Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
63
Impact Factor (IF)
0.63
5 Years IF
0.79
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
2001 0 0.38 0.46 0 67 67 3074 27 36 0 0 0 27 0.4 0.17
2002 0.57 0.39 0.46 0.57 63 130 1144 56 96 67 38 67 38 4 7.1 10 0.16 0.2
2003 0.67 0.43 0.68 0.67 68 198 922 132 230 130 87 130 87 16 12.1 6 0.09 0.21
2004 0.52 0.47 0.66 0.56 67 265 1361 171 404 131 68 198 110 23 13.5 15 0.22 0.21
2005 0.41 0.5 0.82 0.61 50 315 1152 250 661 135 56 265 162 21 8.4 7 0.14 0.23
2006 0.49 0.49 0.82 0.61 45 360 597 286 955 117 57 315 193 39 13.6 11 0.24 0.22
2007 0.45 0.44 0.67 0.46 63 423 777 276 1240 95 43 293 136 18 6.5 10 0.16 0.2
2008 0.28 0.47 0.77 0.46 64 487 880 365 1614 108 30 293 134 35 9.6 19 0.3 0.22
2009 0.31 0.46 0.77 0.56 80 567 837 431 2053 127 39 289 163 33 7.7 6 0.08 0.23
2010 0.45 0.46 0.73 0.55 114 681 1933 494 2551 144 65 302 166 35 7.1 28 0.25 0.2
2011 0.41 0.51 0.66 0.43 130 811 1002 531 3088 194 79 366 157 39 7.3 22 0.17 0.24
2012 0.54 0.5 0.77 0.6 166 977 1126 744 3838 244 131 451 271 61 8.2 22 0.13 0.21
2013 0.46 0.54 0.92 0.62 140 1117 1205 1026 4868 296 137 554 343 57 5.6 30 0.21 0.24
2014 0.49 0.53 0.9 0.61 155 1272 1118 1137 6018 306 149 630 386 54 4.7 24 0.15 0.22
2015 0.58 0.53 0.89 0.59 141 1413 1430 1252 7272 295 171 705 415 70 5.6 69 0.49 0.22
2016 0.7 0.5 1.01 0.62 136 1549 1137 1566 8839 296 208 732 453 90 5.7 31 0.23 0.2
2017 0.66 0.52 0.88 0.64 141 1690 1047 1493 10333 277 184 738 474 75 5 36 0.26 0.21
2018 0.76 0.53 0.9 0.7 151 1841 1069 1654 11988 277 210 713 500 18 1.1 42 0.28 0.22
2019 0.75 0.54 0.86 0.73 154 1995 994 1711 13701 292 220 724 527 4 0.2 41 0.27 0.21
2020 0.91 0.64 1 0.86 137 2132 597 2139 15843 305 277 723 621 12 0.6 49 0.36 0.3
2021 0.91 0.74 0.95 0.81 132 2264 591 2162 18005 291 264 719 585 6 0.3 54 0.41 0.27
2022 0.83 0.74 0.9 0.84 138 2402 257 2172 20177 269 222 715 604 3 0.1 20 0.14 0.22
2023 0.73 0.7 0.78 0.72 117 2519 194 1976 22153 270 196 712 516 13 0.7 18 0.15 0.2
2024 0.63 0.82 0.86 0.79 104 2623 99 2251 24404 255 160 678 539 0 32 0.31 0.24
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.

Full description at Econpapers || Download paper

1381
22004Network topology of the interbank market. (2004). Thurner, Stefan ; Summer, Martin ; Elsinger, Helmut ; Boss, Michael. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

395
32005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Gonzalez-Hermosillo, Brenda. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

287
42016Pricing under rough volatility. (2016). Friz, Peter ; Gatheral, Jim ; Bayer, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

Full description at Econpapers || Download paper

266
52018Volatility is rough. (2018). Jaisson, Thibault ; Rosenbaum, Mathieu ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

Full description at Econpapers || Download paper

261
62001What 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

250
72008High-frequency trading in a limit order book. (2008). Stoikov, Sasha ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

219
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.

Full description at Econpapers || Download paper

208
92001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

Full description at Econpapers || Download paper

200
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.

Full description at Econpapers || Download paper

180
112002Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Mezard, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

Full description at Econpapers || Download paper

173
122004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

Full description at Econpapers || Download paper

172
132002Dynamics 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

168
142011Econophysics review: I. Empirical facts. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

166
152010Portfolio 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

165
162003Dependence structures for multivariate high-frequency data in finance. (2003). Breymann, W. ; Embrechts, P. ; Dias, A.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

Full description at Econpapers || Download paper

161
172001Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong (Tony) ; X-Z. He, ; Chiarella, C.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

Full description at Econpapers || Download paper

157
182010No-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

156
192002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

Full description at Econpapers || Download paper

154
202003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

Full description at Econpapers || Download paper

150
212017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; He, Kaijian ; Stanley, Eugene H ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

Full description at Econpapers || Download paper

148
222007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

Full description at Econpapers || Download paper

145
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.

Full description at Econpapers || Download paper

140
242010Statistical arbitrage in the US equities market. (2010). Avellaneda, Marco ; Lee, Jeong-Hyun. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

139
252001Optimal positioning in derivative securities. (2001). Carr, P. ; Madan, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

135
262013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Delattre, S. ; Muzy, J. F. ; Bacry, E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

Full description at Econpapers || Download paper

133
272004What really causes large price changes?. (2004). Farmer, J. ; Gillemot, Laszlo ; Lillo, Fabrizio ; Sen, Anindya ; Mike, Szabolcs . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

Full description at Econpapers || Download paper

132
282011Econophysics review: II. Agent-based models. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

Full description at Econpapers || Download paper

117
292010A 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

114
302001High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Bonanno, G. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

Full description at Econpapers || Download paper

112
312019Universal 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

112
322015Filling 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

104
332001Significance of log-periodic precursors to financial crashes. (2001). Sornette, D. ; Johansen, A.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

Full description at Econpapers || Download paper

103
342010Financial 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

100
352013Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

Full description at Econpapers || Download paper

97
362007Ambiguity 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

96
372002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

Full description at Econpapers || Download paper

96
382015On elicitable risk measures. (2015). Bignozzi, Valeria ; Bellini, Fabio. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

Full description at Econpapers || Download paper

93
392014Arbitrage-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

92
402004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard ; Muller, Alfred. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

Full description at Econpapers || Download paper

91
412012The price impact of order book events: market orders, limit orders and cancellations. (2012). Kockelkoren, Julien ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

Full description at Econpapers || Download paper

86
422020A critical investigation of cryptocurrency data and analysis. (2020). Alexander, Carol ; Dakos, M. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

Full description at Econpapers || Download paper

84
432001Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631.

Full description at Econpapers || Download paper

81
442012Leverage causes fat tails and clustered volatility. (2012). Thurner, Stefan ; Farmer, J. ; Geanakoplos, John. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707.

Full description at Econpapers || Download paper

81
452003Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250.

Full description at Econpapers || Download paper

79
462008A 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.

Full description at Econpapers || Download paper

79
472003Systematic risk and timescales. (2003). Genay, Ramazan ; Whitcher, Brandon. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

Full description at Econpapers || Download paper

78
482005Optimal 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.

Full description at Econpapers || Download paper

77
492013Optimal high-frequency trading with limit and market orders. (2013). Huyên Pham, ; Guilbaud, Fabien . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

Full description at Econpapers || Download paper

76
502010International 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.

Full description at Econpapers || Download paper

75
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

259
22016Pricing under rough volatility. (2016). Friz, Peter ; Gatheral, Jim ; Bayer, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

Full description at Econpapers || Download paper

107
32018Volatility is rough. (2018). Jaisson, Thibault ; Rosenbaum, Mathieu ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

Full description at Econpapers || Download paper

67
42008High-frequency trading in a limit order book. (2008). Stoikov, Sasha ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

64
52017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; He, Kaijian ; Stanley, Eugene H ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

Full description at Econpapers || Download paper

61
62010Robustness 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

57
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

49
82020A critical investigation of cryptocurrency data and analysis. (2020). Alexander, Carol ; Dakos, M. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

Full description at Econpapers || Download paper

46
92010Statistical arbitrage in the US equities market. (2010). Avellaneda, Marco ; Lee, Jeong-Hyun. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

43
102020Quant GANs: deep generation of financial time series. (2020). Knobloch, Robert ; Korn, Ralf ; Kretschmer, Peter ; Wiese, Magnus. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:9:p:1419-1440.

Full description at Econpapers || Download paper

41
112021Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. (2021). Tomas, Mehdi ; Horvath, Blanka ; Muguruza, Aitor. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:11-27.

Full description at Econpapers || Download paper

40
122010Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

Full description at Econpapers || Download paper

35
132010No-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

35
142015The 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

34
152018Hawkes processes and their applications to finance: a review. (2018). Hawkes, Alan G. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:2:p:193-198.

Full description at Econpapers || Download paper

34
162002Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Mezard, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

Full description at Econpapers || Download paper

34
172007Ambiguity 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

33
182019Gold price dynamics and the role of uncertainty. (2019). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:663-681.

Full description at Econpapers || Download paper

32
192004Network topology of the interbank market. (2004). Thurner, Stefan ; Summer, Martin ; Elsinger, Helmut ; Boss, Michael. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

31
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

30
212010Portfolio 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

29
222015Filling 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
232015On elicitable risk measures. (2015). Bignozzi, Valeria ; Bellini, Fabio. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

Full description at Econpapers || Download paper

28
242021Multilayer information spillover networks: measuring interconnectedness of financial institutions. (2021). Wang, Gang-Jin ; Yi, Shuyue ; Stanley, Eugene H ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:7:p:1163-1185.

Full description at Econpapers || Download paper

28
252001What 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

27
262021Volatility has to be rough. (2021). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:1-8.

Full description at Econpapers || Download paper

26
272018Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. (2018). Schoutens, Wim ; Reyners, Sofie ; de Spiegeleer, Jan ; Madan, Dilip B. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1635-1643.

Full description at Econpapers || Download paper

26
282010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

Full description at Econpapers || Download paper

26
292019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:12:p:1995-2013.

Full description at Econpapers || Download paper

26
302002Dynamics 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

24
312013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Delattre, S. ; Muzy, J. F. ; Bacry, E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

Full description at Econpapers || Download paper

24
322024The contagion of extreme risks between fossil and green energy markets: evidence from China. (2024). Ren, Xiaohang ; Gözgör, Giray ; He, Feng. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:5:p:627-642.

Full description at Econpapers || Download paper

23
332002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

Full description at Econpapers || Download paper

23
342023Volatility is (mostly) path-dependent. (2023). Guyon, Julien ; Lekeufack, Jordan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:9:p:1221-1258.

Full description at Econpapers || Download paper

22
352005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Gonzalez-Hermosillo, Brenda. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

22
362012The price impact of order book events: market orders, limit orders and cancellations. (2012). Kockelkoren, Julien ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

Full description at Econpapers || Download paper

21
372015A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Bonart, J ; Mastromatteo, I. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121.

Full description at Econpapers || Download paper

21
382010A 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

21
392011Econophysics review: I. Empirical facts. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

21
402015Partial correlation analysis: applications for financial markets. (2015). Huang, Xuqing ; Havlin, Shlomo ; Vodenska, Irena ; Stanley, Eugene H. ; Kenett, Dror Y.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:569-578.

Full description at Econpapers || Download paper

21
412005Optimal 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.

Full description at Econpapers || Download paper

21
422004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

Full description at Econpapers || Download paper

20
432011Econophysics review: II. Agent-based models. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

Full description at Econpapers || Download paper

20
442013Optimal high-frequency trading with limit and market orders. (2013). Huyên Pham, ; Guilbaud, Fabien . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

Full description at Econpapers || Download paper

20
452019Deep learning for limit order books. (2019). Sirignano, Justin A. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:4:p:549-570.

Full description at Econpapers || Download paper

20
462001Optimal positioning in derivative securities. (2001). Carr, P. ; Madan, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

19
472019On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators. (2019). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:5:p:843-858.

Full description at Econpapers || Download paper

19
482021Equal risk pricing of derivatives with deep hedging. (2021). Godin, Frederic ; Carbonneau, Alexandre. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:4:p:593-608.

Full description at Econpapers || Download paper

18
492016The profitability of pairs trading strategies: distance, cointegration and copula methods. (2016). faff, robert ; Yew, Rand Kwong ; Rad, Hossein. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:10:p:1541-1558.

Full description at Econpapers || Download paper

18
502021Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies. (2021). Trimborn, Simon ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Elendner, Hermann ; Petukhina, Alla. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:11:p:1825-1853.

Full description at Econpapers || Download paper

18
Citing documents used to compute impact factor: 160
YearTitle
2024Investment–consumption optimization with transaction cost and learning about return predictability. (2024). Siu, Tak Kuen ; Wang, Ning. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:877-891.

Full description at Econpapers || Download paper

2024Ponzi Funds. (2024). van der Beck, Philippe ; Bouchaud, Jean-Philippe ; Villamaina, Dario. In: Papers. RePEc:arx:papers:2405.12768.

Full description at Econpapers || Download paper

2024Calibrating doubly-robust estimators with unbalanced treatment assignment. (2024). Ballinari, Daniele. In: Economics Letters. RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003227.

Full description at Econpapers || Download paper

2024A market resilient data-driven approach to option pricing. (2024). Rana, Nimit ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2409.08205.

Full description at Econpapers || Download paper

2024Variance insurance contracts. (2024). Chi, Yichun ; Yu, Xun ; Zhuang, Sheng Chao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:62-82.

Full description at Econpapers || Download paper

2024A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling. (2024). David, S A ; Kristoufek, L ; Queiroz, R. G. S., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:652:y:2024:i:c:s0378437124005557.

Full description at Econpapers || Download paper

2024Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification. (2024). Ricca, Federica ; Scozzari, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:700-717.

Full description at Econpapers || Download paper

2024Enhancing Portfolio Allocation: A Random Matrix Theory Perspective. (2024). Vanni, Fabio ; Mastrogiacomo, Elisa ; Hitaj, Asmerilda. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:9:p:1389-:d:1387490.

Full description at Econpapers || Download paper

2024A Fuzzy Entropy Approach for Portfolio Selection. (2024). Bonacic, Milena ; Perez, Juan ; Lopez-Ospina, Hector ; Bravo, Cristian. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:13:p:1921-:d:1419358.

Full description at Econpapers || Download paper

2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

Full description at Econpapers || Download paper

2024The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach. (2024). Darne, Olivier ; Levy-Rueff, Guy ; Pop, Adrian. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001007.

Full description at Econpapers || Download paper

2024Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference. (2024). Gebbie, Tim ; Flint, Emlyn ; Polakow, Daniel. In: Papers. RePEc:arx:papers:2311.16570.

Full description at Econpapers || Download paper

2024Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management. (2024). Li, Zhenglong ; Tam, Vincent ; Yeung, Kwan L. In: Papers. RePEc:arx:papers:2402.00515.

Full description at Econpapers || Download paper

2024Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572.

Full description at Econpapers || Download paper

2024Market efficiency, informational asymmetry and pseudo-collusion of adaptively learning agents. (2024). Pastushkov, Aleksei. In: Papers. RePEc:arx:papers:2411.05032.

Full description at Econpapers || Download paper

2024Multistep short-term wind power forecasting model based on secondary decomposition, the kernel principal component analysis, an enhanced arithmetic optimization algorithm, and error correction. (2024). Fan, Yuzhen ; Wang, Junjie ; Hou, Guolian. In: Energy. RePEc:eee:energy:v:286:y:2024:i:c:s0360544223030347.

Full description at Econpapers || Download paper

2024A time-frequency-based interval decomposition ensemble method for forecasting gasoil prices under the trend of low-carbon development. (2024). Yan, Zichun ; Sun, Yuying ; Wang, Shouyang ; Tian, Fangzhu. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003177.

Full description at Econpapers || Download paper

2024Climate change and crude oil prices: An interval forecast model with interval-valued textual data. (2024). Hong, Yongmiao ; Cheng, Zishu ; Sun, Yuying ; Wang, Shouyang ; Li, Mingchen. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003207.

Full description at Econpapers || Download paper

2024Forecasting interval carbon price through a multi-scale interval-valued decomposition ensemble approach. (2024). Wang, Shouyang ; Hong, Yongmiao ; Yang, Kun ; Sun, Yuying. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006601.

Full description at Econpapers || Download paper

2024An abelian way approach to study random extended intervals and their ARMA processes. (2024). SADEFO KAMDEM, Jules ; Ogouyandjou, Carlos ; Guemdjo, Babel Raissa. In: Post-Print. RePEc:hal:journl:hal-04506343.

Full description at Econpapers || Download paper

2024Impacts of bitcoin on monetary system: Is Chinas bitcoin ban necessary?. (2024). Li, Xiao ; Wu, Ruoxi ; Wang, Chen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000291.

Full description at Econpapers || Download paper

2024Put–call parity in a crypto option market — Evidence from Binance. (2024). Felfoldi-Szcs, Nora ; Varadi, Kata ; Kralik, Balazs. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012461.

Full description at Econpapers || Download paper

2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

Full description at Econpapers || Download paper

2024Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions. (2024). , Julie ; Hilliard, Jitka. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000278.

Full description at Econpapers || Download paper

2024Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces. (2024). Grzelak, Lech A ; Perotti, Leonardo ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2411.04041.

Full description at Econpapers || Download paper

2024Financial constraints prediction to lead socio-economic development: An application of neural networks to the Italian market. (2024). Ippoliti, Roberto ; Falavigna, G ; Calabrese, G G. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001721.

Full description at Econpapers || Download paper

2024Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

Full description at Econpapers || Download paper

2024On the superior performance of SRI funds. (2024). Ma, Zongming ; Zhao, Yonggan ; Fooladi, Iraj ; Fatemi, Ali. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:567-581.

Full description at Econpapers || Download paper

2024Exogenous and endogenous factors affecting stock market transactions: A Hawkes process analysis of the Tokyo Stock Exchange during the COVID-19 pandemic. (2024). Ito, Mariko I ; Honma, Yudai ; Aihara, Kazuyuki ; Watanabe, Tsutomu ; Ohnishi, Takaaki. In: PLOS ONE. RePEc:plo:pone00:0301462.

Full description at Econpapers || Download paper

2024Can central bankers’ talk predict bank stock returns? A machine learning approach. (2024). Leledakis, George ; Pyrgiotakis, Emmanouil G ; Panagiotou, Nikolaos P ; Katsafados, Apostolos G. In: MPRA Paper. RePEc:pra:mprapa:122899.

Full description at Econpapers || Download paper

2024Deep calibration with random grids. (2024). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061.

Full description at Econpapers || Download paper

2024A generalization of the rational rough Heston approximation. (2024). Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2310.09181.

Full description at Econpapers || Download paper

2024Limit Order Book Simulations: A Review. (2024). Firoozye, Nikan ; Treleaven, Philip ; Jain, Konark ; Kochems, Jonathan. In: Papers. RePEc:arx:papers:2402.17359.

Full description at Econpapers || Download paper

2024Limit Order Book Simulation and Trade Evaluation with $K$-Nearest-Neighbor Resampling. (2024). Oomen, Roel ; Giegrich, Michael ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2409.06514.

Full description at Econpapers || Download paper

2024Short-term stock price trend prediction with imaging high frequency limit order book data. (2024). Ye, Wuyi ; Chen, Pengzhan ; Yang, Jinting. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1189-1205.

Full description at Econpapers || Download paper

2024Limit Order Book dynamics and order size modelling using Compound Hawkes Process. (2024). Firoozye, Nikan ; Treleaven, Philip ; Kochems, Jonathan ; Jain, Konark. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011863.

Full description at Econpapers || Download paper

2024Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. (2024). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2309.08431.

Full description at Econpapers || Download paper

2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

Full description at Econpapers || Download paper

2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

Full description at Econpapers || Download paper

2024A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models. (2024). Schoenmakers, John ; Butkovsky, Oleg ; Belomestny, Denis ; Bayer, Christian. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00541-5.

Full description at Econpapers || Download paper

2024Quantization of stochastic volatility models: Numerical tests and an open source implementation. (2024). Picarelli, Athena ; Gnoatto, Alessandro ; Fina, Alessandro. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:29-51.

Full description at Econpapers || Download paper

2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2302.00728.

Full description at Econpapers || Download paper

2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

Full description at Econpapers || Download paper

2024Spanning Multi-Asset Payoffs With ReLUs. (2024). Cr, St'Ephane ; Bossu, S'Ebastien ; Nguyen, Hoang-Dung. In: Papers. RePEc:arx:papers:2403.14231.

Full description at Econpapers || Download paper

2024Navigating the crisis: Fuel price caps in the Australian national wholesale electricity market. (2024). Nepal, Rabindra ; Khezr, Peyman ; Jamasb, Tooraj ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007351.

Full description at Econpapers || Download paper

2024Entropy Augmented Asset Pricing Model: Study on Indian Stock Market. (2024). Barai, Parama ; Mishra, Harshit. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09407-w.

Full description at Econpapers || Download paper

2024Towards an era of multi-source uncertainty: A systematic and bibliometric analysis. (2024). Wang, Ziyi ; Geng, Yong ; Zhong, Yiran ; Tan, Xueping ; Zhao, Difei ; Vivian, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003430.

Full description at Econpapers || Download paper

2024Market responses to spillovers in the energy commodity markets: Evaluating short-term vs. long-term effects and business-as-usual vs. distressed phases. (2024). Chiappari, Mattia ; Flori, Andrea ; Scotti, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005970.

Full description at Econpapers || Download paper

2024Statistically validated coeherence and intensity in temporal networks of information flows. (2024). Pagnottoni, Paolo ; Spelta, Alessandro. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:1:d:10.1007_s10260-023-00724-y.

Full description at Econpapers || Download paper

2024Relative entropy-regularized robust optimal order execution. (2024). Wang, Tai-Ho. In: Papers. RePEc:arx:papers:2311.06476.

Full description at Econpapers || Download paper

2024Viscosity solution for optimal liquidation problems with randomly-terminated horizon. (2024). Ching, Wai-Ki ; Wong, Tak Kwong ; Yang, Qing-Qing ; Gu, Jia-Wen ; Zhu, Dong-Mei. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000734.

Full description at Econpapers || Download paper

2024Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior. (2024). Yao, Zhiyuan ; Li, Zheng ; Thomas, Matthew ; Florescu, Ionut. In: Papers. RePEc:arx:papers:2403.19781.

Full description at Econpapers || Download paper

2024Deep reinforcement learning for portfolio selection. (2024). Atwi, Majed ; Olmo, Jose ; Jiang, Yifu. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000887.

Full description at Econpapers || Download paper

2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Ye, Junyi ; Gu, Jingyi ; Wang, Guiling ; Goswami, Bhaskar ; Uddin, Ajim. In: Papers. RePEc:arx:papers:2403.06779.

Full description at Econpapers || Download paper

2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). Rodrigues, Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

Full description at Econpapers || Download paper

2024Market price determination: Interpreting quote order imbalance under zero-profit equilibrium. (2024). Long, Yunshen ; Wu, Liang ; Yan, Jingzhou. In: Economic Modelling. RePEc:eee:ecmode:v:134:y:2024:i:c:s0264999324000646.

Full description at Econpapers || Download paper

2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

Full description at Econpapers || Download paper

2024Improved prediction of global gold prices: An innovative Hurst-reconfiguration-based machine learning approach. (2024). Zeng, Zixun ; Wang, Ruotong ; Li, Peizhi ; Yang, MO. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011418.

Full description at Econpapers || Download paper

2024Fractal properties, information theory, and market efficiency. (2024). Brouty, Xavier ; Garcin, Matthieu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948.

Full description at Econpapers || Download paper

2024Pairs trading with costly short-selling. (2024). Xu, Jing ; Yang, Peiquan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001337.

Full description at Econpapers || Download paper

2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

Full description at Econpapers || Download paper

2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240051.

Full description at Econpapers || Download paper

2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

Full description at Econpapers || Download paper

2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

Full description at Econpapers || Download paper

2024On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market. (2024). Zhang, Yiying ; Wei, Yunran ; Pu, Tong. In: Papers. RePEc:arx:papers:2411.09676.

Full description at Econpapers || Download paper

2024Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach. (2024). Mba, Jules Clement. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00559-2.

Full description at Econpapers || Download paper

2024Construction and Hedging of Equity Index Options Portfolios. (2024). Ślepaczuk, Robert ; Wysocki, Maciej. In: Papers. RePEc:arx:papers:2407.13908.

Full description at Econpapers || Download paper

2024Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos. In: Papers. RePEc:arx:papers:2407.14736.

Full description at Econpapers || Download paper

2024Enhancing Black-Scholes Delta Hedging via Deep Learning. (2024). Wan, Xiangwei ; Qiao, Chunhui. In: Papers. RePEc:arx:papers:2407.19367.

Full description at Econpapers || Download paper

2024European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning. (2024). Gupta, Arvind Kumar ; Kumar, Arun ; Pasricha, Puneet ; Pande, Naman Krishna. In: Papers. RePEc:arx:papers:2410.10474.

Full description at Econpapers || Download paper

2024Hedging and Pricing Structured Products Featuring Multiple Underlying Assets. (2024). Schlener, Mario ; Dejesus, Julio ; Noh, Jaesun ; Chen, Freeman ; Sharma, Anil. In: Papers. RePEc:arx:papers:2411.01121.

Full description at Econpapers || Download paper

2024A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging. (2024). Wu, YI ; Xiao, BO ; Zhou, Xiang ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2411.09659.

Full description at Econpapers || Download paper

2024Rough differential equations for volatility. (2024). Gasteratos, Ioannis ; Jacquier, Antoine ; Bonesini, Ofelia ; Ferrucci, Emilio. In: Papers. RePEc:arx:papers:2412.21192.

Full description at Econpapers || Download paper

2024Price predictability at ultra-high frequency: Entropy-based randomness test. (2024). Marmi, Stefano ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2312.16637.

Full description at Econpapers || Download paper

2024Variance of entropy for testing time-varying regimes with an application to meme stocks. (2024). Mazzarisi, Piero ; Shternshis, Andrey. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-023-00427-9.

Full description at Econpapers || Download paper

2024Analyzing the influence of smart and digital manufacturing on cost stickiness: A study of U.S. manufacturing firms. (2024). Wang, Zhenkun ; Fareed, Zeeshan ; Ahmad, Munir ; Irfan, Muhammad ; Shahzad, Farrukh. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004659.

Full description at Econpapers || Download paper

2024Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference. (2024). Chakraborty, Tanujit ; Bandyopadhyay, Gautam ; Rakshit, Agni. In: Papers. RePEc:arx:papers:2405.02919.

Full description at Econpapers || Download paper

2024Equity Release Mortgages in the UK: Regional Characteristics of Demand and Supply. (2024). MacGregor, Bryan D ; Koblyakova, Alla ; Hutchison, Norman E. In: International Real Estate Review. RePEc:ire:issued:v:27:n:04:2024:p:441-469.

Full description at Econpapers || Download paper

2024Deep Signature Algorithm for Multi-dimensional Path-Dependent Options. (2024). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691.

Full description at Econpapers || Download paper

2024A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. (2024). Pietrzyk, Radosaw ; Maecka, Marta. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:5:d:10.1007_s11135-024-01866-1.

Full description at Econpapers || Download paper

2024On optimal tracking portfolio in incomplete markets: The reinforcement learning approach. (2024). Huang, Yijie ; Yu, Xiang ; Bo, Lijun. In: Papers. RePEc:arx:papers:2311.14318.

Full description at Econpapers || Download paper

2024Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; van Staden, Pieter M ; Forsyth, Peter A. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800.

Full description at Econpapers || Download paper

2024A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models. (2024). Zhang, Hanwen ; Dang, Duy-Minh. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140.

Full description at Econpapers || Download paper

2024Exact simulation of the Hull and White stochastic volatility model. (2024). Brignone, Riccardo ; Gonzato, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538.

Full description at Econpapers || Download paper

2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

Full description at Econpapers || Download paper

2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

Full description at Econpapers || Download paper

2024Properties of risk aversion estimated from portfolio weights. (2024). Satchell, Steve ; Kwon, Oh Kang ; Grant, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:5:d:10.1057_s41260-024-00375-y.

Full description at Econpapers || Download paper

2024Replicating business cycles and asset returns with sentiment and low risk aversion. (2024). Lansing, Kevin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001131.

Full description at Econpapers || Download paper

2024Clustering Uniswap v3 traders from their activity on multiple liquidity pools, via novel graph embeddings. (2024). Cucuringu, Mihai ; Miori, Deborah. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:1:d:10.1007_s42521-024-00105-4.

Full description at Econpapers || Download paper

2024The role of news sentiment in salmon price prediction using deep learning. (2024). Ewald, Christian-Oliver ; Li, Yaoyu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000576.

Full description at Econpapers || Download paper

2024The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.09536.

Full description at Econpapers || Download paper

2024Robust portfolio selection with smart return prediction. (2024). Tu, Xueyong ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

Full description at Econpapers || Download paper

2024Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets. (2024). Zhao, Yang ; Wang, Shuai ; Lv, Mengzheng ; Gao, Jialu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003508.

Full description at Econpapers || Download paper

2024Robust asset-liability management games for n players under multivariate stochastic covariance models. (2024). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:67-98.

Full description at Econpapers || Download paper

2024A deep primal-dual BSDE method for optimal stopping problems. (2024). Yang, Jiefei ; Li, Guanglian. In: Papers. RePEc:arx:papers:2409.06937.

Full description at Econpapers || Download paper

2024Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (2024). Moreno, Manuel ; Len-Prez, Beln. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05904-x.

Full description at Econpapers || Download paper

2024Handling model risk with XVAs. (2024). Crpey, Stphane ; Bnzet, Cyril. In: Post-Print. RePEc:hal:journl:hal-03675291.

Full description at Econpapers || Download paper

2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

Full description at Econpapers || Download paper

2024Emoji driven crypto assets market reactions. (2024). Xiaorui, Zuo ; Karl, Hardle Wolfgang ; Yao-Tsung, Chen. In: Management & Marketing. RePEc:vrs:manmar:v:19:y:2024:i:2:p:158-178:n:1001.

Full description at Econpapers || Download paper

2024Ethereum futures and the efficiency of cryptocurrency spot markets. (2024). NEKHILI, Ramzi ; Bouri, Elie ; Kristjanpoller, Werner. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:654:y:2024:i:c:s0378437124006708.

Full description at Econpapers || Download paper

2024Risk premium and rough volatility. (2024). Bonesini, Ofelia ; Jacquier, Antoine ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:2403.11897.

Full description at Econpapers || Download paper

2024On the Guyon–Lekeufack volatility model. (2024). Nutz, Marcel ; Valdevenito, Andres Riveros. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00544-2.

Full description at Econpapers || Download paper

2024Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

Full description at Econpapers || Download paper

2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan ; Illand, Camille. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03902513.

Full description at Econpapers || Download paper

2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-03902513.

Full description at Econpapers || Download paper

2024Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle. (2024). Guyon, Julien. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00524-y.

Full description at Econpapers || Download paper

2024The volatility-liquidity dynamics of single-stock ETFs. (2024). Li, Chen ; Nguyen, Vinh Huy ; Zhao, LE. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011929.

Full description at Econpapers || Download paper

2024Asymptotic Methods for Transaction Costs. (2024). Mayerhofer, Eberhard. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:4:p:64-:d:1369971.

Full description at Econpapers || Download paper

2024Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk. (2024). Zhang, Zhimin ; Zhong, Wei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:478:y:2024:i:c:s0096300324002947.

Full description at Econpapers || Download paper

2024Valuation of guaranteed lifelong withdrawal benefit with the long-term care option. (2024). Chen, Shaoying ; Yang, Yang ; Zhang, Zhimin ; Cui, Zhenyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:179-193.

Full description at Econpapers || Download paper

2024The Too-Big-to-Fail Premium in Tier-2 Capital Bonds and Additional Tier-1 Capital Bonds Primary Markets: Evidence from China. (2024). Le, Yang. In: China Finance and Economic Review. RePEc:bpj:cferev:v:13:y:2024:i:3:p:44-63:n:1003.

Full description at Econpapers || Download paper

2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

Full description at Econpapers || Download paper

2024HLOB -- Information Persistence and Structure in Limit Order Books. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2405.18938.

Full description at Econpapers || Download paper

2024Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading. (2024). Rahman, Abdul ; Upadhye, Neelesh. In: Papers. RePEc:arx:papers:2411.08382.

Full description at Econpapers || Download paper

2024A discrete-time benchmark tracking problem in two markets subject to random environments. (2024). Salgado-Surez, Gladys D ; Jasso-Fuentes, Hctor. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:46:y:2024:i:4:d:10.1007_s00291-024-00767-x.

Full description at Econpapers || Download paper

2024Agricultural commodities market reaction to COVID-19. (2024). Iuga, Iulia ; Mudakkar, Syeda Rabab ; Dragolea, Larisa Loredana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000801.

Full description at Econpapers || Download paper

2024EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning. (2024). Poulos, Zissis ; Wang, Zeyu ; Malekzadeh, Parvin ; Plataniotis, Konstantinos N ; Chen, Jacky. In: Papers. RePEc:arx:papers:2408.12446.

Full description at Econpapers || Download paper

2024Portfolio optimization with relative tail risk. (2024). Fabozzi, Frank J ; Kim, Youngshin. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06204-0.

Full description at Econpapers || Download paper

2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

Full description at Econpapers || Download paper

2024Analyst optimism, information disclosure, and stock price collapse risk: Empirical insights from China’s A-share market. (2024). Wang, Ruixuan ; Ma, Rui ; Zhang, Yingchun ; Li, Yang. In: PLOS ONE. RePEc:plo:pone00:0297055.

Full description at Econpapers || Download paper

2024Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients. (2024). Davar, Parisa ; Garrido, Jose ; Fr'ed'eric Godin, . In: Papers. RePEc:arx:papers:2406.15612.

Full description at Econpapers || Download paper

2024Liability-driven investment for pension funds: stochastic optimization with real assets. (2024). Owadally, Iqbal ; Jang, Chul ; Clare, Andrew. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00141-9.

Full description at Econpapers || Download paper

2024What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881.

Full description at Econpapers || Download paper

2024Cryptocurrency anomalies and economic constraints. (2024). Liedtke, Gerrit ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

Full description at Econpapers || Download paper

2024Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility. (2024). Almeida, Thiago Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001302.

Full description at Econpapers || Download paper

2024The second-order Esscher martingale densities for continuous-time market models. (2024). Choulli, Tahir ; Vanmaele, Michele ; Elazkany, Ella. In: Papers. RePEc:arx:papers:2407.03960.

Full description at Econpapers || Download paper

2024Crude oil futures and the short-term price predictability of petroleum products. (2024). Wang, Yudong ; Xiao, Jihong ; Wen, Danyan. In: Energy. RePEc:eee:energy:v:307:y:2024:i:c:s0360544224025246.

Full description at Econpapers || Download paper

2024Forecasting crude oil prices with global ocean temperatures. (2024). Zhang, Yaojie ; He, Mengxi. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031177.

Full description at Econpapers || Download paper

2024Forecasting crude oil returns with oil-related industry ESG indices. (2024). Zhang, Yaojie ; Li, Kaixin ; Wang, Yudong. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000631.

Full description at Econpapers || Download paper

2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

Full description at Econpapers || Download paper

2024Large Investment Model. (2024). Guo, Jian ; Shum, Heung-Yeung. In: Papers. RePEc:arx:papers:2408.10255.

Full description at Econpapers || Download paper

2024Neural option pricing for rough Bergomi model. (2024). Li, Guanglian ; Teng, Changqing. In: Papers. RePEc:arx:papers:2402.02714.

Full description at Econpapers || Download paper

2024State spaces of multifactor approximations of nonnegative Volterra processes. (2024). Jaber, Eduardo Abi ; Bayer, Christian ; Breneis, Simon. In: Papers. RePEc:arx:papers:2412.17526.

Full description at Econpapers || Download paper

2024Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations. (2024). Hamaguchi, Yushi. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001881.

Full description at Econpapers || Download paper

2024A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes. (2024). Carlier, Laurent ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2405.18594.

Full description at Econpapers || Download paper

2024Optimal Execution with Reinforcement Learning. (2024). Vittori, Edoardo ; Hafsi, Yadh. In: Papers. RePEc:arx:papers:2411.06389.

Full description at Econpapers || Download paper

2024Sequential management of energy and low-carbon portfolios. (2024). Gargallo, Pilar ; Salvador, Manuel ; Lample, Luis ; Miguel, Jesus A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000564.

Full description at Econpapers || Download paper

2024MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series. (2024). Varner, Jeffrey D ; Wheeler, Aaron. In: Papers. RePEc:arx:papers:2411.16585.

Full description at Econpapers || Download paper

2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317.

Full description at Econpapers || Download paper

2024Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:121214.

Full description at Econpapers || Download paper

2024Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets. (2024). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302.

Full description at Econpapers || Download paper

2024Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. (2024). Behme, Anita. In: Papers. RePEc:arx:papers:2407.05866.

Full description at Econpapers || Download paper

2024On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein–Uhlenbeck processes. (2024). di Tella, Paolo ; Sideris, Apostolos ; Behme, Anita. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:174:y:2024:i:c:s0304414924000887.

Full description at Econpapers || Download paper

2024Machine learning in accounting and finance research: a literature review. (2024). Alexandridis, Antonios ; Nerantzidis, Michail ; Liaras, Evangelos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01306-z.

Full description at Econpapers || Download paper

2024Using Machine Learning to Forecast Market Direction with Efficient Frontier Coefficients. (2024). Scherer, William ; Alexander, Nolan. In: Papers. RePEc:arx:papers:2404.00825.

Full description at Econpapers || Download paper

2024Correct implied volatility shapes and reliable pricing in the rough Heston model. (2024). Boyarchenko, Svetlana ; Levendorskivi, Sergei. In: Papers. RePEc:arx:papers:2412.16067.

Full description at Econpapers || Download paper

2024Modeling stationary, periodic, and long memory processes by superposed jump-driven processes. (2024). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924009093.

Full description at Econpapers || Download paper

2024Pricing and hedging autocallable products by Markov chain approximation. (2024). Zhang, Gongqiu ; Li, Lingfei ; Cui, Yeda. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:3:d:10.1007_s11147-024-09206-z.

Full description at Econpapers || Download paper

2024Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading. (2024). Wang, Kuan-Lun ; Kao, Chu-Lan ; Chang, Hao-Han ; Luo, Yi-Jen ; Dai, Tian-Shyr ; Liu, Liang-Chih. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01293-1.

Full description at Econpapers || Download paper

2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

Full description at Econpapers || Download paper

2024DeFi Arbitrage in Hedged Liquidity Tokens. (2024). Feinstein, Zachary ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2409.11339.

Full description at Econpapers || Download paper

2024Automated market makers and their implications for liquidity providers. (2024). Bronnimann, Werner ; Krabichler, Thomas ; Egloff, Pascal. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:3:d:10.1007_s42521-024-00117-0.

Full description at Econpapers || Download paper

2024A mathematical framework for modelling CLMM dynamics in continuous time. (2024). Tung, Shen-Ning ; Wang, Tai-Ho. In: Papers. RePEc:arx:papers:2412.18580.

Full description at Econpapers || Download paper

2024The technology of decentralized finance (DeFi). (2024). Auer, Raphael ; Saggese, Pietro ; Kitzler, Stefan ; Haslhofer, Bernhard ; Victor, Friedhelm. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:1:d:10.1007_s42521-023-00088-8.

Full description at Econpapers || Download paper

2024Modeling dynamic higher-order comoments for portfolio selection based on copula approach. (2024). Ke, Rui ; Yang, Dong ; Wang, Yanfeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006609.

Full description at Econpapers || Download paper

2024Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity. (2024). Lejeune, Miguel ; Fan, Zhengyang ; Ji, Ran. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:203:y:2024:i:3:d:10.1007_s10957-024-02550-y.

Full description at Econpapers || Download paper

2024Testing of Portfolio Optimization by Timor-Leste Portfolio Investment Strategy on the Stock Market. (2024). Madaleno, Mara ; Anuno, Fernando ; Vieira, Elisabete. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:78-:d:1340646.

Full description at Econpapers || Download paper

2024Short-time expansion of characteristic functions in a rough volatility setting with applications. (2024). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

Full description at Econpapers || Download paper

2024Multivariate Rough Volatility. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:589.

Full description at Econpapers || Download paper

2024Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts. (2024). Wiedermann, Kristof ; Gerhold, Stefan ; Friesen, Martin. In: Papers. RePEc:arx:papers:2412.15971.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2024
YearCiting document
2024Adoption of Artificial Intelligence in Small and Medium-Sized Enterprises in Spain: The Role of Competences and Skills. (2024). Romero, Isidoro ; Huseyn, Mammadov ; Gonzalez-Abril, Luis ; Ruiz-Gandara, Africa. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:26:y:2024:i:67:p:848.

Full description at Econpapers || Download paper

2024Equilibrium in Style: A Modeling Framework on the Cash Flow and the Life Cycle of a Consumer Store. (2024). Liu, Yang ; Han, Shanyu ; Lei, Jian. In: Papers. RePEc:arx:papers:2404.02426.

Full description at Econpapers || Download paper

2024PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets. (2024). Shen, Zhenyu ; Liu, Yang. In: Papers. RePEc:arx:papers:2406.00435.

Full description at Econpapers || Download paper

2024Subleading correction to the Asian options volatility in the Black-Scholes model. (2024). Pirjol, Dan. In: Papers. RePEc:arx:papers:2407.05142.

Full description at Econpapers || Download paper

2024A GCN-LSTM Approach for ES-mini and VX Futures Forecasting. (2024). Howison, Sam ; Michael, Nikolas ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2408.05659.

Full description at Econpapers || Download paper

2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

Full description at Econpapers || Download paper

2024Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book. (2024). Lee, Kiseop ; Jung, Ji Won. In: Papers. RePEc:arx:papers:2409.02277.

Full description at Econpapers || Download paper

2024How does liquidity shape the yield curve?. (2024). Benzaquen, Michael ; Mastromatteo, Iacopo ; le Coz, Victor. In: Papers. RePEc:arx:papers:2409.12282.

Full description at Econpapers || Download paper

2024Time-Causal VAE: Robust Financial Time Series Generator. (2024). Hou, Songyan ; Eckstein, Stephan ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2411.02947.

Full description at Econpapers || Download paper

2024On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market. (2024). Zhang, Yiying ; Wei, Yunran ; Pu, Tong. In: Papers. RePEc:arx:papers:2411.09676.

Full description at Econpapers || Download paper

2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317.

Full description at Econpapers || Download paper

2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

Full description at Econpapers || Download paper

2024Battery valuation on electricity intraday markets with liquidity costs. (2024). Warin, Xavier ; Deschatre, Thomas ; Cogn, Enzo. In: Papers. RePEc:arx:papers:2412.15959.

Full description at Econpapers || Download paper

2024State spaces of multifactor approximations of nonnegative Volterra processes. (2024). Jaber, Eduardo Abi ; Bayer, Christian ; Breneis, Simon. In: Papers. RePEc:arx:papers:2412.17526.

Full description at Econpapers || Download paper

2024Rough differential equations for volatility. (2024). Gasteratos, Ioannis ; Jacquier, Antoine ; Bonesini, Ofelia ; Ferrucci, Emilio. In: Papers. RePEc:arx:papers:2412.21192.

Full description at Econpapers || Download paper

2024Dynamic causality between global supply chain pressures and Chinas resource industries: A time-varying Granger analysis. (2024). Ren, Xiaohang ; Li, Yuyi ; Fu, Chenjia ; Jin, Chenglu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924003090.

Full description at Econpapers || Download paper

2024Spatial correlation of local government implicit debt tail risks in China and its spillover effects on the banking system. (2024). Zhang, Zhongyi ; Hao, Jing ; Xu, Jiaxiang ; Wen, Bohui. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005416.

Full description at Econpapers || Download paper

2024Fee structure and equity fund manager’s optimal locking in profits strategy. (2024). Dickinson, David ; Zhan, Yaosong ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s105752192400543x.

Full description at Econpapers || Download paper

2024Analyzing the green bond index: A novel quantile-based high-dimensional approach. (2024). Ren, Xiaohang ; Jiang, Wenting ; Tao, Lizhu. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s105752192400591x.

Full description at Econpapers || Download paper

2024The impact of global uncertainties on the spillover among the European carbon market, the Chinese oil futures market, and the international oil futures market. (2024). Zhu, Yulin ; Zheng, Yan ; Cui, NA ; Liu, Hong. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009218.

Full description at Econpapers || Download paper

2024A two-layer stochastic game approach to reinsurance contracting and competition. (2024). Xia, YI ; Liang, Zongxia ; Zou, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:226-237.

Full description at Econpapers || Download paper

2024Robust online portfolio optimization with cash flows. (2024). Ching, Wai-Ki ; Guo, Sini ; Wu, Boqian ; Lyu, Benmeng. In: Omega. RePEc:eee:jomega:v:129:y:2024:i:c:s0305048324001348.

Full description at Econpapers || Download paper

2024Can Chinese investors manage climate risk domestically and globally?. (2024). Liu, Yike ; Xu, Zihan ; Xing, Xiaoyun ; Zhu, Yuxuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006567.

Full description at Econpapers || Download paper

2024The impact of green finance funds on industrial productivity cycles: Evidence from developing economies. (2024). Haouas, Ilham ; Patel, Gupteswar ; Pruseth, Sujit Kumar ; Padhan, Hemachandra ; Li, Ling ; Lin, Tsung-Xian. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:208:y:2024:i:c:s0040162524005043.

Full description at Econpapers || Download paper

2024The impact of artificial intelligence on green technology cycles in China. (2024). Qiu, Zhaoxuan ; Li, Zijun ; Fu, Tong ; Yang, Xiangyang. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:209:y:2024:i:c:s004016252400619x.

Full description at Econpapers || Download paper

2024Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty. (2024). Siu, Tak Kuen. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:10:p:436-:d:1488913.

Full description at Econpapers || Download paper

2024Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series. (2024). Almulhim, Fatimah A ; Alamari, Mohammed B ; Rachdi, Mustapha ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3956-:d:1545194.

Full description at Econpapers || Download paper

2024Deep Learning Option Price Movement. (2024). Wang, Weiguan ; Xu, Jia. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:6:p:93-:d:1408678.

Full description at Econpapers || Download paper

2024How does liquidity shape the yield curve?. (2024). Benzaquen, Michael ; Mastromatteo, Iacopo ; le Coz, Victor. In: Post-Print. RePEc:hal:journl:hal-04735468.

Full description at Econpapers || Download paper

2024Pricing and hedging autocallable products by Markov chain approximation. (2024). Zhang, Gongqiu ; Li, Lingfei ; Cui, Yeda. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:3:d:10.1007_s11147-024-09206-z.

Full description at Econpapers || Download paper

2024E-commerce and foreign direct investment: pioneering a new era of trade strategies. (2024). He, Yugang. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03062-w.

Full description at Econpapers || Download paper

2024Factor-GAN: Enhancing stock price prediction and factor investment with Generative Adversarial Networks. (2024). Chen, Zhen ; Wang, Jiawei. In: PLOS ONE. RePEc:plo:pone00:0306094.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Crypto quanto and inverse options. (2023). Alexander, Carol ; Imeraj, Arben ; Chen, Ding. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1005-1043.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023From Constant to Rough: A Survey of Continuous Volatility Modeling. (2023). Mishura, Yuliya ; Kubilius, Kstutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Mathematics. RePEc:gam:jmathe:v:11:y:2023:i:19:p:4201-:d:1255656.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market. (2022). Shi, Yanlin ; Liu, Tong. In: Mathematics. RePEc:gam:jmathe:v:10:y:2022:i:11:p:1903-:d:830353.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

Recent citations received in 2021
YearCiting document
2021Climate Anomalies and Its Impact on U.S. Corn and Soybean Prices. (2021). Ghoshray, Atanu ; Zhu, Yichen. In: 2021 Conference, August 17-31, 2021, Virtual. RePEc:ags:iaae21:315271.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021The Physics of Financial Networks. (2021). Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Cimini, Giulio ; Saracco, Fabio ; Caccioli, Fabio ; Garlaschelli, Diego ; Squartini, Tiziano. In: Papers. RePEc:arx:papers:2103.05623.

Full description at Econpapers || Download paper

2021Deep Learning for Exotic Option Valuation. (2021). Poulos, Zissis ; Hull, John ; Cao, Jay ; Chen, Jacky. In: Papers. RePEc:arx:papers:2103.12551.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope. (2021). Goubet, Victor ; Marti, Gautier ; Nielsen, Frank. In: Papers. RePEc:arx:papers:2107.10606.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea. In: Papers. RePEc:arx:papers:2108.11141.

Full description at Econpapers || Download paper

2021Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. (2021). Marzban, Saeed ; Li, Jonathan Yumeng ; Delage, Erick. In: Papers. RePEc:arx:papers:2109.04001.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Fagiolo, Giorgio ; Squartini, Tiziano ; Zema, Sebastiano Michele ; Garlaschelli, Diego. In: Papers. RePEc:arx:papers:2112.06544.

Full description at Econpapers || Download paper

2021Multi-Asset Spot and Option Market Simulation. (2021). Korn, Ralf ; Murray, Phillip ; Wiese, Magnus ; Bai, Lianjun ; Buehler, Hans ; Wood, Ben ; Pachoud, Alexandre. In: Papers. RePEc:arx:papers:2112.06823.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis. (2021). Pattnaik, Debidutta ; Kumar, Satish ; Lim, Weng Marc ; Goodell, John W. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001210.

Full description at Econpapers || Download paper

2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Choi, Jaehyuk ; Wu, Lixin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Dai, Zhifeng ; Chang, Xiaoming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297.

Full description at Econpapers || Download paper

2021On the stability of stablecoins. (2021). Junttila, Juha ; Sapkota, Niranjan ; Grobys, Klaus ; Kolari, James W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:207-223.

Full description at Econpapers || Download paper

2021A multi-factor approach to modelling the impact of wind energy on electricity spot prices. (2021). Veraart, Almut ; Gruet, Pierre ; Rowiska, Paulina A. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021The internal connection analysis of information sharing and investment performance in the venture capital network community. (2021). Zhong, Ziqi ; Chen, Min ; Sun, Kaiyang ; Feng, Bing. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112731.

Full description at Econpapers || Download paper

2021The Internal Connection Analysis of Information Sharing and Investment Performance in the Venture Capital Network Community. (2021). Zhong, Ziqi ; Chen, Min ; Sun, Kaiyang ; Feng, Bing. In: IJERPH. RePEc:gam:jijerp:v:18:y:2021:i:22:p:11943-:d:678571.

Full description at Econpapers || Download paper

2021A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar Anel, Marcos ; Zhu, Yichen ; Escobar-Anel, Marcos. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076.

Full description at Econpapers || Download paper

2021Covariance Principle for Capital Allocation: A Time-Varying Approach. (2021). Urbina, Jilber ; Guillen, Montserrat ; Santolino, Miguel. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:16:p:2005-:d:619131.

Full description at Econpapers || Download paper

2021Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models. (2021). Zhang, Yumo. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:18:p:2293-:d:637549.

Full description at Econpapers || Download paper

2021Comparable Studies of Financial Bankruptcy Prediction Using Advanced Hybrid Intelligent Classification Models to Provide Early Warning in the Electronics Industry. (2021). Chen, You-Shyang ; Liao, Qi-Jun ; Lo, Chih-Min ; Lin, Chien-Ku. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:20:p:2622-:d:658753.

Full description at Econpapers || Download paper

2021Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing. (2021). Chen, Wen ; Zhu, Qinwen ; Langrene, Nicolas ; Loeper, Gregoire. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:5:p:528-:d:509580.

Full description at Econpapers || Download paper

2021Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint. (2021). Friesz, Melinda ; Muratov-Szabo, Kira ; Varadi, Kata ; Prepuk, Andrea. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:148-:d:617590.

Full description at Econpapers || Download paper

2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Loeper, Gregoire ; Chen, Wen ; Zhu, Qinwen ; Langrene, Nicolas. In: Post-Print. RePEc:hal:journl:hal-02910724.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Barnett, William ; Wang, Xue ; Xu, Hai-Chuan. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202113.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Barnett, William ; Wang, Xue ; Xu, Hai-Chuan. In: MPRA Paper. RePEc:pra:mprapa:108421.

Full description at Econpapers || Download paper

2021Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty. (2021). GUPTA, RANGAN ; Cepni, Oguzhan ; Wang, Jiqian ; Ma, Feng. In: Working Papers. RePEc:pre:wpaper:202173.

Full description at Econpapers || Download paper

2021Quantile-based optimal portfolio selection. (2021). Bodnar, Taras ; Lindholm, Mathias ; Tyrcha, Joanna ; Thorsen, Erik. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00395-8.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021A note on calculating expected shortfall for discrete time stochastic volatility models. (2021). Grabchak, Michael ; Christou, Eliana. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00254-0.

Full description at Econpapers || Download paper

2021Duality theory for robust utility maximisation. (2021). Kupper, Michael ; Bartl, Daniel ; Neufeld, Ariel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00455-6.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Fagiolo, Giorgio ; Squartini, Tiziano ; Zema, Sebastiano Michele ; Garlaschelli, Diego. In: LEM Papers Series. RePEc:ssa:lemwps:2021/45.

Full description at Econpapers || Download paper

More than 50 citations. List broken...