Algorithmic Finance / IOS Press
[Raw
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[50 most relevant papers]
[cites used to compute IF]
[Recent
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| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2011 | 0 | 0.5 | 0.4 | 0 | 5 | 5 | 30 | 2 | 3 | 0 | 0 | 0 | 2 | 0.4 | 0.23 | |||
| 2013 | 0.4 | 0.54 | 0.48 | 0.4 | 16 | 21 | 82 | 10 | 14 | 5 | 2 | 5 | 2 | 0 | 8 | 0.5 | 0.23 | |
| 2014 | 0.69 | 0.53 | 0.33 | 0.52 | 12 | 33 | 9 | 11 | 25 | 16 | 11 | 21 | 11 | 0 | 0 | 0.22 | ||
| 2015 | 0.18 | 0.52 | 0.16 | 0.18 | 10 | 43 | 34 | 7 | 32 | 28 | 5 | 33 | 6 | 0 | 1 | 0.1 | 0.22 | |
| 2016 | 0.14 | 0.5 | 0.36 | 0.42 | 10 | 53 | 20 | 19 | 51 | 22 | 3 | 43 | 18 | 0 | 1 | 0.1 | 0.2 | |
| 2017 | 0.05 | 0.51 | 0.19 | 0.23 | 9 | 62 | 55 | 12 | 63 | 20 | 1 | 48 | 11 | 0 | 0 | 0.2 | ||
| 2018 | 0.05 | 0.52 | 0.11 | 0.11 | 9 | 71 | 14 | 8 | 71 | 19 | 1 | 57 | 6 | 0 | 0 | 0.22 | ||
| 2019 | 0.5 | 0.53 | 0.34 | 0.36 | 5 | 76 | 0 | 26 | 97 | 18 | 9 | 50 | 18 | 0 | 0 | 0.21 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CIT: | Number of citations to papers published in year y |
| NCI: | Number of citations in year y |
| CCU: | Cumulative number of citations to papers published until year y |
| D2Y: | Number of articles published in y-1 plus y-2 |
| C2Y: | Cites in y to articles published in y-1 plus y-2 |
| D5Y: | Number of articles published in y-1 until y-5 |
| C5Y: | Cites in y to articles published in y-1 until y-5 |
| SC: | selft citations in y to articles published in y-1 plus y-2 |
| %SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
| CiY: | Cites in year y to documents published in year y |
| II: | Immediacy Index: CiY / Documents. |
| AII: | Average Immediacy Index for series in RePEc in year y |
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2017 | Classification-based financial markets prediction using deep neural networks. (2017). Dixon, Matthew ; Bang, Jin Hoon ; Klabjan, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0059. Full description at Econpapers || Download paper | 34 |
| 2 | 2011 | Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Stoikov, Sasha ; Avellaneda, Marco ; Reed, Josh. In: Algorithmic Finance. RePEc:ris:iosalg:0004. Full description at Econpapers || Download paper | 19 |
| 3 | 2013 | Cluster formation and evolution in networks of financial market indices. (2013). Sandoval, Leonidas Junior . In: Algorithmic Finance. RePEc:ris:iosalg:0023. Full description at Econpapers || Download paper | 18 |
| 4 | 2013 | The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. (2013). Maystre, Nicolas ; Bicchetti, David. In: Algorithmic Finance. RePEc:ris:iosalg:0015. Full description at Econpapers || Download paper | 15 |
| 5 | 2013 | A big data approach to analyzing market volatility. (2013). Bethel, Wes E. ; Rube, Oliver ; Gu, Ming ; Wu, Kesheng ; Leinweber, David. In: Algorithmic Finance. RePEc:ris:iosalg:0016. Full description at Econpapers || Download paper | 12 |
| 6 | 2017 | Trump tweets and the efficient Market Hypothesis. (2017). Clark, William J ; Born, Jeffery A ; Myers, David H. In: Algorithmic Finance. RePEc:ris:iosalg:0062. Full description at Econpapers || Download paper | 12 |
| 7 | 2013 | Nonlinear support vector machines can systematically identify stocks with high and low future returns. (2013). Huerta, Ramon ; Corbacho, Fernando ; Elkan, Charles . In: Algorithmic Finance. RePEc:ris:iosalg:0024. Full description at Econpapers || Download paper | 12 |
| 8 | 2015 | Market sentiment and exchange rate directional forecasting. (2015). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; Gogas, Periklis ; Diamantaras, Konstantinos. In: Algorithmic Finance. RePEc:ris:iosalg:0037. Full description at Econpapers || Download paper | 10 |
| 9 | 2013 | Stock chatter: Using stock sentiment to predict price direction. (2013). Srinivasan, Padmini ; Street, Nick W. ; Rechenthin, Michael . In: Algorithmic Finance. RePEc:ris:iosalg:0012. Full description at Econpapers || Download paper | 10 |
| 10 | 2015 | Smile in motion: An intraday analysis of asymmetric implied volatility. (2015). Wallmeier, Martin. In: Algorithmic Finance. RePEc:ris:iosalg:0039. Full description at Econpapers || Download paper | 8 |
| 11 | 2018 | Cryptoasset factor models. (2018). Kakushadze, Zura. In: Algorithmic Finance. RePEc:ris:iosalg:0070. Full description at Econpapers || Download paper | 7 |
| 12 | 2016 | Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051. Full description at Econpapers || Download paper | 7 |
| 13 | 2017 | AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. (2017). Jiang, Yupeng ; Capriotti, Luca ; Macrina, Andrea. In: Algorithmic Finance. RePEc:ris:iosalg:0057. Full description at Econpapers || Download paper | 6 |
| 14 | 2015 | Multi-scale capability: A better approach to performance measurement for algorithmic trading. (2015). Cooper, Ricky ; Ong, Michael ; van Vliet, Ben. In: Algorithmic Finance. RePEc:ris:iosalg:0036. Full description at Econpapers || Download paper | 6 |
| 15 | 2015 | Predictable markets? A news-driven model of the stock market. (2015). Zhilyaev, Maxim ; Gusev, Maxim ; Ushanov, Dmitry ; Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V. In: Algorithmic Finance. RePEc:ris:iosalg:0035. Full description at Econpapers || Download paper | 5 |
| 16 | 2018 | How hard is it to pick the right model? MCS and backtest overfitting. (2018). de Prado, Marcos Lopez ; Aparicio, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0067. Full description at Econpapers || Download paper | 5 |
| 17 | 2013 | Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Mankad, Shawn ; Michailidis, George. In: Algorithmic Finance. RePEc:ris:iosalg:0021. Full description at Econpapers || Download paper | 5 |
| 18 | 2011 | Markets are efficient if and only if P=NP. (2011). Maymin, Philip. In: Algorithmic Finance. RePEc:ris:iosalg:0001. Full description at Econpapers || Download paper | 4 |
| 19 | 2016 | The network of the Italian stock market during the 2008â2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053. Full description at Econpapers || Download paper | 4 |
| 20 | 2013 | Sparse, mean reverting portfolio selection using simulated annealing. (2013). Fogarasi, Norbert ; Levendovszky, Janos. In: Algorithmic Finance. RePEc:ris:iosalg:0013. Full description at Econpapers || Download paper | 4 |
| 21 | 2013 | A multiscale model of high-frequency trading. (2013). Kirilenko, Andrei ; Meng, Xiangqian ; Sowers, Richard B.. In: Algorithmic Finance. RePEc:ris:iosalg:0025. Full description at Econpapers || Download paper | 4 |
| 22 | 2016 | Sensitivity and computational complexity in financial networks. (2016). Khanna, Sanjeev ; Hemenway, Brett. In: Algorithmic Finance. RePEc:ris:iosalg:0052. Full description at Econpapers || Download paper | 4 |
| 23 | 2017 | Impact of global financial crisis on network of Asian stock markets. (2017). Aswani, Jitendra. In: Algorithmic Finance. RePEc:ris:iosalg:0060. Full description at Econpapers || Download paper | 4 |
| 24 | 2014 | Linear-time accurate lattice algorithms for tail conditional expectation. (2014). Kao, Ming-Yang ; Ho, Jan-Ming ; Hsu, William W. Y., ; Chen, Bryant . In: Algorithmic Finance. RePEc:ris:iosalg:0010. Full description at Econpapers || Download paper | 3 |
| 25 | 2015 | Microstructure-based order placement in a continuous double auction agent based model. (2015). Mande, Alexandru. In: Algorithmic Finance. RePEc:ris:iosalg:0040. Full description at Econpapers || Download paper | 3 |
| 26 | 2011 | Efficient greek estimation in generic swap-rate market models. (2011). Joshi, Mark ; Yang, Chao. In: Algorithmic Finance. RePEc:ris:iosalg:0003. Full description at Econpapers || Download paper | 3 |
| 27 | 2011 | Binomial options pricing has no closed-form solution. (2011). Georgiadis, Evangelos . In: Algorithmic Finance. RePEc:ris:iosalg:0002. Full description at Econpapers || Download paper | 3 |
| 28 | 2014 | The extent of price misalignment in prediction markets. (2014). Rothschild, David ; Pennock, David M.. In: Algorithmic Finance. RePEc:ris:iosalg:0007. Full description at Econpapers || Download paper | 3 |
| 29 | 2015 | Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks. (2015). Capriotti, Luca. In: Algorithmic Finance. RePEc:ris:iosalg:0038. Full description at Econpapers || Download paper | 3 |
| 30 | 2013 | Optimizing sparse mean reverting portfolios. (2013). Sipos, Robert I. ; Levendovszky, Janos. In: Algorithmic Finance. RePEc:ris:iosalg:0019. Full description at Econpapers || Download paper | 3 |
| 31 | 2016 | Multi-scale representation of high frequency market liquidity. (2016). Chliamovitch, Gregor ; Chopard, Bastien ; Golub, Anton ; Dupuis, Alexandre. In: Algorithmic Finance. RePEc:ris:iosalg:0045. Full description at Econpapers || Download paper | 3 |
| 32 | 2014 | Stochastic flow diagrams. (2014). Calkin, Neil J. ; de Prado, Marcos Lopez. In: Algorithmic Finance. RePEc:ris:iosalg:0008. Full description at Econpapers || Download paper | 2 |
| 33 | 2014 | The design and performance of the adaptive stock market index. (2014). Zatlavi, Lior ; Ben-Jacob, Eshel ; Kenett, Dror Y. In: Algorithmic Finance. RePEc:ris:iosalg:0031. Full description at Econpapers || Download paper | 2 |
| 34 | 2011 | Behavioral biases and investor performance.. (2011). Feldman, Todd. In: Algorithmic Finance. RePEc:ris:iosalg:0005. Full description at Econpapers || Download paper | 2 |
| 35 | 2018 | Machine learning and corporate bond trading. (2018). Capriotti, Luca ; Lee, Jacky ; Wright, Dominic. In: Algorithmic Finance. RePEc:ris:iosalg:0071. Full description at Econpapers || Download paper | 2 |
| 36 | 2016 | Natural time analysis in financial markets. (2016). Mintzelas, A. In: Algorithmic Finance. RePEc:ris:iosalg:0048. Full description at Econpapers || Download paper | 1 |
| 37 | 2016 | Darwinian adverse selection. (2016). Kuhle, Wolfgang. In: Algorithmic Finance. RePEc:ris:iosalg:0047. Full description at Econpapers || Download paper | 1 |
| 38 | 2018 | A new variable selection method applied to credit scoring. (2018). Boughaci, Dalila. In: Algorithmic Finance. RePEc:ris:iosalg:0066. Full description at Econpapers || Download paper | 1 |
| 39 | 2013 | The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective. (2013). Tapiero, Oren J.. In: Algorithmic Finance. RePEc:ris:iosalg:0020. Full description at Econpapers || Download paper | 1 |
| 40 | 2016 | Extracting predictive information from heterogeneous data streams using Gaussian Processes. (2016). Roberts, S ; Ghoshal, S. In: Algorithmic Finance. RePEc:ris:iosalg:0046. Full description at Econpapers || Download paper | 1 |
| 41 | 2013 | Modeling market impact and timing risk in volume time. (2013). Mazur, Slava . In: Algorithmic Finance. RePEc:ris:iosalg:0018. Full description at Econpapers || Download paper | 1 |
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2017 | Classification-based financial markets prediction using deep neural networks. (2017). Dixon, Matthew ; Bang, Jin Hoon ; Klabjan, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0059. Full description at Econpapers || Download paper | 9 |
| 2 | 2018 | How hard is it to pick the right model? MCS and backtest overfitting. (2018). de Prado, Marcos Lopez ; Aparicio, Diego. In: Algorithmic Finance. RePEc:ris:iosalg:0067. Full description at Econpapers || Download paper | 5 |
| 3 | 2017 | AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. (2017). Jiang, Yupeng ; Capriotti, Luca ; Macrina, Andrea. In: Algorithmic Finance. RePEc:ris:iosalg:0057. Full description at Econpapers || Download paper | 4 |
| 4 | 2015 | Market sentiment and exchange rate directional forecasting. (2015). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; Gogas, Periklis ; Diamantaras, Konstantinos. In: Algorithmic Finance. RePEc:ris:iosalg:0037. Full description at Econpapers || Download paper | 3 |
| 5 | 2015 | Smile in motion: An intraday analysis of asymmetric implied volatility. (2015). Wallmeier, Martin. In: Algorithmic Finance. RePEc:ris:iosalg:0039. Full description at Econpapers || Download paper | 2 |
| 6 | 2015 | Multi-scale capability: A better approach to performance measurement for algorithmic trading. (2015). Cooper, Ricky ; Ong, Michael ; van Vliet, Ben. In: Algorithmic Finance. RePEc:ris:iosalg:0036. Full description at Econpapers || Download paper | 2 |
| 7 | 2013 | Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. (2013). Mankad, Shawn ; Michailidis, George. In: Algorithmic Finance. RePEc:ris:iosalg:0021. Full description at Econpapers || Download paper | 2 |
| 8 | 2016 | Multi-scale representation of high frequency market liquidity. (2016). Chliamovitch, Gregor ; Chopard, Bastien ; Golub, Anton ; Dupuis, Alexandre. In: Algorithmic Finance. RePEc:ris:iosalg:0045. Full description at Econpapers || Download paper | 2 |
| 9 | 2011 | Forecasting prices from level-I quotes in the presence of hidden liquidity. (2011). Stoikov, Sasha ; Avellaneda, Marco ; Reed, Josh. In: Algorithmic Finance. RePEc:ris:iosalg:0004. Full description at Econpapers || Download paper | 2 |
| 10 | 2016 | Latency arbitrage in fragmented markets: A strategic agent-based analysis. (2016). Wellman, Michael ; Wah, Elaine. In: Algorithmic Finance. RePEc:ris:iosalg:0051. Full description at Econpapers || Download paper | 2 |
| 11 | 2016 | The network of the Italian stock market during the 2008â2011 financial crises. (2016). Murgia, Maurizio ; Coletti, Paolo. In: Algorithmic Finance. RePEc:ris:iosalg:0053. Full description at Econpapers || Download paper | 2 |
| 12 | 2015 | Microstructure-based order placement in a continuous double auction agent based model. (2015). Mande, Alexandru. In: Algorithmic Finance. RePEc:ris:iosalg:0040. Full description at Econpapers || Download paper | 2 |
| 13 | 2017 | Trump tweets and the efficient Market Hypothesis. (2017). Clark, William J ; Born, Jeffery A ; Myers, David H. In: Algorithmic Finance. RePEc:ris:iosalg:0062. Full description at Econpapers || Download paper | 2 |
| Year | Title |
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