Citation analysis for Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2026-05-04 07:00:09]

5 Years H Index

Impact Factor (IF)

0.91

5 Years IF

0.75

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	3174	27	36	0		0			0	27	0.4	0.17
2002	0.57	0.39	0.46	0.57	63	130	1160	56	96	67	38	67	38	4	7.1	10	0.16	0.21
2003	0.67	0.43	0.68	0.67	68	198	932	132	230	130	87	130	87	16	12.1	6	0.09	0.21
2004	0.52	0.48	0.66	0.56	67	265	1393	171	404	131	68	198	110	23	13.5	15	0.22	0.22
2005	0.41	0.51	0.82	0.61	50	315	1167	250	661	135	56	265	162	21	8.4	7	0.14	0.23
2006	0.49	0.49	0.82	0.62	45	360	604	287	956	117	57	315	194	39	13.6	11	0.24	0.22
2007	0.45	0.44	0.67	0.46	63	423	800	276	1241	95	43	293	136	18	6.5	10	0.16	0.2
2008	0.28	0.47	0.77	0.46	64	487	899	365	1615	108	30	293	134	35	9.6	19	0.3	0.22
2009	0.31	0.46	0.78	0.56	80	567	856	432	2055	127	39	289	163	33	7.6	6	0.08	0.23
2010	0.45	0.46	0.73	0.55	114	681	2005	494	2553	144	65	302	166	35	7.1	28	0.25	0.2
2011	0.41	0.5	0.66	0.43	130	811	1027	532	3091	194	80	366	157	39	7.3	22	0.17	0.23
2012	0.54	0.5	0.77	0.6	166	977	1151	744	3841	244	131	451	271	61	8.2	22	0.13	0.21
2013	0.46	0.54	0.92	0.62	140	1117	1230	1027	4872	296	137	554	343	57	5.6	30	0.21	0.23
2014	0.49	0.53	0.9	0.61	155	1272	1163	1137	6022	306	149	630	386	54	4.7	24	0.15	0.22
2015	0.58	0.52	0.89	0.59	141	1413	1487	1252	7276	295	171	705	415	70	5.6	69	0.49	0.22
2016	0.71	0.5	1.01	0.62	136	1549	1197	1569	8846	296	209	732	455	90	5.7	31	0.23	0.2
2017	0.66	0.51	0.89	0.64	141	1690	1094	1498	10345	277	184	738	476	75	5	36	0.26	0.2
2018	0.76	0.52	0.9	0.7	151	1841	1107	1654	12000	277	210	713	500	18	1.1	42	0.28	0.22
2019	0.75	0.53	0.86	0.73	154	1995	1037	1711	13713	292	220	724	527	4	0.2	41	0.27	0.21
2020	0.91	0.63	1.01	0.86	137	2132	639	2140	15856	305	277	723	621	12	0.6	49	0.36	0.3
2021	0.91	0.73	0.95	0.81	132	2264	645	2162	18018	291	264	719	585	6	0.3	54	0.41	0.27
2022	0.82	0.72	0.9	0.84	138	2402	318	2171	20189	269	221	715	602	3	0.1	20	0.14	0.22
2023	0.72	0.67	0.78	0.72	117	2519	237	1964	22153	270	195	712	512	13	0.7	18	0.15	0.19
2024	0.58	0.73	0.83	0.77	104	2623	148	2181	24334	255	149	678	519		0	31	0.3	0.22
2025	0.91	0.96	0.77	0.75	106	2729	20	2101	26435	221	201	628	473		0	11	0.1	0.28

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	2001	Empirical 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	1462
2	2004	Network 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	404
3	2005	Empirical 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	291
4	2016	Pricing 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	290
5	2018	Volatility 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	264
6	2001	What 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	254
7	2008	High-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	232
8	2010	Robustness 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	222
9	2001	Financial 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
10	2010	Optimal 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	184
11	2004	Fluctuations 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	179
12	2002	Statistical 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	177
13	2011	Econophysics 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	171
14	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	171
15	2010	No-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	168
16	2010	Portfolio 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	167
17	2003	Dependence 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	162
18	2001	Asset 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
19	2002	A 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	157
20	2017	Extreme 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	155
21	2003	Statistical 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	152
22	2007	Multi-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	151
23	2015	The 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	144
24	2010	Statistical 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	142
25	2013	Modelling 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	135
26	2001	Optimal 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
27	2004	What 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	133
28	2011	Econophysics 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	121
29	2010	A 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	118
30	2019	Universal 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	118
31	2001	High-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
32	2015	Filling 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	110
33	2015	On 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	104
34	2010	Financial 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	104
35	2001	Significance 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
36	2014	Arbitrage-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	102
37	2007	Ambiguity 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	101
38	2002	Probability 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	99
39	2013	Limit 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
40	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃ¼ller, 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	93
41	2020	A 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	89
42	2012	The 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	88
43	2012	Leverage 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	83
44	2001	Stochastic 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
45	2005	Optimal 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	81
46	2014	Robust risk measurement and model risk. (2014). Xu, Xingbo ; Glasserman, Paul. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58. Full description at Econpapers \|\| Download paper	80
47	2003	Testing 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
48	2013	Optimal 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	79
49	2008	A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, JosÃ© ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	79
50	2003	Systematic 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

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

#	Year	Title	Cited
1	2001	Empirical 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	246
2	2016	Pricing 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	110
3	2008	High-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	60
4	2017	Extreme 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	49
5	2010	Robustness 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	47
6	2018	Volatility 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	44
7	2021	Deep 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	43
8	2010	No-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	38
9	2020	Quant 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	37
10	2019	Universal 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	37
11	2015	On 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	33
12	2010	Statistical 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	31
13	2020	A 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	31
14	2014	Arbitrage-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	29
15	2018	Hawkes 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	28
16	2010	Financial 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	28
17	2002	Statistical 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	28
18	2024	The contagion of extreme risks between fossil and green energy markets: evidence from China. (2024). Ren, Xiaohang ; GÃ¶zgÃ¶r, Giray ; He, Feng. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:5:p:627-642. Full description at Econpapers \|\| Download paper	27
19	2007	Ambiguity 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	26
20	2004	Network 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	26
21	2021	Volatility 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	25
22	2018	Machine 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	25
23	2023	Volatility 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	24
24	2015	The 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	23
25	2019	Lifting 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	23
26	2002	A 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	22
27	2010	Portfolio 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	22
28	2019	Gold 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	22
29	2021	Multilayer 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	21
30	2015	Partial 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
31	2001	What 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	21
32	2005	Optimal 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	20
33	2004	Fluctuations 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	19
34	2010	Optimal 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	19
35	2011	Econophysics 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	19
36	2015	Filling 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	19
37	2014	Robust risk measurement and model risk. (2014). Xu, Xingbo ; Glasserman, Paul. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58. Full description at Econpapers \|\| Download paper	19
38	2024	Fin-GAN: forecasting and classifying financial time series via generative adversarial networks. (2024). Vuleti, Milena ; Cucuringu, Mihai ; Prenzel, Felix. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:2:p:175-199. Full description at Econpapers \|\| Download paper	19
39	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	18
40	2015	A 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	17
41	2003	Statistical 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	17
42	2013	Modelling 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	17
43	2011	Econophysics 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	17
44	2012	The 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	16
45	2018	On VIX futures in the rough Bergomi model. (2018). Martini, Claude ; Jacquier, Antoine ; Muguruza, Aitor. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:45-61. Full description at Econpapers \|\| Download paper	16
46	2010	A 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	16
47	2019	Internalisation by electronic FX spot dealers. (2019). Oomen, R ; Butz, M. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:1:p:35-56. Full description at Econpapers \|\| Download paper	16
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50	2021	Investing with cryptocurrencies â evaluating their potential for portfolio allocation strategies. (2021). Trimborn, Simon ; HÃ¤rdle, 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	15

Citing documents used to compute impact factor: 201

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2025	Liquidity provision of utility indifference type in decentralized exchanges. (2025). Wunsch, Marcus ; Maire, Basile ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2502.01931. Full description at Econpapers \|\| Download paper
2025	Liquidity provision of utility indifference type in decentralized exchanges. (2025). Wunsch, Marcus ; Maire, Basile ; Fukasawa, Masaaki. In: Digital Finance. RePEc:spr:digfin:v:7:y:2025:i:2:d:10.1007_s42521-025-00128-5. Full description at Econpapers \|\| Download paper
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2025	Which opinion is more trustworthy: An analystsâ earnings forecast quality assessment framework based on machine learning. (2025). Chen, Xinxin ; Song, Yingying. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002432. Full description at Econpapers \|\| Download paper
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2025	Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773. Full description at Econpapers \|\| Download paper
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2025	Deep Reinforcement Learning Algorithms for Option Hedging. (2025). Kosseim, Leila ; Fr'ed'eric Godin, ; Neagu, Andrei. In: Papers. RePEc:arx:papers:2504.05521. Full description at Econpapers \|\| Download paper
2025	Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2025). Prez, Carlos Octavio ; Godin, Frdric ; Gauthier, Genevive ; Franois, Pascal. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016192. Full description at Econpapers \|\| Download paper
2025	Modeling Asset Price Process: An Approach for Imaging Price Chart with Generative Diffusion Models. (2025). Park, Jinseong ; Ko, Hyungjin ; Lee, Jaewook. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10668-4. Full description at Econpapers \|\| Download paper
2025	Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Bracha, Zofia ; Sakowski, Pawel ; Micha, Jakub. In: Papers. RePEc:arx:papers:2510.09247. Full description at Econpapers \|\| Download paper
2025	Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Michakw, Jakub ; Sakowski, Pawe ; Bracha, Zofia. In: Working Papers. RePEc:war:wpaper:2025-25. Full description at Econpapers \|\| Download paper
2025	Systematic index option-writing strategies with Black-Scholes-Merton and Variance-Gamma Models. (2025). Ålepaczuk, Robert ; Wysocki, Maciej. In: Economic Modelling. RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002299. Full description at Econpapers \|\| Download paper
2025	Pricing and calibration in the 4-factor path-dependent volatility model. (2025). Guyon, Julien ; Gazzani, Guido. In: Papers. RePEc:arx:papers:2406.02319. Full description at Econpapers \|\| Download paper
2025	Joint deep calibration of the 4-factor PDV model. (2025). Baschetti, Fabio ; Bormetti, Giacomo ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2507.09412. Full description at Econpapers \|\| Download paper
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2025	Exchange rate regime changes and market efficiency: An event study. (2025). Portela, Jose ; Martin-Bujack, Karin ; Corzo, Teresa ; Rodrguez-Gallego, Alejandro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228. Full description at Econpapers \|\| Download paper
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2025	Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919. Full description at Econpapers \|\| Download paper
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2025	Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967. Full description at Econpapers \|\| Download paper
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2025	Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211. Full description at Econpapers \|\| Download paper
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2025	A survey of contextual optimization methods for decision-making under uncertainty. (2025). Vidal, Thibaut ; Frejinger, Emma ; Forel, Alexandre ; Delage, Erick ; Chenreddy, Abhilash ; Sadana, Utsav. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:271-289. Full description at Econpapers \|\| Download paper
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2025	Integration of support vector machines and mean-variance optimization for capital allocation. (2025). Islip, David ; Kwon, Roy H ; Kim, Seongmoon. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:3:p:1045-1058. Full description at Econpapers \|\| Download paper
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2025	Robust non-zero-sum investmentâconsumption games under multivariate stochastic covariance models. (2025). Zhang, Yumo ; Zhu, Huainian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976924001558. Full description at Econpapers \|\| Download paper
2025	Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility. (2025). Wang, Ning ; Zhang, Yumo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000721. Full description at Econpapers \|\| Download paper
2025	Analytically pricing commodity futures options in a regime-switching financialization framework. (2025). Huo, Zhongyao ; He, Xin-Jiang ; Chen, Wenting. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pe:s1544612325015004. Full description at Econpapers \|\| Download paper
2025	On the implied volatility of Inverse options under stochastic volatility models. (2025). Pravosud, Makar ; Nualart, Eula Lia ; Alos, Elisa. In: Papers. RePEc:arx:papers:2401.00539. Full description at Econpapers \|\| Download paper
2025	Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management. (2025). Lu, Wu-Sheng ; Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17777. Full description at Econpapers \|\| Download paper
2025	On the implied volatility of Inverse options under stochastic volatility models. (2025). Pravosud, Makar ; Nualart, Eulalia ; Als, Elisa. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:2:d:10.1007_s10203-025-00522-z. Full description at Econpapers \|\| Download paper
2025	Crypto market betas: the limits of predictability and hedging. (2025). Weber, Thomas ; Sila, Jan ; KriÅ¡toufek, Ladislav ; Kristoufek, Ladislav ; Mark, Michael. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00777-w. Full description at Econpapers \|\| Download paper
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2025	Path-dependent PDEs for volatility derivatives. (2024). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289. Full description at Econpapers \|\| Download paper
2025	Primal and dual optimal stopping with signatures. (2025). Pelizzari, Luca ; Schoenmakers, John ; Bayer, Christian. In: Papers. RePEc:arx:papers:2312.03444. Full description at Econpapers \|\| Download paper
2025	Risk premium and rough volatility. (2024). Bonesini, Ofelia ; Jacquier, Antoine ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:2403.11897. Full description at Econpapers \|\| Download paper
2025	Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels. (2024). Herv'e Andr`es, ; Jourdain, Benjamin. In: Papers. RePEc:arx:papers:2408.02477. Full description at Econpapers \|\| Download paper
2025	Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851. Full description at Econpapers \|\| Download paper
2025	The Volterra Stein-Stein model with stochastic interest rates. (2025). Hainaut, Donatien ; Motte, Edouard ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.01716. Full description at Econpapers \|\| Download paper
2025	Martingale property and moment explosions in signature volatility models. (2025). Sotnikov, Dimitri ; Gassiat, Paul ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.17103. Full description at Econpapers \|\| Download paper
2025	Option pricing mechanisms driven by backward stochastic differential equations. (2025). Teng, Bin ; Wang, Sicong ; Shi, Yufeng. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00714-3. Full description at Econpapers \|\| Download paper
2025	Rough Bergomi turns grey. (2025). Jacquier, Antoine ; Zuric, Zan ; Orioles, Adriano Oliveri. In: Papers. RePEc:arx:papers:2505.08623. Full description at Econpapers \|\| Download paper
2025	Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration. (2025). Cui, Zhenyu ; Xu, Wei ; Dong, Bing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:547-568. Full description at Econpapers \|\| Download paper
2025	Identifying the number of latent factors of stochastic volatility models. (2025). Mancino, Maria Elvira ; Allaj, Erindi ; Sanfelici, Simona. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00479-5. Full description at Econpapers \|\| Download paper
2025	Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937. Full description at Econpapers \|\| Download paper
2025	Branched Signature Model. (2025). Feng, QI ; Ali, Munawar. In: Papers. RePEc:arx:papers:2511.00018. Full description at Econpapers \|\| Download paper
2025	Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels. (2025). Jourdain, Benjamin ; Andrs, Herv. In: Post-Print. RePEc:hal:journl:hal-04667144. Full description at Econpapers \|\| Download paper
2025	4/2 rough and smooth. (2025). Yan, Tingjin ; Wang, Ling ; Yin, Jie ; Wong, Hoi Ying. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:181:y:2025:i:c:s0378426625001803. Full description at Econpapers \|\| Download paper
2025	How prevalent are short squeezes? Evidence from the US and Europe. (2025). Haas, Marlene ; Pirovano, Matteo ; Tengulov, Angel ; Allen, Franklin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000561. Full description at Econpapers \|\| Download paper
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2025	Making Leveraged Exchange-Traded Funds Work for your Portfolio. (2025). Forsyth, Peter ; van Staden, Pieter ; Li, Yuying. In: Papers. RePEc:arx:papers:2506.19200. Full description at Econpapers \|\| Download paper
2025	Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers \|\| Download paper
2025	Probabilistic Forecasting of Crude Oil Prices Using Conditional Generative Adversarial Network Model with LÃ©vy Process. (2025). di Persio, Luca ; Alruqimi, Mohammed. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:307-:d:1570203. Full description at Econpapers \|\| Download paper
2025	Financial Wind Tunnel: A Retrieval-Augmented Market Simulator. (2025). Guo, Jian ; Yang, Cehao ; Xu, Chengjin ; Qi, Yiyan ; Lin, Xueyuan ; Cao, Bokai. In: Papers. RePEc:arx:papers:2503.17909. Full description at Econpapers \|\| Download paper
2025	From Deep Learning to LLMs: A survey of AI in Quantitative Investment. (2025). Guo, Jian ; Cao, Bokai ; Wang, Saizhuo ; Lin, Xinyi ; Zhang, Haohan ; Wu, Xiaojun ; Ni, Lionel M. In: Papers. RePEc:arx:papers:2503.21422. Full description at Econpapers \|\| Download paper
2025	GAN-CITE: leveraging semi-supervised generative adversarial networks for citation function classification with limited data. (2025). Noraset, Thanapon ; Tuarob, Suppawong ; Chatrinan, Krittin. In: Scientometrics. RePEc:spr:scient:v:130:y:2025:i:2:d:10.1007_s11192-025-05233-1. Full description at Econpapers \|\| Download paper
2025	Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623. Full description at Econpapers \|\| Download paper
2025	Enhancing meanâvariance portfolio optimization through GANs-based anomaly detection. (2025). Fabozzi, Frank J ; Kim, Woo Chang ; Lee, Yongjae ; Ho, Jang. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06293-x. Full description at Econpapers \|\| Download paper
2025	Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer. (2025). Dong, Zhikang ; Cao, Zeyu ; Zhao, Siqiao ; Douady, Raphael. In: Papers. RePEc:arx:papers:2408.03320. Full description at Econpapers \|\| Download paper
2025	Harnessing artificial intelligence for monitoring financial markets. (2025). Gelos, R. Gaston ; Perez-Cruz, Fernando ; Park, Taejin ; Godoy, Douglas Kiarelly ; Aquilina, Matteo. In: BIS Working Papers. RePEc:bis:biswps:1291. Full description at Econpapers \|\| Download paper
2025	Increase Alpha: Performance and Risk of an AI-Driven Trading Framework. (2025). Parvini, Navid ; Khaledian, Nariman ; Ghatak, Sid. In: Papers. RePEc:arx:papers:2509.16707. Full description at Econpapers \|\| Download paper
2025	Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578. Full description at Econpapers \|\| Download paper
2025	Short-maturity Asian options in local-stochastic volatility models. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2409.08377. Full description at Econpapers \|\| Download paper
2025	Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible?. (2025). Cruz, Carlos A ; Novoa-Hernndez, Pavel ; Lara-Rubio, Juan ; Navarro-Galera, Andrs. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10586-5. Full description at Econpapers \|\| Download paper
2025	Binary Response Forecasting under a Factor-Augmented Framework. (2025). Yang, Xuanbin ; Liu, Fei ; Cong, Jiachen ; Cheng, Tingting. In: Papers. RePEc:arx:papers:2507.16462. Full description at Econpapers \|\| Download paper
2025	HLOBâInformation persistence and structure in limit order books. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126623. Full description at Econpapers \|\| Download paper
2025	To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies. (2025). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2502.18625. Full description at Econpapers \|\| Download paper
2025	Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks. (2025). Fabre, Timoth'Ee ; Challet, Damien. In: Papers. RePEc:arx:papers:2504.15908. Full description at Econpapers \|\| Download paper
2025	Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures. (2025). Zhang, Kouxiao ; Hu, Chen. In: Papers. RePEc:arx:papers:2505.17388. Full description at Econpapers \|\| Download paper
2025	A Hybrid EGARCHâInformer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting. (2025). Lee, Ming Che. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3108-:d:1760321. Full description at Econpapers \|\| Download paper
2025	A novel utility-based approach for enhanced indexation. (2025). Zhou, Minna ; Wang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pb:s1544612325017088. Full description at Econpapers \|\| Download paper
2025	Drought, water, and the valuation of hydropower assets. (2025). Figuerola-Ferretti, Isabel ; Segarra, Ignacio ; Schwartz, Eduardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:179:y:2025:i:c:s0378426625001402. Full description at Econpapers \|\| Download paper
2025	Regret-Optimized Portfolio Enhancement through Deep Reinforcement Learning and Future Looking Rewards. (2025). Garz, Rub'En ; Gulcehre, Caglar ; Terekhov, Mikhail ; Karzanov, Daniil ; Detyniecki, Marcin ; Raffinot, Thomas. In: Papers. RePEc:arx:papers:2502.02619. Full description at Econpapers \|\| Download paper
2025	Robust Reinforcement Learning with Dynamic Distortion Risk Measures. (2025). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2409.10096. Full description at Econpapers \|\| Download paper
2025	BlackâScholes Meet Imitation Learning: Evidence From Deep Hedging in China. (2025). Xu, Qingdong ; Tian, Ruzheng ; Kang, Jie ; Jiang, Fuwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:1071-1087. Full description at Econpapers \|\| Download paper
2025	Makers and Takers: The Economics of the Kalshi Prediction Market. (2025). Deng, Wanying ; Brgi, Constantin ; Whelan, Karl. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12122. Full description at Econpapers \|\| Download paper
2025	Makers and Takers: The Economics of the Kalshi Prediction Market. (2025). Whelan, Karl. In: MPRA Paper. RePEc:pra:mprapa:126350. Full description at Econpapers \|\| Download paper
2025	Agreeing to Disagree: The Economics of Betting Exchanges. (2025). Whelan, Karl. In: MPRA Paper. RePEc:pra:mprapa:126351. Full description at Econpapers \|\| Download paper
2025	Cryptocurrency as a Slice in Investment Portfolio: Identifying Critical Antecedents and Building Taxonomy for Emerging Economy. (2025). Manohar, Sridhar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:4:d:10.1007_s10690-024-09490-7. Full description at Econpapers \|\| Download paper
2025	Cross-sectional interactions in cryptocurrency returns. (2025). Karim, Sitara ; Bdowska-Sjka, Barbara ; Mercik, Aleksander ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007415. Full description at Econpapers \|\| Download paper
2025	Do risk preferences drive momentum in cryptocurrencies?. (2025). Buchwalter, Bastien ; Schweizer, Denis ; Proelss, Juliane. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324015605. Full description at Econpapers \|\| Download paper
2025	Solvability of the Gaussian Kyle model with imperfect information and risk aversion. (2025). Noh, Eunjung ; Ekren, Ibrahim ; Chhaibi, Reda. In: Papers. RePEc:arx:papers:2501.16488. Full description at Econpapers \|\| Download paper
2025	Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528. Full description at Econpapers \|\| Download paper
2025	Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985. Full description at Econpapers \|\| Download paper
2025	Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929. Full description at Econpapers \|\| Download paper
2025	A New Traders Game? -- Response Functions in a Historical Perspective. (2025). Schuhmann, Cedric ; Heckens, Anton J ; Kohler, Benjamin ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2503.01629. Full description at Econpapers \|\| Download paper
2025	Crossâimpact and price bubbles in hybrid financial markets. (2025). Giannetti, Caterina ; Cordoni, Francesco ; Chapkovski, Philipp ; Lillo, Fabrizio. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643. Full description at Econpapers \|\| Download paper
2025	A new tradersâ game? â Empirical analysis of response functions in a historical perspective. (2025). Guhr, Thomas ; Schuhmann, Cedric ; Khler, Benjamin ; Heckens, Anton J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:679:y:2025:i:c:s0378437125006338. Full description at Econpapers \|\| Download paper
2025	A framework of state-dependent utility optimisation with general benchmarks. (2025). Liu, Yang ; Liang, Zongxia ; Zhang, Litian. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00561-9. Full description at Econpapers \|\| Download paper
2025	Stochastic modelling and forecasting of wind capacity utilization with applications to risk management: The Australian case. (2025). Nikitopoulos, Christina S ; Alfeus, Mesias ; Overbeck, Ludger ; Mwampashi, Muthe M. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25001064. Full description at Econpapers \|\| Download paper
2025	ESG-integration investment strategy for TDFs with a multi-objective dynamic programming. (2025). Dong, Zhi-Long ; Liu, Wenling ; Jing, Kui ; Xu, Fengmin. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003497. Full description at Econpapers \|\| Download paper
2025	Enhancing diversification in fixed-income portfolios: an entropy-based optimization framework. (2025). Bajo Traver, Mario. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:7:d:10.1057_s41260-025-00428-w. Full description at Econpapers \|\| Download paper
2025	Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency. (2025). Jiang, Hao ; Ma, Yong ; Wang, Tianyang. In: Journal of Financial Markets. RePEc:eee:finmar:v:73:y:2025:i:c:s1386418125000096. Full description at Econpapers \|\| Download paper
2025	The Relationship Between Leverage and Profitability: The Role of Tax Depreciation Allowances. (2025). Panteghini, Paolo M ; Koussis, Nicos ; Menoncin, Francesco. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11937. Full description at Econpapers \|\| Download paper
2025	Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation. (2025). Bodor, Hamza ; Carlier, Laurent. In: Papers. RePEc:arx:papers:2501.08822. Full description at Econpapers \|\| Download paper
2025	TRADES: Generating Realistic Market Simulations with Diffusion Models. (2025). Velardi, Paola ; Prenkaj, Bardh ; Berti, Leonardo. In: Papers. RePEc:arx:papers:2502.07071. Full description at Econpapers \|\| Download paper
2025	TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with Limit Order Book Data. (2025). Berti, Leonardo ; Kasneci, Gjergji. In: Papers. RePEc:arx:papers:2502.15757. Full description at Econpapers \|\| Download paper
2025	Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer. (2025). Wang, Haochuan. In: Papers. RePEc:arx:papers:2506.05764. Full description at Econpapers \|\| Download paper
2025	Market Simulation under Adverse Selection. (2025). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2409.12721. Full description at Econpapers \|\| Download paper
2025	An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book. (2025). Zhang, Ming ; Fang, Ran ; Yang, Jiahao ; Zhou, Jun. In: Papers. RePEc:arx:papers:2505.22678. Full description at Econpapers \|\| Download paper
2025	Building Technical Analysis Strategies Using Multivariate Longitudinal and Time-to-Event Data in Stock Markets. (2025). Zhou, Junzi ; Hu, Wenbin. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10782-3. Full description at Econpapers \|\| Download paper
2025	Survival Analysis as Imprecise Classification with Trainable Kernels. (2025). Konstantinov, Andrei ; Utkin, Lev ; Efremenko, Vlada ; Muliukha, Vladimir ; Lukashin, Alexey ; Verbova, Natalya. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:18:p:3040-:d:1754314. Full description at Econpapers \|\| Download paper
2025	Measuring and forecasting financial system resilience under multiple shocks: A survival analysis approach. (2025). Hu, Wenbin ; Zhou, Junzi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25003038. Full description at Econpapers \|\| Download paper
2025	Detecting exuberance phenomena in thematic investing. (2025). Vacca, Gianmarco ; Genoni, Giulia ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001539. Full description at Econpapers \|\| Download paper
2025	A Novel Multi-Task Learning Framework for Interval-Valued Carbon Price Forecasting Using Online News and Search Engine Data. (2025). Tang, Zhenpeng ; Lin, Shuo ; Wang, Liuqing ; Liu, Dinggao. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:455-:d:1579981. Full description at Econpapers \|\| Download paper
2025	Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance. (2025). Glielmo, Aldo ; Mira, Antonietta ; de Giuli, Maria Elena ; del Tatto, Vittorio ; Salvagnin, Cristiano. In: Papers. RePEc:arx:papers:2508.15667. Full description at Econpapers \|\| Download paper
2025	Detecting speculation in the market for EU emission allowances. (2025). Reissl, Severin ; Terranova, Roberta ; Cozzarini, Chiara ; Tavoni, Massimo. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004797. Full description at Econpapers \|\| Download paper
2025	Stochastic volatility model with long memory for water quantity-quality dynamics. (2025). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:195:y:2025:i:c:s0960077925001808. Full description at Econpapers \|\| Download paper
2025	LLM-Generated Counterfactual Stress Scenarios for Portfolio Risk Simulation via Hybrid Prompt-RAG Pipeline. (2025). Soleimani, Masoud. In: Papers. RePEc:arx:papers:2512.07867. Full description at Econpapers \|\| Download paper
2025	Fast Learning in Quantitative Finance with Extreme Learning Machine. (2025). Liu, Shuaiqiang ; Cheng, Xue. In: Papers. RePEc:arx:papers:2505.09551. Full description at Econpapers \|\| Download paper
2025	Operator Deep Smoothing for Implied Volatility. (2024). Wiedemann, Ruben ; Gonon, Lukas ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2406.11520. Full description at Econpapers \|\| Download paper
2025	A data-driven prediction method for multi-period portfolio optimization using the real options approach. (2025). Arasteh, Abdollah. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006634. Full description at Econpapers \|\| Download paper
2025	Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian. (2025). Attal, Elie ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2504.19885. Full description at Econpapers \|\| Download paper
2025	Superposition of interacting stochastic processes with memory and its application to migrating fish counts. (2025). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:192:y:2025:i:c:s0960077924014632. Full description at Econpapers \|\| Download paper
2025	Pricing American options under rough volatility using deep-signatures and signature-kernels. (2025). Pelizzari, Luca ; Bayer, Christian ; Zhu, Jia-Jie. In: Papers. RePEc:arx:papers:2501.06758. Full description at Econpapers \|\| Download paper
2025	Primal and dual optimal stopping with signatures. (2025). Schoenmakers, John ; Bayer, Christian ; Pelizzari, Luca. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:4:d:10.1007_s00780-025-00570-8. Full description at Econpapers \|\| Download paper
2025	Noise-proofing Universal Portfolio Shrinkage. (2025). Bongiorno, Christian ; Challet, Damien ; Ruelloux, Paul. In: Papers. RePEc:arx:papers:2511.10478. Full description at Econpapers \|\| Download paper
2025	Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978. Full description at Econpapers \|\| Download paper
2025	Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A bond market study. (2025). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2503.00320. Full description at Econpapers \|\| Download paper
2025	ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books. (2025). Zohren, Stefan ; Shestopaloff, Alexander Y ; Cucuringu, Mihai ; Zhang, Yichi. In: Papers. RePEc:arx:papers:2504.20349. Full description at Econpapers \|\| Download paper
2025	Classifying and Clustering Trading Agents. (2025). Wilinski, Mateusz ; Kanniainen, Juho ; Iosifidis, Alexandros ; Goel, Anubha. In: Papers. RePEc:arx:papers:2505.21662. Full description at Econpapers \|\| Download paper
2025	Rough PDEs for local stochastic volatility models. (2025). Friz, Peter K ; Bank, Peter ; Pelizzari, Luca ; Bayer, Christian. In: Papers. RePEc:arx:papers:2307.09216. Full description at Econpapers \|\| Download paper
2025	Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options. (2025). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.02832. Full description at Econpapers \|\| Download paper
2025	Pareto efficiency and financial fairness under limited expected loss constraint. (2025). Nguyen, Thai ; Wa, Tak. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:117:y:2025:i:c:s0304406825000138. Full description at Econpapers \|\| Download paper
2025	Individual survivor fund account: The impact of bequest motives on tontine participation. (2025). Nguyen, Thai ; Wa, Tak. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:125:y:2025:i:c:s0167668725001088. Full description at Econpapers \|\| Download paper
2025	Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact. (2025). Karbach, Sven ; Chatziandreou, Konstantinos. In: Papers. RePEc:arx:papers:2504.10282. Full description at Econpapers \|\| Download paper
2025	Competition and Incentives in a Shared Order Book. (2025). Ren'e A"id, ; Bergault, Philippe ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2509.10094. Full description at Econpapers \|\| Download paper
2025	Multi-objective carbon-energy portfolio optimization under investment horizon heterogeneity. (2025). Wang, Qunwei ; Li, Matthew C ; Xiao, Ling ; Xue, Jianhao ; Dai, Xingyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925002922. Full description at Econpapers \|\| Download paper
2025	Prediction of the implied volatility surfaceâAn empirical analysis of the SSE 50ETF option based on CNNs. (2025). Shao, Hualu ; Zhou, Baicheng ; Gong, Shaoqing. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003824. Full description at Econpapers \|\| Download paper
2025	Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743. Full description at Econpapers \|\| Download paper
2025	Asset allocation for a DC pension plan with dynamic attention. (2025). Peng, Xingchun ; Fan, Shiqi. In: Finance Research Letters. RePEc:eee:finlet:v:82:y:2025:i:c:s154461232500772x. Full description at Econpapers \|\| Download paper
2025	Does investor attention drive cryptocurrency markets? Insights from network connectedness and portfolio applications. (2025). Wang, Ming-Hui ; Wu, Feng-Lin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001263. Full description at Econpapers \|\| Download paper
2025	A time-stepping deep gradient flow method for option pricing in (rough) diffusion models. (2025). Rou, Jasper ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.00746. Full description at Econpapers \|\| Download paper
2025	Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process. (2024). ben Alaya, Mohamed ; Friesen, Martin ; Kremer, Jonas. In: Papers. RePEc:arx:papers:2409.04496. Full description at Econpapers \|\| Download paper
2025	Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps. (2025). Grzelak, Lech A ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2510.08805. Full description at Econpapers \|\| Download paper
2025	Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087. Full description at Econpapers \|\| Download paper
2025	SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249. Full description at Econpapers \|\| Download paper
2025	Optimal Execution with Reinforcement Learning. (2024). Vittori, Edoardo ; Hafsi, Yadh. In: Papers. RePEc:arx:papers:2411.06389. Full description at Econpapers \|\| Download paper
2025	SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111. Full description at Econpapers \|\| Download paper
2025	The dynamics of firms abnormal earnings and the growth differential between market and book value of equity. (2025). al Haija, Adnan Abo. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:6:d:10.1057_s41260-025-00421-3. Full description at Econpapers \|\| Download paper
2025	Should the Occupational Pension Plansâ Investment be Long-Term or Short-Term? Evidence from China. (2025). Liu, Wenling ; Xu, Fengmin ; Jing, Kui ; Hua, Ziyue. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10677-3. Full description at Econpapers \|\| Download paper
2025	Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Yang, Jiefei ; Li, Guanglian. In: Papers. RePEc:arx:papers:2405.02570. Full description at Econpapers \|\| Download paper
2025	A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-Dimensional American Options. (2025). Wu, Xuan ; Lu, Weiguo ; Zhuang, Jirong ; Yuan, Gangnan ; Ding, Deng. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:5:d:10.1007_s10614-024-10833-9. Full description at Econpapers \|\| Download paper
2025	Kyleâs model with stochastic liquidity. (2025). Itkovi, Gordan ; Mostowski, Brad ; Ekren, Ibrahim. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:4:d:10.1007_s00780-025-00574-4. Full description at Econpapers \|\| Download paper
2025	Optimal equity split under unobservable investments. (2025). Yang, Zhaojun ; Tan, Lihua. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:98:y:2025:i:c:s0167718724000870. Full description at Econpapers \|\| Download paper
2025	Modeling Euro Area Benchmark Rates After the End of LIBOR. (2025). Nicolosi, Marco ; Angelini, Flavio ; Herzel, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:613. Full description at Econpapers \|\| Download paper
2025	A Unifying Approach for the Pricing of Debt Securities. (2025). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2403.06303. Full description at Econpapers \|\| Download paper
2025	A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324. Full description at Econpapers \|\| Download paper
2025	Innovative combo product design embedding variable annuity and long-term care insurance contracts. (2025). Shen, Yang ; Sherris, Michael ; Wang, Yawei ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:79-99. Full description at Econpapers \|\| Download paper
2025	Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps. (2025). Agazzotti, Gaetano ; Rinella, Claudio Aglieri ; Kirkby, Justin Lars ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2502.13824. Full description at Econpapers \|\| Download paper
2025	Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation. (2025). Schlogl, Erik ; Kyakutwika, Nelson ; Alfeus, Mesias. In: Papers. RePEc:arx:papers:2506.23409. Full description at Econpapers \|\| Download paper
2025	A study of asset and liability management applied to Brazilian pension funds. (2025). , Joao ; Falcao, Rodrigo ; Bernardino, Wilton ; Alves, Jos Jonas ; de Souza, Filipe Costa ; Ospina, Raydonal. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:3:p:1059-1076. Full description at Econpapers \|\| Download paper
2025	Computing Systemic Risk Measures with Graph Neural Networks. (2024). Weber, Niklas ; Meyer-Brandis, Thilo ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2410.07222. Full description at Econpapers \|\| Download paper
2025	Blessing or curse? Fintech adoption and greenhouse gas emission intensity. (2025). Li, Wanfu ; Alharbi, Samar S ; Cao, June. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008025. Full description at Econpapers \|\| Download paper
2025	Synergizing Renewable Energy and Circular Economy Strategies: Pioneering Pathways to Environmental Sustainability. (2025). Gao, Xiaodan ; He, Yugang ; Wang, Yinhui. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:5:p:1801-:d:1595872. Full description at Econpapers \|\| Download paper
2025	On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021. Full description at Econpapers \|\| Download paper
2025	Drawdowns, Drawups, and Occupation Times under General Markov Models. (2025). Zhang, Weinan ; Zeng, Pingping. In: Papers. RePEc:arx:papers:2506.00552. Full description at Econpapers \|\| Download paper
2025	The role of green bonds on industrial sustainability for achieving carbon neutrality: Evidence from the artificial neural network method. (2025). Tiwari, Aviral ; Lau, Chi Keung ; GÃ¶zgÃ¶r, Giray ; Jain, Preksha ; Das, Amit Kumar ; Padhan, Hemachandra. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004525. Full description at Econpapers \|\| Download paper
2025	The impact of two-way foreign direct investment on industrial green development: perspective of international cooperation on production capacity in China. (2025). Zhang, Zhenhua ; Yong, Hui ; Li, LI. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:2:d:10.1007_s10644-025-09866-3. Full description at Econpapers \|\| Download paper
2025	Geopolitical risk and vulnerability of energy markets. (2025). Liu, Zhenhua ; Ji, Qiang ; Ding, Zhihua ; Yuan, Xinting ; Wang, Yushu. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007643. Full description at Econpapers \|\| Download paper
2025	Cross-border transmission effect of Chinas monetary policy on the exchange rate of Asia-Pacific economies. (2025). Chen, Pei-Fen ; Min-Syu, Lin ; Chingnun, Lee ; Pei-Fen, Chen ; Mei-Ping, Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007671. Full description at Econpapers \|\| Download paper
2025	Dynamic risk spillovers between green bonds and energy markets: New evidence from the GARCH-MIDAS-D-Copula-CoVaR approach considering uncertainties. (2025). Wang, Sikai ; Zheng, Hairong ; Zhang, Tingting. In: Renewable Energy. RePEc:eee:renene:v:239:y:2025:i:c:s0960148124021979. Full description at Econpapers \|\| Download paper
2025	Climate risk perception and oil financialization in China: Evidence from a time-varying Granger model. (2025). Ren, Xiaohang ; Fu, Chenjia ; Jin, YI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004550. Full description at Econpapers \|\| Download paper
2025	Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks. (2025). GUPTA, RANGAN ; Plakandaras, Vasilios ; Ji, Qiang ; Foglia, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004604. Full description at Econpapers \|\| Download paper
2025	The dynamic connectedness in the âcarbon-energy-green financeâ system: The role of climate policy uncertainty and artificial intelligence. (2025). Qi, Shaozhou ; Pang, Lidong ; Li, Xinqiang ; Huang, Lin. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000647. Full description at Econpapers \|\| Download paper
2025	The nexus among geopolitical risk, metal prices, and global supply chain pressure: Evidence from the TVP-SV-VAR approach. (2025). Liu, Yang ; Taghizadeh-Hesary, Farhad ; Jia, Yiqing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1776-1789. Full description at Econpapers \|\| Download paper
2025	Does artificial intelligence promote green technology innovation in the energy industry?. (2025). Sun, Jiawen ; Liu, Xihua ; Zhang, Yue. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325002269. Full description at Econpapers \|\| Download paper
2025	Extreme risk spillovers between SC, WTI and Brent crude oil futures-Evidence from time-varying Granger causality test. (2025). Ren, Xiaohang ; Tao, Lizhu ; Liu, Chuanwang ; He, Yue. In: Energy. RePEc:eee:energy:v:320:y:2025:i:c:s0360544225011375. Full description at Econpapers \|\| Download paper
2025	Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method. (2025). Zhu, Huiming ; Chen, Yaling ; Liu, Yinpeng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000467. Full description at Econpapers \|\| Download paper
2025	Green financial instruments: Economic, technological, and legal cycles in the development of the energy transition period. (2025). Liu, Weiwen. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:215:y:2025:i:c:s0040162525000393. Full description at Econpapers \|\| Download paper
2025	Is the end of AI in photovoltaic power? Evidence from China. (2025). Zhang, Haoran ; Gao, Zixuan ; Yu, Xiaohong. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002476. Full description at Econpapers \|\| Download paper
2025	Extreme events and quantile time-frequency volatility connectedness across crude oil, green bonds and low-carbon equity markets. (2025). Wang, Jikai ; Qiao, Gaoxiu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001618. Full description at Econpapers \|\| Download paper
2025	The relationship between FinTech and energy markets in China. (2025). Huang, Yunying ; Yang, Cunyi ; Albitar, Khaldoon ; Zhou, QI. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:217:y:2025:i:c:s0040162525002197. Full description at Econpapers \|\| Download paper
2025	When and how does artificial intelligence impact environmental performance?. (2025). OMRI, Anis ; ben Jabeur, Sami ; Slimani, Sana. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004700. Full description at Econpapers \|\| Download paper
2025	The impact of uncertainties on contagions in energy market risk networks: Evidence from synthesizing multiple-order moments and multiple time horizons. (2025). Huang, Shupei ; Vigne, Samuel A ; Wang, Xinya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025004757. Full description at Econpapers \|\| Download paper
2025	Decoding risk transmission: A higher-order moments network analysis of sustainable and traditional markets. (2025). Ren, Xiaohang ; He, Yue ; Tao, Miaomiao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003411. Full description at Econpapers \|\| Download paper
2025	Tail risk spillover of commodity futures markets. (2025). Ren, Xiaohang ; Sun, Xianming ; Zhang, Wenxin. In: Accounting and Finance. RePEc:bla:acctfi:v:65:y:2025:i:1:p:109-141. Full description at Econpapers \|\| Download paper
2025	ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016. Full description at Econpapers \|\| Download paper
2025	Risk Retention and the Performance of Nigeria Reinsurance Corporation (1994-2024). (2025). Jeremiah, Mfon Solomon ; Joseph, Emem Matthew. In: International Journal of Finance, Insurance and Risk Management. RePEc:ers:ijfirm:v:15:y:2025:i:4:p:87-126. Full description at Econpapers \|\| Download paper
2025	Nash equilibrium in insurance pricing and investment under common shocks. (2025). Zhang, Jinjin. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pa:s1544612325016630. Full description at Econpapers \|\| Download paper
2025	Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash. (2025). Young, Virginia R ; Cao, Jingyi ; Li, Dongchen ; Zou, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:125:y:2025:i:c:s0167668725000800. Full description at Econpapers \|\| Download paper
2025	Optimal multi-period leverage-constrained portfolios: A neural network approach. (2025). Ni, Chendi ; Li, Yuying ; Forsyth, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000934. Full description at Econpapers \|\| Download paper
2025	Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital. (2025). Ãevik, Emrah ; Goodell, John W ; Gunay, Samet ; Cevik, Emrah Ismail ; Kenc, Turalay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007718. Full description at Econpapers \|\| Download paper
2025	Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698. Full description at Econpapers \|\| Download paper
2025	Climate policy uncertainty, supply chain resilience and enterprisesâ green total factor productivity: Evidence from China. (2025). Zhang, Lixia ; Bai, Jiancheng ; Sun, Huaping ; Deng, Feng ; Qian, Ying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s105905602500718x. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2025

Year	Citing document
2025	Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review. (2025). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2508.12007. Full description at Econpapers \|\| Download paper
2025	Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919. Full description at Econpapers \|\| Download paper
2025	Efficient simulation of prices for European call options under Heston stochastic-local volatility model: a comparison of methods. (2025). Li, Tianze ; Cai, Meng. In: Papers. RePEc:arx:papers:2509.24449. Full description at Econpapers \|\| Download paper
2025	A mathematical study of the excess growth rate. (2025). Wong, Ting-Kam Leonard ; Campbell, Steven. In: Papers. RePEc:arx:papers:2510.25740. Full description at Econpapers \|\| Download paper
2025	ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016. Full description at Econpapers \|\| Download paper
2025	Asset-liability management with Epstein-Zin utility$\quad$ under stochastic interest rate and unknown market price of risk. (2025). Kuissi-Kamdem, Wilfried. In: Papers. RePEc:arx:papers:2511.02158. Full description at Econpapers \|\| Download paper
2025	Tail Risk in Weather Derivatives. (2025). Cheng, Tuoyuan ; Poreddy, Saikiran Reddy. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:2:p:11-:d:1681037. Full description at Econpapers \|\| Download paper
2025	Dynamic Portfolio Return Classification Using Price-Aware Logistic Regression. (2025). Taha, Altyeb Altaher ; Aljahdali, Hani Moaiteq ; Baguda, Yakubu Suleiman. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1885-:d:1671949. Full description at Econpapers \|\| Download paper
2025	An Improved FrankâWolfe Algorithm to Solve the Tactical Investment Portfolio Optimization Problem. (2025). Setyawan, Deva Putra ; Chaerani, Diah ; Sukono, Sukono. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:18:p:3038-:d:1754014. Full description at Econpapers \|\| Download paper
2025	An Entropy Regularized BSDE Approach to Bermudan Options and Games. (2025). Chee, Daniel ; Li, Libo ; Frikha, Noufel. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05265653. Full description at Econpapers \|\| Download paper
2025	AI shrinkage: a data-driven approach for risk-optimized portfolios. (2025). De Nard, Gianluca ; Kostovic, Damjan. In: ECON - Working Papers. RePEc:zur:econwp:470. Full description at Econpapers \|\| Download paper

Recent citations received in 2024

Year	Citing document
2024	Adoption 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
2024	Equilibrium 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
2024	PSAHARA 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
2024	Subleading 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
2024	A 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
2024	Causality-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
2024	Attention-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
2024	How 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
2024	Time-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
2024	On 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
2024	Deep 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
2024	Systematic 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
2024	Battery 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
2024	State 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
2024	Dynamic 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
2024	Spatial 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
2024	Fee structure and equity fund managerâs 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
2024	Analyzing 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
2024	The 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
2024	A 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
2024	Robust 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
2024	Can 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
2024	The 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
2024	The 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
2024	Bayesian 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
2024	Recursive 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
2024	Deep 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
2024	How 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
2024	Pricing 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
2024	E-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
2024	Factor-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

Year	Citing document
2023	Complexity 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
2023	Adversarial 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
2023	The 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
2023	Kelvin 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
2023	Time-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
2023	Crypto 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
2023	Dynamic 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
2023	Two-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
2023	Good 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
2023	Kurtosis-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
2023	Climbing 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
2023	News-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
2023	From 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
2023	Complexity 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
2023	Risk 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
2023	Volatility 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
2023	A 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
2023	Volatility 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

Year	Citing document
2022	Solving 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
2022	Sensitivities 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
2022	A 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
2022	On 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
2022	Model-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
2022	A 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
2022	Optimal 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
2022	Pricing the risk due to weather conditions in small variable renewable energy projects. (2022). Uribe, Jorge ; Mosquera-LÃ³pez, Stephania ; Mosquera-Lopez, Stephania. In: Applied Energy. RePEc:eee:appene:v:322:y:2022:i:c:s0306261922008029. Full description at Econpapers \|\| Download paper
2022	Inflation 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
2022	Distributionally 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
2022	The 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
2022	A 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
2022	Innovation 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
2022	Pricing 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
2022	A 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
2022	Optimal 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
2022	On the role of skewness and kurtosis in tempered stable (CGMY) LÃ©vy 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
2022	Optimal 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
2022	A hybrid approach to the discrepancy in financial performanceâs 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
2022	Venturing 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	98	3503
2	Finance Research Letters / Elsevier	92	306
3	International Review of Financial Analysis / Elsevier	92	270
4	Physica A: Statistical Mechanics and its Applications / Elsevier	78	244
5	Computational Economics / Springer	33	235
6	European Journal of Operational Research / Elsevier	140	233
7	Annals of Operations Research / Springer	54	219
8	Mathematics / MDPI	21	210
9	The North American Journal of Economics and Finance / Elsevier	53	199
10	Energy Economics / Elsevier	182	189
11	Post-Print / HAL	219	189