Shu, AO ; Pan, Zheyao ; Liang, Zini ; Han, Jianlei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5183-5210.

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2023Herding in the non-fungible token (NFT) market. (2023). Bao, Te ; Wen, Yonggang ; Ma, Mengzhong. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000515.

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2023Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach. (2023). Yarovaya, Larisa ; Ali, Md Hakim ; Karim, Muhammad Mahmudul ; Hammoudeh, Shawkat ; Uddin, Md Hamid. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004106.

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2023Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war. (2023). Ruan, Junhu ; Yadav, Miklesh Prasad ; Goodell, John W ; Malhotra, Nidhi ; Abedin, Mohammad Zoynul. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006955.

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2023Who invests in cryptocurrency? The role of overconfidence among American investors. (2023). Parija, Arpit Kumar ; Chhatwani, Malvika. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:107:y:2023:i:c:s2214804323001337.

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2023Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

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2023A Comparison of Reinforcement Learning and Deep Trajectory Based Stochastic Control Agents for Stepwise Mean-Variance Hedging. (2023). Hientzsch, Bernhard ; Fathi, Ali. In: Papers. RePEc:arx:papers:2302.07996.

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2023
2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwans banking industry. (2023). Chang, Wen-Chang ; Wang, Ying-Wei ; Tsai, Pei-Hsuan. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:86:y:2023:i:c:s0038012122002610.

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2023Proposal for calculating regulatory capital requirements for reverse mortgages. (2023). Serna, Gregorio ; Navarro, Eliseo ; de la Fuente, Ivan. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:88:y:2023:i:c:s0038012123001714.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x.

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2023
2023Factor-based portfolio optimization. (2023). Cho, Wonho ; Auh, Jun Kyung. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623.

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2023Towards Practical Robustness Auditing for Linear Regression. (2023). Hopkins, Samuel B ; Freund, Daniel. In: Papers. RePEc:arx:papers:2307.16315.

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2023Microstructure-Empowered Stock Factor Extraction and Utilization. (2023). Bian, Jiang ; Liu, Weiqing ; Xu, Chang ; Jiao, Xianfeng. In: Papers. RePEc:arx:papers:2308.08135.

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2023Screening for collusion in wholesale electricity markets: A literature review. (2023). Silveira, Douglas ; Brown, David ; Eckert, Andrew. In: Utilities Policy. RePEc:eee:juipol:v:85:y:2023:i:c:s0957178723001832.

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2023Forecasting the crude oil prices with an EMD-ISBM-FNN model. (2023). Wang, Donghua ; Zheng, Chunling ; Fang, Tianhui. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pa:s0360544222022897.

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2023Pass-through from temperature intervals to Chinas commodity futures’ interval-valued returns: Evidence from the varying-coefficient ITS model. (2023). Zhao, Ruikun ; Dai, Xingyu ; Wu, Dan ; Wang, Qunwei ; Cao, Yaru. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300661x.

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2023Comparing Growth Models with Other Investment Methods. (2023). Hausken, Kjell ; Wang, Guizhou. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:12:y:2023:i:1:f:12_1_1.

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2023Money in the time of crypto. (2023). Bibi, Samuele. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000909.

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2023The interpretation of CBDC within an endogenous money framework. (2023). Canelli, Rosa ; Bibi, Samuele. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300096x.

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2023Visualisation and dissemination of 3D valuation units and groups – An LADM valuation information compliant prototype. (2023). Lemmen, Christiaan ; Kathmann, Ruud ; van Oosterom, Peter ; Kara, Abdullah. In: Land Use Policy. RePEc:eee:lauspo:v:132:y:2023:i:c:s0264837723002958.

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2023What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis. (2023). Gu, Ming ; Chen, Haiqiang ; Arkorful, Gideon Bruce ; Liu, Xiaoqun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:88:y:2023:i:c:p:141-153.

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2023Fixed-point iterative algorithm for SVI model. (2023). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2301.07830.

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2023Deep parametric portfolio policies. (2023). Zimmermann, Tom ; Weibels, Sebastian ; Simon, Frederik. In: CFR Working Papers. RePEc:zbw:cfrwps:2301.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?. (2023). Zhang, YI ; Wen, Limin ; Li, Junxue ; Ling, Aifan. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s026499932300158x.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023A fast Monte Carlo scheme for additive processes and option pricing. (2023). Baviera, Roberto ; Azzone, Michele. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00463-1.

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2023Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103.

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2023Estimation of energy demand and greenhouse gas emission reduction effect of cross-laminated timber (CLT) hybrid wall using life cycle assessment for urban residential planning. (2023). Kim, Sumin ; Wi, Seunghwan ; Chang, Seong Jin ; Shin, Bigyeong. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:185:y:2023:i:c:s1364032123004616.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities. (2023). Chomei, Shunya. In: Papers. RePEc:arx:papers:2302.01668.

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2023Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822.

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2023Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Sancetta, Alessio ; Mucciante, Luca. In: Papers. RePEc:arx:papers:2307.09077.

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2023
2023Statistical Learning with Sublinear Regret of Propagator Models. (2023). Zhang, Yufei ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2301.05157.

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2023The valuation of corporations: a derivative pricing perspective. (2023). Wang, King ; Madan, Dilip B. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-023-00424-3.

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2023.

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2023European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250.

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2023Fuel Price Caps in the Australian National Wholesale Electricity Market. (2023). Jamasb, Tooraj ; Nepal, Rabindra ; Khezr, Peyman ; Pourkhanali, Armin. In: Working Papers. RePEc:hhs:cbsnow:2023_006.

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2023The interplay between technology options, market uncertainty, and policy in zero-carbon investment decisions. (2023). Larson, Eric D ; Oliveira, Carlos ; de Weerdt, Loic ; Greig, Chris. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006643.

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2023Anomaly Detection in Global Financial Markets with Graph Neural Networks and Nonextensive Entropy. (2023). da Costa, Kleyton. In: Papers. RePEc:arx:papers:2308.02914.

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2023Deep Reinforcement Learning for Asset Allocation: Reward Clipping. (2023). Jeon, Bo-Kwan ; Moon, Hyungjun ; Lee, Kanghun ; Kang, Moon-Ju ; Kim, Jiwon. In: Papers. RePEc:arx:papers:2301.05300.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023
2023Markov decision processes under model uncertainty. (2023). Iki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:618-665.

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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2305.13123.

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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-04102815.

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2023.

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2023Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109.

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2023Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2306.09084.

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2023Continuous-time mean-variance hedging under different loan and deposit rates. (2022). Xu, Zuoquan ; Shi, Xiaomin ; Guan, Chonghu. In: Papers. RePEc:arx:papers:2201.00914.

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2023Optimal entry decision of unemployment insurance under partial information. (2023). Yang, Wensheng ; Ma, Jingtang ; Xing, Jie. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:31-52.

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2023Continuous-Time Markowitz’s Mean-Variance Model Under Different Borrowing and Saving Rates. (2023). Shi, Xiaomin ; Guan, Chonghu ; Xu, Zuo Quan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:199:y:2023:i:1:d:10.1007_s10957-023-02259-4.

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2023Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891.

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2023Are the stabilities of stablecoins connected?. (2023). Thi, Thu Pham ; Cong, Thanh Nguyen ; Pham, Huy ; Vu, Thai Nguyen ; Thanh, Binh Nguyen. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:50:y:2023:i:3:d:10.1007_s40812-022-00207-3.

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2023Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures. (2023). Yang, Jimmy J ; Chang, Yung Ting ; Chen, Yu-Lun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276.

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2023DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033.

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2023.

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2023Optimal reinsurance under terminal value constraints. (2022). Steffensen, Mogens ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2203.16108.

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2023Revisiting asset co-movement: Does network topology really matter?. (2023). Shi, Huai-Long ; Chen, Huayi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001903.

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2023Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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2023Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198.

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2023Nonlinear Poisson autoregression and nonlinear Hawkes processes. (2023). Khabou, Mahmoud ; Huang, Lorick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:201-241.

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2023Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I. In: Papers. RePEc:arx:papers:2307.07694.

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2023ATMS: Algorithmic Trading-Guided Market Simulation. (2023). Balch, Tucker ; Vyetrenko, Svitlana ; Coletta, Andrea ; Wei, Song. In: Papers. RePEc:arx:papers:2309.01784.

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2023Generating drawdown-realistic financial price paths using path signatures. (2023). Wyns, Maarten ; Boudt, Kris ; Lemahieu, Emiel. In: Papers. RePEc:arx:papers:2309.04507.

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2023Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe. (2023). Weyde, Tillman ; Kubiak, Szymon ; Gopal, Ram ; Philps, Dan ; Galkin, Oleksandr. In: Papers. RePEc:arx:papers:2311.16004.

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2023Option pricing under the normal SABR model with Gaussian quadratures. (2023). Ki, Byoung ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02797.

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2023Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173.

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2023Is (independent) subordination relevant?. (2023). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2307.08628.

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2023.

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2023A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming. (2023). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: Papers. RePEc:arx:papers:2303.08968.

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2023Machine Learning and Hamilton-Jacobi-Bellman Equation for Optimal Decumulation: a Comparison Study. (2023). Li, Yuying ; Forsyth, Peter A ; Shirazi, Mohammad ; Chen, Marc. In: Papers. RePEc:arx:papers:2306.10582.

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2023A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. (2023). Dang, Duy-Minh ; Zhang, Hanwen. In: Papers. RePEc:arx:papers:2309.05977.

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2023On optimal tracking portfolio in incomplete markets: The classical control and the reinforcement learning approaches. (2023). Huang, Yijie ; Bo, Lijun ; Yu, Xiang. In: Papers. RePEc:arx:papers:2311.14318.

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2023A stochastic-local volatility model with Le´vy jumps for pricing derivatives. (2023). Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:451:y:2023:i:c:s0096300323002035.

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2023Non-parametric cumulants approach for outlier detection of multivariate financial data. (2023). Ricci, Jacopo Maria ; Giacometti, Rosella ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2305.10911.

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2023ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866.

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2023Geopolitical risk of oil export and import countries and oil futures volatility: Evidence from dynamic model average methods. (2023). Xie, Xuan ; Cheng, YA ; Xu, Xiulian ; Liu, Zhichao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001691.

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2023Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach. (2023). Ozkan, Oktay ; Saleem, Asima ; Khan, Nasir. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000636.

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2023Oil futures volatility prediction: Bagging or combination?. (2023). Zhang, Jixiang ; Ma, Feng ; Lyu, Zhichong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:457-467.

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2023Chinese agricultural futures volatility: New insights from potential domestic and global predictors. (2023). Huang, Dengshi ; Su, Yuandong ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003022.

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2023Macroeconomic attention and oil futures volatility prediction. (2023). Li, Ziwei ; Liu, Shan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005391.

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2023Jumps in the Chinese crude oil futures volatility forecasting: New evidence. (2023). Wu, Hanlin ; Li, Pan ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300453x.

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2023Analysis of firm performance in presence of oil price shocks: Importance of skilled management. (2023). Zhang, Kaiqi ; Liu, Jiayu ; Robert, James. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009765.

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2023Spillover effect among carbon bond market, carbon stock market and energy stock market: Evidence from China. (2023). Hao, Yixue ; Wang, YI ; Guo, Xiaozhu ; Zhang, Wenwen. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008930.

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2023Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x.

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2023A class of portfolio optimization solvable problems. (2023). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Cheng, Yuyang. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005505.

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2023Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model. (2023). Escobar Anel, Marcos ; Zagst, Rudi ; Kschonnek, Michel ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2306.11158.

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2023Optimal job switching and retirement decision. (2023). Park, Kyunghyun ; Jeon, Junkee. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008451.

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2023Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30.

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2023Efficient Pricing and Hedging of High Dimensional American Options Using Recurrent Networks. (2023). Wan, Justin ; Na, Andrew. In: Papers. RePEc:arx:papers:2301.08232.

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2023.

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2023A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model. (2023). Lindgren, Jussi. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:24-:d:1039021.

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2023Fundamental and speculative components of the cryptocurrency pricing dynamics. (2023). Krištoufek, Ladislav ; Kukacka, Jiri. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00465-7.

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2023Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market. (2023). Chia, Wai-Mun ; Wang, Wei-Siang ; Huang, Wei Hong ; Li, Changtai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10224-4.

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2023Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417.

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2023Forecasting crude oil prices in the COVID-19 era: Can machine learn better?. (2023). Meng, Yuhao ; Peng, Yuchao ; Tian, Guangning. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323002864.

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2023Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor. (2023). Zhang, Yaojie ; Shen, Lihua. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300778x.

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2023Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8.

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2023Weak error rates of numerical schemes for rough volatility. (2022). Gassiat, Paul. In: Papers. RePEc:arx:papers:2203.09298.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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Recent citations received in 2023
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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2305.13123.

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2023Rough PDEs for local stochastic volatility models. (2023). Pelizzari, Luca ; Friz, Peter K ; Bayer, Christian ; Bank, Peter. In: Papers. RePEc:arx:papers:2307.09216.

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2023Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling. (2023). Imajo, Kentaro ; Minami, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2307.13217.

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2023The Geometry of Constant Function Market Makers. (2023). Kulkarni, Kshitij ; Evans, Alex ; Diamandis, Theo ; Chitra, Tarun ; Angeris, Guillermo. In: Papers. RePEc:arx:papers:2308.08066.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

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2023Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936.

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2023Primal and dual optimal stopping with signatures. (2023). Pelizzari, Luca ; Bayer, Christian ; Schoenmakers, John. In: Papers. RePEc:arx:papers:2312.03444.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Dynamic spending and portfolio decisions with a soft social norm. (2023). Bjerketvedt, Vegard Skonseng ; Tronnes, Haakon Andreas ; Harang, Fabian Andsem ; Mork, Knut Anton. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000738.

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2023Two-stage investment, loan guarantees and share buybacks. (2023). Yang, Zhaojun ; Nishihara, Michi ; Dong, Linjia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:156:y:2023:i:c:s0165188923001471.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation. (2023). Zoia, Maria Grazia ; Nava, Consuelo Rubina ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001708.

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2023Climbing the income ladder: Search and investment in a regime-switching affine income model. (2023). Serrano, Rafael. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300702x.

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2023News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657.

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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-04102815.

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2023Risk budgeting using a generalized diversity index. (2023). Koumou, Gilles Boevi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00326-z.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z.

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2023Volatility is (mostly) path-dependent. (2023). Lekeufack, Jordan ; Guyon, Julien. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:9:p:1221-1258.

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Recent citations received in 2022
YearCiting document
2022Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524.

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2022Sensitivities and Hedging of the Collateral Choice Option. (2022). Wolf, Felix L ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2207.10373.

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2022Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

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2022A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. In: Papers. RePEc:arx:papers:2208.11976.

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2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

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2022Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823.

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2022Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447.

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2022A Data-driven Case-based Reasoning in Bankruptcy Prediction. (2022). Lessmann, Stefan ; Hardle, Wolfgang Karl ; Li, Wei. In: Papers. RePEc:arx:papers:2211.00921.

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2022Optimal performance of a tontine overlay subject to withdrawal constraints. (2022). Westmacott, G ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2211.10509.

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2022Pricing the risk due to weather conditions in small variable renewable energy projects. (2022). Uribe, Jorge M ; Mosquera-Lopez, Stephania. In: Applied Energy. RePEc:eee:appene:v:322:y:2022:i:c:s0306261922008029.

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2022Inflation rate tracking portfolio optimization method: Evidence from Japan. (2022). Suimon, Yoshiyuki ; Nakagawa, Kei. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003531.

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2022Distributionally robust optimization for the berth allocation problem under uncertainty. (2022). Rodrigues, Filipe ; Agra, Agostinho. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:164:y:2022:i:c:p:1-24.

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2022The Impact of Financial Derivatives on the Enterprise Value of Chinese Listed Companies: Moderating Effects of Managerial Characteristics. (2022). Othman, Jaizah ; Xian, Brian Sheng ; Li, Wenqi ; Yang, AO. In: IJFS. RePEc:gam:jijfss:v:11:y:2022:i:1:p:2-:d:1011454.

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2022A Generalized Entropy Approach to Portfolio Selection under a Hidden Markov Model. (2022). Zhao, Yonggan ; Yu, Lijun ; MacLean, Leonard. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:337-:d:876199.

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2022.

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2022Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model. (2022). Clark, Steven P ; Bueno-Guerrero, Alberto ; Blenman, Lloyd P. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:188-:d:927307.

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2022A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. In: Working Papers. RePEc:hal:wpaper:hal-03760478.

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2022Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03835948.

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2022On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. (2022). Asmussen, Soren. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00482-x.

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2022Optimal Control of Diffusion Processes with Terminal Constraint in Law. (2022). Daudin, Samuel. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:1:d:10.1007_s10957-022-02053-8.

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2022A hybrid approach to the discrepancy in financial performance’s robustness. (2022). Rossello, Damiano ; Arcidiacono, Sally G. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:5:d:10.1007_s12351-022-00707-z.

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2022Venturing into uncharted territory: An extensible implied volatility surface model. (2022). Godin, Frederic ; Gauthier, Genevieve ; Galarneauvincent, Remi ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1912-1940.

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Recent citations received in 2021
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2021.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2021The 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.

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2021Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551.

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2021Generative Adversarial Networks in finance: an overview. (2021). Osterrieder, Joerg ; Eckerli, Florian. In: Papers. RePEc:arx:papers:2106.06364.

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2021Robust deep hedging. (2021). Sester, Julian ; Schmidt, Thorsten ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2106.10024.

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2021On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758.

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2021Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721.

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2021cCorrGAN: 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.

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2021Deep 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.

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2021Moving 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.

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2021Deep 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.

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2021On certain representations of pricing functionals. (2021). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2109.05564.

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2021A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742.

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2021Semimartingale 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.

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2021Mesoscopic 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.

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2021Multi-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.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2021Artificial 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.

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2021The 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.

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2021CTMC 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.

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2021Forecasting 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.

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2021On 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.

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2021A 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.

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2021Predicting 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.

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2021Predicting 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.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2021Deep 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.

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2021Trend 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.

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2021The 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.

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2021.

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2021A 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.

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2021Risk 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.

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2021Markovian 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.

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2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

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2021Hierarchical 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.

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2021Model 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.

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2021Hierarchical 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.

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2021Forecasting 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.

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2021Quantile-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.

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2021A 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.

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2021A 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.

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2021Duality 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.

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2021Robust state-dependent mean–variance 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.

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2021Robust 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.

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2021Mesoscopic 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.

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Recent citations received in 2020
YearCiting document
2020Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2001.08442.

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2020A 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.

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2020Old Problems, Classical Methods, New Solutions. (2020). Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.06903.

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2020One model does not fit all: a multi-scale analysis of eighty-four cryptocurrencies. (2020). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:2003.09720.

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2020Where 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.

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2020Effects of MiFID II on stock price formation. (2020). De Vilder, Robin ; Kleijn, Bas ; Derksen, Mike. In: Papers. RePEc:arx:papers:2003.10353.

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2020A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.10502.

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2020From 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.

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2020Non-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.

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2020Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390.

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2020Doubly 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.

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2020An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515.

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2020Improving 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.

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2020Pricing Options Under Rough Volatility with Backward SPDEs. (2020). Yao, Yao ; Qiu, Jinniao ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.01241.

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2020Covid-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.

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2020CoVaR 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.

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2020A 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.

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2020The 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.

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2020Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900.

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2020A 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.

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2020Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147.

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2020An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625.

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2020The 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.

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2020Adversarial trading. (2020). Miot, Alexandre. In: Papers. RePEc:arx:papers:2101.03128.

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2020Cyber 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.

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2020Trading 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.

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2020The 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.

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2020Tail 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.

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2020Dynamic 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.

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2020What 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.

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2020Safe 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.

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2020Gold, 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.

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2020Volatility 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.

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2020Are 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.

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2020Improving 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.

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2020Portfolio 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.

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2020Least 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.

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2020Least-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.

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2020Volatility 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.

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2020Sovereign 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.

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2020Markowitz 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.

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2020Robust 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.

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2020Non-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.

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2020How Boltzmann Entropy Improves Prediction with LSTM. (2020). Grilli, Luca ; Santoro, Domenico. In: MPRA Paper. RePEc:pra:mprapa:100578.

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2020Predictive 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.

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2020Will 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.

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2020The 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.

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