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Algorithmic Finance / IOS Press

Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
9
Impact Factor (IF)
0
5 Years IF
0
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
2011 0 0.51 0.4 0 5 5 29 2 3 0 0 0 2 0.4 0.24
2013 0.4 0.54 0.33 0.4 16 21 78 7 11 5 2 5 2 0 5 0.31 0.24
2014 0.69 0.53 0.33 0.52 12 33 9 11 22 16 11 21 11 0 0 0.22
2015 0.18 0.53 0.16 0.18 10 43 31 7 29 28 5 33 6 0 1 0.1 0.22
2016 0.14 0.5 0.36 0.42 10 53 18 19 48 22 3 43 18 0 1 0.1 0.2
2017 0.05 0.52 0.19 0.23 9 62 49 12 60 20 1 48 11 0 0 0.21
2018 0.05 0.53 0.11 0.11 9 71 11 8 68 19 1 57 6 0 0 0.22
2019 0.5 0.54 0.34 0.36 5 76 0 26 94 18 9 50 18 0 0 0.21
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12017Classification-based financial markets prediction using deep neural networks. (2017). Dixon, Matthew ; Bang, Jin Hoon ; Klabjan, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0059.

Full description at Econpapers || Download paper

33
22011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Stoikov, Sasha ; Avellaneda, Marco ; Reed, Josh. In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

18
32013The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015.

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

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15
52013A big data approach to analyzing market volatility. (2013). Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng ; Leinweber, David. In: Algorithmic Finance. RePEc:ris:iosalg:0016.

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

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12
72017Trump tweets and the efficient Market Hypothesis. (2017). Clark, William J ; Born, Jeffery A ; Myers, David H. In: Algorithmic Finance. RePEc:ris:iosalg:0062.

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10
82013Stock chatter: Using stock sentiment to predict price direction. (2013). Srinivasan, Padmini ; Street, Nick W. ; Rechenthin, Michael . In: Algorithmic Finance. RePEc:ris:iosalg:0012.

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10
92015Market sentiment and exchange rate directional forecasting. (2015). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; Gogas, Periklis ; Diamantaras, Konstantinos. In: Algorithmic Finance. RePEc:ris:iosalg:0037.

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9
102015Smile in motion: An intraday analysis of asymmetric implied volatility. (2015). Wallmeier, Martin. In: Algorithmic Finance. RePEc:ris:iosalg:0039.

Full description at Econpapers || Download paper

8
112018Cryptoasset factor models. (2018). Kakushadze, Zura. In: Algorithmic Finance. RePEc:ris:iosalg:0070.

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7
122016Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051.

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7
132015Predictable markets? A news-driven model of the stock market. (2015). Zhilyaev, Maxim ; Gusev, Maxim ; Ushanov, Dmitry ; Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V. In: Algorithmic Finance. RePEc:ris:iosalg:0035.

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5
142015Multi-scale capability: A better approach to performance measurement for algorithmic trading. (2015). Cooper, Ricky ; Ong, Michael ; van Vliet, Ben. In: Algorithmic Finance. RePEc:ris:iosalg:0036.

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5
152013Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Mankad, Shawn ; Michailidis, George. In: Algorithmic Finance. RePEc:ris:iosalg:0021.

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4
162011Markets are efficient if and only if P=NP. (2011). Maymin, Philip. In: Algorithmic Finance. RePEc:ris:iosalg:0001.

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4
172016The network of the Italian stock market during the 2008–2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053.

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4
182013Sparse, mean reverting portfolio selection using simulated annealing. (2013). Fogarasi, Norbert ; Levendovszky, Janos. In: Algorithmic Finance. RePEc:ris:iosalg:0013.

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4
192013A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025.

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4
202016Sensitivity and computational complexity in financial networks. (2016). Khanna, Sanjeev ; Hemenway, Brett. In: Algorithmic Finance. RePEc:ris:iosalg:0052.

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4
212017Impact of global financial crisis on network of Asian stock markets. (2017). Aswani, Jitendra. In: Algorithmic Finance. RePEc:ris:iosalg:0060.

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4
222011Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002.

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3
232017AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. (2017). Jiang, Yupeng ; Capriotti, Luca ; Macrina, Andrea. In: Algorithmic Finance. RePEc:ris:iosalg:0057.

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3
242014The extent of price misalignment in prediction markets. (2014). Rothschild, David ; Pennock, David M.. In: Algorithmic Finance. RePEc:ris:iosalg:0007.

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3
252018How hard is it to pick the right model? MCS and backtest overfitting. (2018). de Prado, Marcos Lopez ; Aparicio, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0067.

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3
262013Optimizing sparse mean reverting portfolios. (2013). Sipos, Robert I. ; Levendovszky, Janos. In: Algorithmic Finance. RePEc:ris:iosalg:0019.

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3
272014Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., ; Chen, Bryant . In: Algorithmic Finance. RePEc:ris:iosalg:0010.

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3
282015Microstructure-based order placement in a continuous double auction agent based model. (2015). Mande, Alexandru. In: Algorithmic Finance. RePEc:ris:iosalg:0040.

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3
292011Efficient greek estimation in generic swap-rate market models. (2011). Joshi, Mark ; Yang, Chao. In: Algorithmic Finance. RePEc:ris:iosalg:0003.

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3
302014Stochastic flow diagrams. (2014). Calkin, Neil J. ; de Prado, Marcos Lopez. In: Algorithmic Finance. RePEc:ris:iosalg:0008.

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2
312014The design and performance of the adaptive stock market index. (2014). Zatlavi, Lior ; Ben-Jacob, Eshel ; Kenett, Dror Y. In: Algorithmic Finance. RePEc:ris:iosalg:0031.

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2
322015Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks. (2015). Capriotti, Luca. In: Algorithmic Finance. RePEc:ris:iosalg:0038.

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2
332011Behavioral biases and investor performance.. (2011). Feldman, Todd. In: Algorithmic Finance. RePEc:ris:iosalg:0005.

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2
342018Machine learning and corporate bond trading. (2018). Capriotti, Luca ; Lee, Jacky ; Wright, Dominic. In: Algorithmic Finance. RePEc:ris:iosalg:0071.

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2
352016Natural time analysis in financial markets. (2016). Mintzelas, A. In: Algorithmic Finance. RePEc:ris:iosalg:0048.

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1
362016Darwinian adverse selection. (2016). Kuhle, Wolfgang. In: Algorithmic Finance. RePEc:ris:iosalg:0047.

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1
372013The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective. (2013). Tapiero, Oren J.. In: Algorithmic Finance. RePEc:ris:iosalg:0020.

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1
382016Extracting predictive information from heterogeneous data streams using Gaussian Processes. (2016). Roberts, S ; Ghoshal, S. In: Algorithmic Finance. RePEc:ris:iosalg:0046.

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1
392016Multi-scale representation of high frequency market liquidity. (2016). Chliamovitch, Gregor ; Chopard, Bastien ; Golub, Anton ; Dupuis, Alexandre. In: Algorithmic Finance. RePEc:ris:iosalg:0045.

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1
402013Modeling market impact and timing risk in volume time. (2013). Mazur, Slava . In: Algorithmic Finance. RePEc:ris:iosalg:0018.

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

Full description at Econpapers || Download paper

12
22016Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051.

Full description at Econpapers || Download paper

5
32015Market sentiment and exchange rate directional forecasting. (2015). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; Gogas, Periklis ; Diamantaras, Konstantinos. In: Algorithmic Finance. RePEc:ris:iosalg:0037.

Full description at Econpapers || Download paper

3
42018How hard is it to pick the right model? MCS and backtest overfitting. (2018). de Prado, Marcos Lopez ; Aparicio, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0067.

Full description at Econpapers || Download paper

3
52011Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Stoikov, Sasha ; Avellaneda, Marco ; Reed, Josh. In: Algorithmic Finance. RePEc:ris:iosalg:0004.

Full description at Econpapers || Download paper

3
62015Microstructure-based order placement in a continuous double auction agent based model. (2015). Mande, Alexandru. In: Algorithmic Finance. RePEc:ris:iosalg:0040.

Full description at Econpapers || Download paper

2
72017Impact of global financial crisis on network of Asian stock markets. (2017). Aswani, Jitendra. In: Algorithmic Finance. RePEc:ris:iosalg:0060.

Full description at Econpapers || Download paper

2
82015Multi-scale capability: A better approach to performance measurement for algorithmic trading. (2015). Cooper, Ricky ; Ong, Michael ; van Vliet, Ben. In: Algorithmic Finance. RePEc:ris:iosalg:0036.

Full description at Econpapers || Download paper

2
92016The network of the Italian stock market during the 2008–2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053.

Full description at Econpapers || Download paper

2
102013Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Mankad, Shawn ; Michailidis, George. In: Algorithmic Finance. RePEc:ris:iosalg:0021.

Full description at Econpapers || Download paper

2
112013Sparse, mean reverting portfolio selection using simulated annealing. (2013). Fogarasi, Norbert ; Levendovszky, Janos. In: Algorithmic Finance. RePEc:ris:iosalg:0013.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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