Citation analysis for Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2023-11-03 08:28:08]

5 Years H Index

Impact Factor (IF)

0.83

5 Years IF

0.84

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	2757	27	31	0		0			0	27	0.4	0.17
2002	0.57	0.41	0.46	0.57	63	130	1040	56	91	67	38	67	38	4	7.1	10	0.16	0.21
2003	0.67	0.44	0.68	0.67	68	198	856	132	225	130	87	130	87	16	12.1	6	0.09	0.22
2004	0.52	0.49	0.65	0.56	67	265	1258	170	398	131	68	198	110	22	12.9	14	0.21	0.22
2005	0.41	0.5	0.8	0.6	50	315	1070	246	651	135	56	265	159	21	8.5	7	0.14	0.23
2006	0.49	0.5	0.79	0.59	45	360	544	276	936	117	57	315	186	39	14.1	11	0.24	0.22
2007	0.46	0.46	0.67	0.46	62	422	680	275	1220	95	44	293	135	18	6.5	10	0.16	0.2
2008	0.27	0.49	0.75	0.46	64	486	793	359	1586	107	29	292	133	34	9.5	19	0.3	0.23
2009	0.3	0.47	0.76	0.55	79	565	731	420	2014	126	38	288	159	33	7.9	5	0.06	0.24
2010	0.45	0.48	0.71	0.54	114	679	1651	481	2499	143	64	300	161	35	7.3	27	0.24	0.21
2011	0.39	0.52	0.65	0.42	128	807	889	520	3025	193	75	364	152	39	7.5	22	0.17	0.24
2012	0.53	0.52	0.75	0.6	164	971	963	725	3756	242	128	447	268	61	8.4	21	0.13	0.22
2013	0.45	0.56	0.92	0.61	135	1106	1022	1015	4775	292	132	549	337	56	5.5	30	0.22	0.24
2014	0.49	0.55	0.9	0.61	154	1260	913	1122	5910	299	146	620	381	52	4.6	24	0.16	0.23
2015	0.57	0.55	0.88	0.58	138	1398	1147	1226	7138	289	164	695	403	66	5.4	63	0.46	0.23
2016	0.7	0.53	1	0.61	136	1534	873	1535	8674	292	203	719	440	89	5.8	30	0.22	0.21
2017	0.66	0.54	0.89	0.65	141	1675	784	1482	10157	274	181	727	470	75	5.1	36	0.26	0.22
2018	0.75	0.56	0.89	0.69	151	1826	785	1627	11785	277	208	704	485	18	1.1	42	0.28	0.24
2019	0.76	0.58	0.85	0.72	154	1980	661	1690	13477	292	221	720	520	4	0.2	40	0.26	0.23
2020	0.89	0.7	0.99	0.84	136	2116	347	2083	15563	305	270	720	606	12	0.6	49	0.36	0.33
2021	0.89	0.87	0.95	0.8	132	2248	272	2136	17699	290	258	718	574	1	0	55	0.42	0.32
2022	0.83	1	0.91	0.84	137	2385	70	2177	19876	268	223	714	602		0	23	0.17	0.31

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	1181
2	2004	Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers \|\| Download paper	370
3	2005	Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers \|\| Download paper	272
4	2018	Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949. Full description at Econpapers \|\| Download paper	234
5	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	227
6	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	198
7	2016	Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers \|\| Download paper	193
8	2008	High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers \|\| Download paper	173
9	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	171
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	162
11	2001	Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers \|\| Download paper	153
12	2003	Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers \|\| Download paper	152
13	2011	Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers \|\| Download paper	151
14	2002	Dynamics of implied volatility surfaces. (2002). DA FONSECA, JosÃÆÃÂ© ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	146
15	2002	Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers \|\| Download paper	145
16	2004	Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers \|\| Download paper	143
17	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	139
18	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	137
19	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	136
20	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	132
21	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	132
22	2004	What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers \|\| Download paper	127
23	2001	Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers \|\| Download paper	126
24	2013	Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers \|\| Download paper	119
25	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	116
26	2010	Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers \|\| Download paper	115
27	2011	Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers \|\| Download paper	103
28	2001	Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers \|\| Download paper	100
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	98
30	2001	High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers \|\| Download paper	97
31	2013	Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers \|\| Download paper	96
32	2017	Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433. Full description at Econpapers \|\| Download paper	92
33	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	87
34	2004	A spot market model for pricing derivatives in electricity markets. (2004). MÃÆÃÂ¼ller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers \|\| Download paper	84
35	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	83
36	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	79
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	77
38	2003	Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers \|\| Download paper	75
39	2012	Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707. Full description at Econpapers \|\| Download paper	73
40	2015	On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733. Full description at Econpapers \|\| Download paper	71
41	2008	A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, JosÃÆÃÂ© ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers \|\| Download paper	71
42	2012	The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers \|\| Download paper	70
43	2010	International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399. Full description at Econpapers \|\| Download paper	69
44	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	69
45	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	68
46	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	68
47	2013	Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers \|\| Download paper	67
48	2012	Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327. Full description at Econpapers \|\| Download paper	67
49	2002	Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198. Full description at Econpapers \|\| Download paper	67
50	2011	Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers \|\| Download paper	66

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	255
2	2018	Volatility is rough. (2018). Gatheral, Jim ; Rosenbaum, Mathieu ; Jaisson, Thibault . In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949. Full description at Econpapers \|\| Download paper	148
3	2016	Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers \|\| Download paper	110
4	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	60
5	2004	Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers \|\| Download paper	51
6	2008	High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers \|\| Download paper	51
7	2010	Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers \|\| Download paper	50
8	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	48
9	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	46
10	2017	Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433. Full description at Econpapers \|\| Download paper	43
11	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	40
12	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	35
13	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	34
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	34
15	2020	Quant GANs: deep generation of financial time series. (2020). Kretschmer, Peter ; Korn, Ralf ; Knobloch, Robert ; Wiese, Magnus. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:9:p:1419-1440. Full description at Econpapers \|\| Download paper	32
16	2011	Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers \|\| Download paper	31
17	2020	A critical investigation of cryptocurrency data and analysis. (2020). Dakos, M ; Alexander, C. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188. Full description at Econpapers \|\| Download paper	31
18	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	31
19	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	29
20	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	29
21	2017	Short-time at-the-money skew and rough fractional volatility. (2017). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:189-198. Full description at Econpapers \|\| Download paper	27
22	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	26
23	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	26
24	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	26
25	2013	Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers \|\| Download paper	26
26	2001	Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers \|\| Download paper	26
27	2011	Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers \|\| Download paper	25
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	25
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Citing documents used to compute impact factor: 223

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2022	The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393. Full description at Econpapers \|\| Download paper
2022	The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Working Papers. RePEc:hal:wpaper:hal-03827332. Full description at Econpapers \|\| Download paper
2022	Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2022). Kim, Young Shin ; Kurosaki, Tetsuo. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002245. Full description at Econpapers \|\| Download paper
2022	Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. (2022). Kim, Young Shin. In: Annals of Operations Research. RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-022-04613-7. Full description at Econpapers \|\| Download paper
2022	About the New Methodology and XAI-Based Software Toolkit for Risk Assessment. (2022). Kazanavicius, Egidijus ; Meskauskas, Zygimantas. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:9:p:5496-:d:808141. Full description at Econpapers \|\| Download paper
2022	Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market. (2022). Farmer, Doyne J ; Uluc, Arzu ; Hinterschweiger, Marc ; Carro, Adrian. In: Working Papers. RePEc:bde:wpaper:2217. Full description at Econpapers \|\| Download paper
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2022	Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market. (2022). Farmer, Doyne J ; Uluc, Arzu ; Hinterschweiger, Marc ; Carro, Adrian. In: Bank of England working papers. RePEc:boe:boeewp:0976. Full description at Econpapers \|\| Download paper
2022	The effect of borrower-specific loan-to-value policies on household debt, wealth inequality and consumption volatility: An agent-based analysis. (2022). Theobald, Thomas ; Bezemer, Dirk ; Tarne, Ruben. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002305. Full description at Econpapers \|\| Download paper
2022	Could Spain be less different? Exploring the effects of macroprudential policy on the house price cycle. (2022). Carro, Adrian. In: Working Papers. RePEc:bde:wpaper:2230. Full description at Econpapers \|\| Download paper
2022	American options in the Volterra Heston model. (2021). , Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Papers. RePEc:arx:papers:2103.11734. Full description at Econpapers \|\| Download paper
2022	Deep Stochastic Optimization in Finance. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04604. Full description at Econpapers \|\| Download paper
2022	American options in the Volterra Heston model. (2022). Zuiga, Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Post-Print. RePEc:hal:journl:hal-03178306. Full description at Econpapers \|\| Download paper
2022	Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974. Full description at Econpapers \|\| Download paper
2022	Detecting the leadâlag effect in stock markets: definition, patterns, and investment strategies. (2022). Liu, Chao ; Sun, Baiqing ; Wang, Tianchen. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00356-3. Full description at Econpapers \|\| Download paper
2022	Lead-lag grey forecasting model in the new community group buying retailing. (2022). Kong, Dekai ; Kang, Yuxiao ; Xiao, Xinping ; Zhu, Huimin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s096007792200234x. Full description at Econpapers \|\| Download paper
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2022	The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets. (2022). Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:112588. Full description at Econpapers \|\| Download paper
2022	DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks. (2022). Wang, Shuyi ; Zhao, Xuejun ; Zhang, Zili ; Tan, Xiaoyu. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00369-y. Full description at Econpapers \|\| Download paper
2022	How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241. Full description at Econpapers \|\| Download paper
2022	Diamonds and forward variance models. (2022). Gatheral, Jim ; Friz, Peter. In: Papers. RePEc:arx:papers:2205.03741. Full description at Econpapers \|\| Download paper
2022	A risk measure of the stock market that is based on multifractality. (2022). Chen, Liqing ; Zhang, Zilu ; Sun, QI ; Wang, YI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001960. Full description at Econpapers \|\| Download paper
2022	Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior. (2022). Ausloos, Marcel ; Un, Kuok Sin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008433. Full description at Econpapers \|\| Download paper
2022	Out-of-Model Adjustments of Variable Annuities. (2022). Shen, Zhiyi. In: Papers. RePEc:arx:papers:2208.12838. Full description at Econpapers \|\| Download paper
2022	Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo. (2022). He, Zhijian. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:229-242. Full description at Econpapers \|\| Download paper
2022	Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach. (2022). Huang, Shih-Feng ; Chen, Zih-Bing ; Chang, Chih-Hao. In: Applied Energy. RePEc:eee:appene:v:309:y:2022:i:c:s0306261921016500. Full description at Econpapers \|\| Download paper
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2022	Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes. (2022). Clinet, Simon. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:25:y:2022:i:2:d:10.1007_s11203-021-09251-7. Full description at Econpapers \|\| Download paper
2022	Net Buying Pressure and the Information in Bitcoin Option Trades. (2021). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.02776. Full description at Econpapers \|\| Download paper
2022	Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. (2022). ÃÂzdemir, Onur. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00319-0. Full description at Econpapers \|\| Download paper
2022	Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6. Full description at Econpapers \|\| Download paper
2022	Dynamic selection of GramâCharlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5. Full description at Econpapers \|\| Download paper
2022	Anatomy of a Stablecoins failure: the Terra-Luna case. (2022). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tom, David ; Briola, Antonio. In: Papers. RePEc:arx:papers:2207.13914. Full description at Econpapers \|\| Download paper
2022	When Tether says âJUMP!â Bitcoin asks âHow low?â. (2022). Duc, Toan Luu ; Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005778. Full description at Econpapers \|\| Download paper
2022	Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices. (2022). Yarovaya, Larisa ; Gozgor, Giray ; Elsayed, Ahmed H. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000551. Full description at Econpapers \|\| Download paper
2022	Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369. Full description at Econpapers \|\| Download paper
2022	Predictability of cryptocurrency returns: evidence from robust tests. (2022). Rustam, Ibragimov ; Siyun, HE. In: Dependence Modeling. RePEc:vrs:demode:v:10:y:2022:i:1:p:191-206:n:5. Full description at Econpapers \|\| Download paper
2022	Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894. Full description at Econpapers \|\| Download paper
2022	Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond. (2022). Wang, Yanchen ; Tang, Tao. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:64:y:2022:i:c:s1042444x22000019. Full description at Econpapers \|\| Download paper
2022	Cryptocurrencies and stablecoins: a high-frequency analysis. (2022). Marazzina, Daniele ; Moncayo, Giancarlo Giuffra ; Barucci, Emilio. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00055-9. Full description at Econpapers \|\| Download paper
2022	Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum. (2022). Katarzyna, Wosik ; Wojciech, Wider ; Konrad, Sobaski ; Blanka, T. In: International Journal of Management and Economics. RePEc:vrs:ijomae:v:58:y:2022:i:4:p:351-370:n:6. Full description at Econpapers \|\| Download paper
2022	The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242. Full description at Econpapers \|\| Download paper
2022	Disposition Effect and its outcome on endogenous price fluctuations. (2022). Tramontana, Fabio ; Cafferata, Alessia. In: MPRA Paper. RePEc:pra:mprapa:113904. Full description at Econpapers \|\| Download paper
2022	An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. Full description at Econpapers \|\| Download paper
2022	Mapping the field of behavioural biases: a literature review using bibliometric analysis. (2022). Jain, Jinesh ; Walia, Nidhi ; Singh, Simarjeet. In: Management Review Quarterly. RePEc:spr:manrev:v:72:y:2022:i:3:d:10.1007_s11301-021-00215-y. Full description at Econpapers \|\| Download paper
2022	Opening the black box â Quantile neural networks for loss given default prediction. (2022). Rosch, Daniel ; Nagl, Maximilian ; Kellner, Ralf. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002855. Full description at Econpapers \|\| Download paper
2022	Estimating corporate bankruptcy forecasting models by maximizing discriminatory power. (2022). Taoushianis, Zenon ; Martzoukos, Spiros H ; Charalambous, Chris. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00995-0. Full description at Econpapers \|\| Download paper
2022	A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792. Full description at Econpapers \|\| Download paper
2022	Calibration to FX triangles of the 4/2 model under the benchmark approach. (2022). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00330-1. Full description at Econpapers \|\| Download paper
2022	Deep calibration of financial models: turning theory into practice. (2022). Rosch, Daniel ; Nagl, Maximilian ; Kratochwil, Michael ; Buchel, Patrick. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-021-09183-7. Full description at Econpapers \|\| Download paper
2022	Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data. (2022). Golub, Anton ; Glattfelder, James B. In: Papers. RePEc:arx:papers:2204.02682. Full description at Econpapers \|\| Download paper
2022	Goal-based investing based on multi-stage robust portfolio optimization. (2022). Fabozzi, Frank J ; Kim, Woo Chang ; Lee, Yongjae ; Ho, Jang. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04473-7. Full description at Econpapers \|\| Download paper
2022	Dynamic optimization for multi-goals wealth management. (2022). Srivastav, Deep ; Radhakrishnan, Anand ; Ostrov, Daniel ; Das, Sanjiv R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621001515. Full description at Econpapers \|\| Download paper
2022	Index Tracking via Learning to Predict Market Sensitivities. (2022). Choi, Yongmin ; Kim, Jeonghun ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2209.00780. Full description at Econpapers \|\| Download paper
2022	A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods. (2022). van Dijk, Herman K ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220053. 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	Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849. Full description at Econpapers \|\| Download paper
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2022	The role of textual analysis in oil futures price forecasting based on machine learning approach. (2022). Chen, Qiyang ; Guan, Keqin ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1987-2017. Full description at Econpapers \|\| Download paper
2022	Artificial intelligence and machine learning in finance: A bibliometric review. (2022). Hammami, Helmi ; el Ammari, Anis ; Alshater, Muneer M ; Ahmed, Shamima. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000344. Full description at Econpapers \|\| Download paper
2022	No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022. Full description at Econpapers \|\| Download paper
2022	Pro-Inflationary Impact of the Oil MarketâA Study for Poland. (2022). Szczepaska-Przekota, Anna. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:9:p:3045-:d:798939. Full description at Econpapers \|\| Download paper
2022	Optimal exercise of American puts with transaction costs under utility maximization. (2022). Zhu, Song-Ping ; Yan, Dong ; Lu, Xiaoping. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:415:y:2022:i:c:s0096300321007682. Full description at Econpapers \|\| Download paper
2022	The information content of ETF options. (2022). Yang, Dongxiao ; Ramchander, Sanjay ; Miao, Hong ; Lockwood, Larry . In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278. Full description at Econpapers \|\| Download paper
2022	Information asymmetry and the profitability of technical analysis. (2022). Lai, Hung-Neng ; Hung, Chiayu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002983. Full description at Econpapers \|\| Download paper
2022	Time series momentum in the US stock market: Empirical evidence and theoretical analysis. (2022). Zakamulin, Valeriy ; Giner, Javier. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001363. Full description at Econpapers \|\| Download paper
2022	Efficiency of central clearing under liquidity stress. (2022). Gao, Haotian ; Caccioli, Fabio ; Bardoscia, Marco. In: Bank of England working papers. RePEc:boe:boeewp:1002. Full description at Econpapers \|\| Download paper
2022	Benefit attribution in financial systems with bilateral netting. (2022). Lim, Hanah. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002518. Full description at Econpapers \|\| Download paper
2022	Evidence of Crowding on Russell 3000 Reconstitution Events. (2020). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2006.07456. Full description at Econpapers \|\| Download paper
2022	Hellinger distance to normal distribution as market invariant. (2022). Bardakhchyan, Vardan G ; Mesropyan, Mesrop T. In: Papers. RePEc:arx:papers:2206.05705. Full description at Econpapers \|\| Download paper
2022	Modeling Path-Dependent State Transition by a Recurrent Neural Network. (2022). Yang, Bill Huajian. In: MPRA Paper. RePEc:pra:mprapa:114188. Full description at Econpapers \|\| Download paper
2022	MCMC-based credit rating aggregation algorithm to tackle data insufficiency. (2022). Anton, Markov ; Lapshin, Viktor. In: Applied Econometrics. RePEc:ris:apltrx:0458. Full description at Econpapers \|\| Download paper
2022	A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (2022). Zhang, Xiaoqi ; Zhao, Zhijun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921008973. Full description at Econpapers \|\| Download paper
2022	Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028. Full description at Econpapers \|\| Download paper
2022	Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. (2022). Mulvey, John M ; Uysal, Sinem A ; Li, Xiaoyue. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1158-1176. Full description at Econpapers \|\| Download paper
2022	Calibration for multivariate LÃ©vy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. (2022). Lu, Kevin W. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:25:y:2022:i:2:d:10.1007_s11203-021-09254-4. Full description at Econpapers \|\| Download paper
2022	Pricing discounted American capped options. (2022). Zaevski, Tsvetelin S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000443. Full description at Econpapers \|\| Download paper
2022	Structural breaks, macroeconomic fundamentals and cross hedge ratio. (2022). Liu, LI ; Dong, Qingma ; Xiao, Dongli ; Pan, Zhiyuan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005699. Full description at Econpapers \|\| Download paper
2022	Chinas energy stock market jumps: To what extent does the COVID-19 pandemic play a part?. (2022). Wang, Qunwei ; Bi, Xiaoyi ; Dai, Xingyu ; Tong, Yuan. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001153. Full description at Econpapers \|\| Download paper
2022	COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis. (2022). Wang, Qunwei ; Xiao, Ling ; Li, Matthew C ; Dai, Xingyu. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004986. Full description at Econpapers \|\| Download paper
2022	A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177. Full description at Econpapers \|\| Download paper
2022	Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes. (2022). Wilson, Andrew Gordon ; Maddox, Wesley J ; Benton, Gregory. In: Papers. RePEc:arx:papers:2207.06544. Full description at Econpapers \|\| Download paper
2022	Towards Robust Representation of Limit Orders Books for Deep Learning Models. (2021). Veloso, Manuela ; Magazzeni, Daniele ; Mahfouz, Mahmoud ; Wu, Yufei. In: Papers. RePEc:arx:papers:2110.05479. Full description at Econpapers \|\| Download paper
2022	Fractional SDE-Net: Generation of Time Series Data with Long-term Memory. (2022). Nakagawa, Kei ; Hayashi, Kohei. In: Papers. RePEc:arx:papers:2201.05974. Full description at Econpapers \|\| Download paper
2022	Risk-Neutral Market Simulation. (2022). Wiese, Magnus ; Murray, Phillip. In: Papers. RePEc:arx:papers:2202.13996. Full description at Econpapers \|\| Download paper
2022	Deep Generators on Commodity Markets; application to Deep Hedging. (2022). Hargreaves, Carol Anne ; Mikael, Joseph ; Remlinger, Carl ; Boursin, Nicolas. In: Papers. RePEc:arx:papers:2205.13942. Full description at Econpapers \|\| Download paper
2022	Simulating financial time series using attention. (2022). Osterrieder, Jorg ; Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00493. Full description at Econpapers \|\| Download paper
2022	Scenario Generation for Market Risk Models Using Generative Neural Networks. (2022). Junike, Gero ; Flaig, Solveig. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:11:p:199-:d:950343. Full description at Econpapers \|\| Download paper
2022	Forecasting financial time series with Boltzmann entropy through neural networks. (2022). Santoro, Domenico ; Grilli, Luca. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:4:d:10.1007_s10287-022-00430-2. Full description at Econpapers \|\| Download paper
2022	Deep Generators on Commodity Markets Application to Deep Hedging. (2022). Mikael, Joseph ; Remlinger, Carl ; Boursin, Nicolas. In: Risks. RePEc:gam:jrisks:v:11:y:2022:i:1:p:7-:d:1013290. Full description at Econpapers \|\| Download paper
2022	Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. (2021). Tempone, Ra'Ul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2111.01874. Full description at Econpapers \|\| Download paper
2022	Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model. (2022). Onalan, Omer. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:1:p:68-84. Full description at Econpapers \|\| Download paper
2022	Heavy tailed distributions in closing auctions. (2022). de Vilder, R ; Kleijn, B ; Derksen, M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000620. Full description at Econpapers \|\| Download paper
2022	Order scoring, bandit learning and order cancellations. (2022). Xu, Tianrun ; Gao, Xuefeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002220. Full description at Econpapers \|\| Download paper
2022	Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823. Full description at Econpapers \|\| Download paper
2022	Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets. (2022). Drakos, Konstantinos ; Ballis, Antonis ; Anastasiou, Dimitris. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000795. Full description at Econpapers \|\| Download paper
2022	Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers \|\| Download paper
2022	Insurance premium-based shortfall risk measure induced by cumulative prospect theory. (2022). Xu, Huifu ; Zhang, Sainan. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:4:d:10.1007_s10287-022-00432-0. Full description at Econpapers \|\| Download paper
2022	VIX term structure forecasting: New evidence based on the realized semi-variances. (2022). Qiao, Gaoxiu ; Yang, Jiyu ; Jiang, Gongyue. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001600. Full description at Econpapers \|\| Download paper
2022	Robust portfolio selection problems: a comprehensive review. (2022). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza. In: Operational Research. RePEc:spr:operea:v:22:y:2022:i:4:d:10.1007_s12351-022-00690-5. Full description at Econpapers \|\| Download paper
2022	Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.. (2022). Escobar-Anel, Marcos ; Zhu, Yichen. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s009630032100919x. Full description at Econpapers \|\| Download paper
2022	Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (2022). Zhang, Yumo. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-022-00414-x. Full description at Econpapers \|\| Download paper
2022	Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers \|\| Download paper
2022	Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers \|\| Download paper
2022	Benefits of sectoral cryptocurrency portfolio optimization. (2022). TomiÄ, Bojan ; Å½ikoviÄ, SaÅ¡a ; Uljak, Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000034. Full description at Econpapers \|\| Download paper
2022	Can Bitcoin Investors Profit from Predictions by Crypto Experts?. (2022). Walther, Thomas ; Gerritsen, Dirk. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003081. Full description at Econpapers \|\| Download paper
2022	Blockchain in banking and finance: A bibliometric review. (2022). Oriani, Marco E ; Migliavacca, Milena ; Patel, Ritesh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001064. Full description at Econpapers \|\| Download paper
2022	The impact of cryptocurrencies on Chinas carbon price variation during COVID-19: A quantile perspective. (2022). Xu, Chao ; Chen, Hao. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:183:y:2022:i:c:s0040162522004541. Full description at Econpapers \|\| Download paper
2022	Programmable money: next-generation blockchain-based conditional payments. (2022). Staples, Mark ; Weber, Ingo . In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00059-5. Full description at Econpapers \|\| Download paper
2022	Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2212.13996. Full description at Econpapers \|\| Download paper
2022	The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19. (2022). Kalini, Milievi Tea ; Branka, Marasovi ; Zdravka, Aljinovi. In: Business Systems Research. RePEc:bit:bsrysr:v:13:y:2022:i:3:p:8-22:n:3. Full description at Econpapers \|\| Download paper
2022	A generalised seasonality test and applications for cryptocurrency and stock market seasonality. (2022). Ghimire, Binam ; Shanaev, Savva. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:172-185. Full description at Econpapers \|\| Download paper
2022	An enhanced Gerber statistic for portfolio optimization. (2022). Broby, Daniel ; Smyth, William. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322004317. Full description at Econpapers \|\| Download paper
2022	On asymptotically arbitrage-free approximations of the implied volatility. (2022). Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2201.02752. Full description at Econpapers \|\| Download paper
2022	From Rough to Multifractal volatility: the log S-fBM model. (2022). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Wu, Peng. In: Papers. RePEc:arx:papers:2201.09516. Full description at Econpapers \|\| Download paper
2022	On the weak convergence rate in the discretization of rough volatility models. (2022). Bayer, Christian ; Nakahara, Shonosuke ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2203.02943. Full description at Econpapers \|\| Download paper
2022	Local volatility under rough volatility. (2022). Pigato, Paolo ; Friz, Peter K ; de Marco, Stefano ; Bourgey, Florian. In: Papers. RePEc:arx:papers:2204.02376. Full description at Econpapers \|\| Download paper
2022	Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830. Full description at Econpapers \|\| Download paper
2022	Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054. Full description at Econpapers \|\| Download paper
2022	The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers \|\| Download paper
2022	Weak error estimates for rough volatility models. (2022). Wagenhofer, Thomas ; Salkeld, William ; Friz, Peter K. In: Papers. RePEc:arx:papers:2212.01591. Full description at Econpapers \|\| Download paper
2022	The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02946146. Full description at Econpapers \|\| Download paper
2022	Statistical inference for rough volatility: Minimax Theory. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214. Full description at Econpapers \|\| Download paper
2022	Deep calibration of the quadratic rough Heston model. (2021). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2107.01611. Full description at Econpapers \|\| Download paper
2022	Projection of Functionals and Fast Pricing of Exotic Options. (2021). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2111.03713. Full description at Econpapers \|\| Download paper
2022	Reinforcement Learning with Dynamic Convex Risk Measures. (2022). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2112.13414. Full description at Econpapers \|\| Download paper
2022	Neural calibration of hidden inhomogeneous Markov chains -- Information decompression in life insurance. (2022). Weiss, Christian ; Kiermayer, Mark. In: Papers. RePEc:arx:papers:2201.02397. Full description at Econpapers \|\| Download paper
2022	Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. (2022). Jos'e A. Garc'ia-Rodr'iguez, ; 'Alvaro Leitao, ; Villarino, Joel P. In: Papers. RePEc:arx:papers:2210.02175. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03902513. Full description at Econpapers \|\| Download paper
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2022	Deep learning and American options via free boundary framework. (2022). Dai, Weizhong ; Ware, Tony ; Umeorah, Nneka ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2211.11803. Full description at Econpapers \|\| Download paper
2022	Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio. In: Papers. RePEc:arx:papers:2205.07385. Full description at Econpapers \|\| Download paper
2022	Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio. In: Working Papers. RePEc:hal:wpaper:hal-03668669. Full description at Econpapers \|\| Download paper
2022	A mean-field game of market-making against strategic traders. (2022). Possamai, Dylan ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2203.13053. Full description at Econpapers \|\| Download paper
2022	Multi-asset market making under the quadratic rough Heston. (2022). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2212.10164. Full description at Econpapers \|\| Download paper
2022	Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105. Full description at Econpapers \|\| Download paper
2022	Derivatives Risks as Costs in a One-Period Network Model. (2022). Tadese, Mekonnen ; Drapeau, Samuel ; Crepey, Stephane ; Bastide, Dorinel. In: Working Papers. RePEc:hal:wpaper:hal-03554577. Full description at Econpapers \|\| Download paper
2022	Derivatives Risks as Costs in a One-Period Network Model. (2022). Bastide, Dorinel ; Tadese, Mekonnen ; Drapeau, Samuel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2202.03248. Full description at Econpapers \|\| Download paper
2022	Learning Value-at-Risk and Expected Shortfall. (2022). Saadeddine, B ; Nguyen, Hoang-Dung ; Gobet, E ; Cr, S ; Barrera, D. In: Papers. RePEc:arx:papers:2209.06476. Full description at Econpapers \|\| Download paper
2022	Learning Value-at-Risk and Expected Shortfall. (2022). Saadeddine, B ; Nguyen, Hoang-Dung ; Gobet, E ; Crepey, S ; Barrera, D. In: Working Papers. RePEc:hal:wpaper:hal-03775901. Full description at Econpapers \|\| Download paper
2022	Hedging Valuation Adjustment and Model Risk. (2022). Cr, St'Ephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2205.11834. Full description at Econpapers \|\| Download paper
2022	Hedging Valuation Adjustment and Model Risk. (2022). Crepey, Stephane ; Benezet, Cyril ; Albanese, Claudio. In: Working Papers. RePEc:hal:wpaper:hal-03675291. Full description at Econpapers \|\| Download paper
2022	Pathwise CVA Regressions With Oversimulated Defaults. (2022). Saadeddine, Bouazza ; Cr, St'Ephane ; Abbas-Turki, Lokman . In: Papers. RePEc:arx:papers:2211.17005. Full description at Econpapers \|\| Download paper
2022	Quantitative Reverse Stress Testing, Bottom Up. (2022). Iabichino, Stefano ; Crepey, Stephane ; Albanese, Claudio. In: Working Papers. RePEc:hal:wpaper:hal-03910136. Full description at Econpapers \|\| Download paper
2022	Positive XVAs. (2022). Crepey, Stephane. In: Post-Print. RePEc:hal:journl:hal-03910135. Full description at Econpapers \|\| Download paper
2022	Derivatives Risks as Costs in a One-Period Network Model. (2022). Tadese, Mekonnen ; Drapeau, Samuel ; Crepey, Stephane ; Bastide, Dorinel. In: Post-Print. RePEc:hal:journl:hal-03910144. Full description at Econpapers \|\| Download paper
2022	Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (2021). Gu, Olivier ; Drissi, Fayccal ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2103.13773. Full description at Econpapers \|\| Download paper
2022	Estimation of optimal portfolio compositions for small sampleand singular covariance matrix. (2022). Nguyen, Hoang ; Mazur, Stepan ; Bodnar, Taras. In: Working Papers. RePEc:hhs:oruesi:2022_015. Full description at Econpapers \|\| Download paper
2022	Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444. Full description at Econpapers \|\| Download paper
2022	Recent advances in shrinkage-based high-dimensional inference. (2022). Parolya, Nestor ; Bodnar, Taras. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21001044. Full description at Econpapers \|\| Download paper
2022	Bayesian portfolio selection using VaR and CVaR. (2022). Thorsen, Erik ; Niklasson, Vilhelm ; Lindholm, Mathias ; Bodnar, Taras. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:427:y:2022:i:c:s0096300322002041. Full description at Econpapers \|\| Download paper
2022	A deep learning approach to data-driven model-free pricing and to martingale optimal transport. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2103.11435. Full description at Econpapers \|\| Download paper
2022	Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. Full description at Econpapers \|\| Download paper
2022	On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies. (2022). Hatemi, Abdulnasser ; El-Khatib, Youssef. In: MPRA Paper. RePEc:pra:mprapa:114556. Full description at Econpapers \|\| Download paper
2022	Explaining cryptocurrency returns: A prospect theory perspective. (2022). Sung, Ming-Chien ; Tai, Chung-Ching ; Lepori, Gabriele M ; Chen, Rongxin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000804. Full description at Econpapers \|\| Download paper
2022	Robust classical-impulse stochastic control problems in an infinite horizon. (2022). Pun, Chi Seng. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:96:y:2022:i:2:d:10.1007_s00186-022-00795-9. Full description at Econpapers \|\| Download paper
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2022	Skew-Brownian motion and pricing European exchange options. (2022). Pasricha, Puneet ; He, Xin-Jiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922000886. Full description at Econpapers \|\| Download paper
2022	Pricing basket spread options with default risk under HestonâNandi GARCH models. (2022). Wang, Xingchun ; Zhang, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001960. Full description at Econpapers \|\| Download paper
2022	Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: Papers. RePEc:arx:papers:2106.14168. Full description at Econpapers \|\| Download paper
2022	Hierarchical contagions in the interdependent financial network. (2022). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308922000596. Full description at Econpapers \|\| Download paper
2022	Oil price volatility predictability: New evidence from a scaled PCA approach. (2022). Ma, Feng ; Liang, Chao ; He, Feng ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005648. Full description at Econpapers \|\| Download paper
2022	Uncertainty and oil volatility: Evidence from shrinkage method. (2022). Li, Pan ; Ma, Feng ; He, Xiaofeng ; Wang, Jiqian. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004906. Full description at Econpapers \|\| Download paper
2022	Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?. (2022). Li, Xiafei ; Guo, Qiang ; Luo, Keyu. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001244. Full description at Econpapers \|\| Download paper
2022	Directly pricing VIX futures with observable dynamic jumps based on high?frequency VIX. (2022). Wang, LU ; Ma, Feng ; Qiao, Gaoxiu ; Jiang, Gongyue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1518-1548. Full description at Econpapers \|\| Download paper
2022	Oil price volatility predictability based on global economic conditions. (2022). Lai, Xiaodong ; Guo, Yangli ; Ma, Feng ; Li, Haibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001569. Full description at Econpapers \|\| Download paper
2022	Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index. (2022). Li, Tao ; Ma, Feng ; Guo, Qiang ; Ghani, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:1180-1189. Full description at Econpapers \|\| Download paper
2022	Uncover the response of the U.S grain commodity market on El NiÃ±oâSouthern Oscillation. (2022). Zeng, Qing ; Zhang, LI ; Liang, Chao ; Su, Yuandong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:98-112. Full description at Econpapers \|\| Download paper
2022	Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137. Full description at Econpapers \|\| Download paper
2022	Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally.. (2022). Zhang, Zehui ; Xu, Jin ; Ma, Feng ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002538. Full description at Econpapers \|\| Download paper
2022	Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities. (2022). Gong, XU ; Wen, Fenghua ; Wu, Nan. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005151. Full description at Econpapers \|\| Download paper
2022	Model averaging for interval-valued data. (2022). Wang, Shouyang ; Alan, ; Zhang, Xinyu ; Sun, Yuying. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:772-784. Full description at Econpapers \|\| Download paper
2022	Farm-planning under risk: An application of decision analysis and portfolio theory for the assessment of crop diversification strategies in horticultural systems. (2022). Luedeling, Eike ; Borgemeister, Christian ; Whitney, Cory ; David-Hinestroza, Adriana ; Sierra-Monroy, Alexandra ; Burbano-Figueroa, Oscar. In: Agricultural Systems. RePEc:eee:agisys:v:199:y:2022:i:c:s0308521x22000452. Full description at Econpapers \|\| Download paper
2022	Tipping points of a complex network biomass model: Local and global parameter variations. (2022). Jafari, Sajad ; Rajagopal, Karthikeyan ; Nazarimehr, Fahimeh ; Ramamoorthy, Ramesh ; Moghadam, Nastaran Navid. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:592:y:2022:i:c:s0378437121009997. Full description at Econpapers \|\| Download paper
2022	Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	On the universality of the volatility formation process: when machine learning and rough volatility agree. (2022). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2206.14114. Full description at Econpapers \|\| Download paper
2022	Rough-Heston Local-Volatility Model. (2022). Pallavicini, Andrea ; Longoni, Riccardo ; Dall'Acqua, Enrico. In: Papers. RePEc:arx:papers:2206.09220. Full description at Econpapers \|\| Download paper
2022	Bitcoin: Future or Fad?. (2022). Tut, Daniel. In: MPRA Paper. RePEc:pra:mprapa:112376. Full description at Econpapers \|\| Download paper
2022	Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis. (2022). Tran, Dang K ; Teplova, Tamara ; Gubareva, Mariya ; Umar, Zaghum. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000496. Full description at Econpapers \|\| Download paper
2022	Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic. (2022). Gubareva, Mariya ; Nekhili, Ramzi ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000539. Full description at Econpapers \|\| Download paper
2022	Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179. Full description at Econpapers \|\| Download paper
2022	Russiaâs ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). LyÃÂ³csa, Å tefan ; Lyocsa, Tefan ; Plihal, Toma. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002410. Full description at Econpapers \|\| Download paper
2022	Bitcoin: Medium of Exchange or Speculative Asset?. (2022). Diaconu, Ioana Raluca. In: Finante - provocarile viitorului (Finance - Challenges of the Future). RePEc:aio:fpvfcf:v:1:y:2022:i:24:p:72-82. Full description at Econpapers \|\| Download paper
2022	Improved iterative methods for solving risk parity portfolio. (2022). Choi, Jaehyuk ; Chen, Rong. In: Papers. RePEc:arx:papers:2203.00148. Full description at Econpapers \|\| Download paper
2022	On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138. Full description at Econpapers \|\| Download paper
2022	COVID-19 Effects on Arbitrage Trading in the Energy Market. (2022). Zhang, Guang ; Chen, LI. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:13:p:4584-:d:845809. Full description at Econpapers \|\| Download paper
2022	Reinforcement learning and stochastic optimisation. (2022). Jaimungal, Sebastian. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00467-2. Full description at Econpapers \|\| Download paper
2022	Optimal Investment Strategy for DC Pension Schemes under Partial Information. (2022). Ban, Manli ; He, Hua ; Liang, Xiaoqing. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:11:p:211-:d:966050. Full description at Econpapers \|\| Download paper
2022	Currency carry trade: The decline in performance after the 2008 Global Financial Crisis. (2022). Zhang, QI ; Qi, Zhen ; Paseka, Alexander ; Fan, Zhenzhen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001670. Full description at Econpapers \|\| Download paper
2022	Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis. (2022). Gusella, Filippo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2022_02.rdf. Full description at Econpapers \|\| Download paper
2022	A State-Space Approach for Time-Series Prediction of an Heterogeneous Agent Model. (2022). Ricchiuti, Giorgio ; Gusella, Filippo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2022_20.rdf. Full description at Econpapers \|\| Download paper
2022	Fertile LAND: Pricing non-fungible tokens. (2022). Dowling, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s154461232100177x. Full description at Econpapers \|\| Download paper
2022	Whatâs the expected loss when Bitcoin is under cyberattack? A fractal process analysis. (2022). Kolari, James W ; Sapkota, Niranjan ; Dufitinema, Josephine ; Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000257. Full description at Econpapers \|\| Download paper
2022	Risk spillovers and time-varying links between international oil and Chinaâs commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x. Full description at Econpapers \|\| Download paper
2022	Timeâfrequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic. (2022). Cui, Jinxin ; Maghyereh, Aktham. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00395-w. Full description at Econpapers \|\| Download paper
2022	mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms. (2020). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2012.00729. Full description at Econpapers \|\| Download paper
2022	Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926. Full description at Econpapers \|\| Download paper
2022	Computing XVA for American basket derivatives by Machine Learning techniques. (2022). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2209.06485. Full description at Econpapers \|\| Download paper
2022	Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise. (2022). Del-Moral, Emilio ; Matsumoto, Elia ; Felizardo, Leonardo Kanashiro. In: Papers. RePEc:arx:papers:2208.00765. Full description at Econpapers \|\| Download paper
2022	The Effect of Index Option Trading on Stock Market Volatility in China: An Empirical Investigation. (2022). Wu, Kai ; Liu, YI ; Feng, Weiyang. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:150-:d:778684. Full description at Econpapers \|\| Download paper
2022	Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. (2022). Peng, Zhe ; Chen, Haicui ; Zhang, Chuanhai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000903. Full description at Econpapers \|\| Download paper
2022	Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2012.05219. Full description at Econpapers \|\| Download paper
2022	Parametric measures of variability induced by risk measures. (2022). Wei, Yunran ; Wang, Ruodu ; Fadina, Tolulope ; Bellini, Fabio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:270-284. Full description at Econpapers \|\| Download paper
2022	Algorithmic market making in foreign exchange cash markets: a new model for active market makers. (2021). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2106.06974. Full description at Econpapers \|\| Download paper
2022	Testing the volatility jumps based on the high frequency data. (2022). Lin, Jinguan ; Liu, Meiyao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:669-694. Full description at Econpapers \|\| Download paper
2022	Accelerated share repurchases: value creation or extraction. (2022). Teague, Charles E ; King, Tao-Hsien Dolly. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00989-y. Full description at Econpapers \|\| Download paper
2022	Optimal PairâTrade Execution with Generalized CrossâImpact. (2022). Shimoshimizu, Makoto ; Ohnishi, Masamitsu. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09349-1. Full description at Econpapers \|\| Download paper
2022	A comparative study of the MACD-base trading strategies: evidence from the US stock market. (2022). Chio, Pat Tong. In: Papers. RePEc:arx:papers:2206.12282. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	A dynamic programming approach to path-dependent constrained portfolios. (2022). Escobar Anel, Marcos ; Escobar-Anel, Marcos. In: Annals of Operations Research. RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-022-04640-4. Full description at Econpapers \|\| Download paper
2022	Monitoring the Dynamic Networks of Stock Returns. (2022). Bodnar, Olha ; Nguyen, Hoang ; Touli, Elena Farahbakhsh. In: Papers. RePEc:arx:papers:2210.16679. Full description at Econpapers \|\| Download paper
2022	On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution. (2022). Vecer, Jan ; Taylor, Stephen ; Navratil, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:3:p:1215-1229. Full description at Econpapers \|\| Download paper
2022	Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148. Full description at Econpapers \|\| Download paper
2022	Synthetic data generation with deep generative models to enhance predictive tasks in trading strategies. (2022). Ramos-Pollan, Raul ; Carvajal-Patio, Daniel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001313. Full description at Econpapers \|\| Download paper
2022	The truncated g-and-h distribution: estimation and application to loss modeling. (2022). Bee, Marco. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:4:d:10.1007_s00180-021-01179-z. Full description at Econpapers \|\| Download paper
2022	A Black-Scholes users guide to the Bachelier model. (2021). Choi, Jaehyuk ; Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk. In: Papers. RePEc:arx:papers:2104.08686. Full description at Econpapers \|\| Download paper
2022	A BlackâScholes users guide to the Bachelier model. (2022). Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk ; Choi, Jaehyuk. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:959-980. Full description at Econpapers \|\| Download paper
2022	Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study. (2022). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002095. Full description at Econpapers \|\| Download paper
2022	Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact. (2022). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005242. Full description at Econpapers \|\| Download paper
2022	Analysis of Relations between CDS, Stock Market, and Exchange Rate: Evidence from Covid-19. (2022). Ustaolu, Erkan. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:2:p:301-315. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2022

Year	Citing document
2022	Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103. Full description at Econpapers \|\| Download paper
2022	Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524. Full description at Econpapers \|\| Download paper
2022	Sensitivities and Hedging of the Collateral Choice Option. (2022). Wolf, Felix L ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2207.10373. Full description at Econpapers \|\| Download paper
2022	Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830. Full description at Econpapers \|\| Download paper
2022	A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. 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 A. In: Papers. RePEc:arx:papers:2208.12518. Full description at Econpapers \|\| Download paper
2022	Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823. Full description at Econpapers \|\| Download paper
2022	Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447. Full description at Econpapers \|\| Download paper
2022	A Data-driven Case-based Reasoning in Bankruptcy Prediction. (2022). Lessmann, Stefan ; Hardle, Wolfgang Karl ; Li, Wei. 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). Westmacott, G ; Vetzal, Kenneth R ; Forsyth, Peter A. 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 M ; 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). Othman, Jaizah ; Xian, Brian Sheng ; Li, Wenqi ; 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	. 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 ; Bueno-Guerrero, Alberto ; Blenman, Lloyd P. 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). Garcin, Matthieu ; Brouty, Xavier. 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). Rossello, Damiano ; Arcidiacono, Sally G. 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). Godin, Frederic ; Gauthier, Genevieve ; Galarneauvincent, Remi ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1912-1940. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	. Full description at Econpapers \|\| Download paper
2021	Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers \|\| Download paper
2021	The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers \|\| Download paper
2021	Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551. Full description at Econpapers \|\| Download paper
2021	Functional quantization of rough volatility and applications to the VIX. (2021). Jacquier, Antoine ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2104.04233. Full description at Econpapers \|\| Download paper
2021	Generative Adversarial Networks in finance: an overview. (2021). Osterrieder, Joerg ; Eckerli, Florian. In: Papers. RePEc:arx:papers:2106.06364. Full description at Econpapers \|\| Download paper
2021	Robust deep hedging. (2021). Sester, Julian ; Schmidt, Thorsten ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2106.10024. Full description at Econpapers \|\| Download paper
2021	On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758. Full description at Econpapers \|\| Download paper
2021	Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721. Full description at Econpapers \|\| Download paper
2021	cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope. (2021). Nielsen, Frank ; Goubet, Victor ; Marti, Gautier. In: Papers. RePEc:arx:papers:2107.10606. Full description at Econpapers \|\| Download paper
2021	Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers \|\| Download paper
2021	Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141. Full description at Econpapers \|\| Download paper
2021	Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. (2021). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed. In: Papers. RePEc:arx:papers:2109.04001. Full description at Econpapers \|\| Download paper
2021	On certain representations of pricing functionals. (2021). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2109.05564. Full description at Econpapers \|\| Download paper
2021	A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742. Full description at Econpapers \|\| Download paper
2021	Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320. Full description at Econpapers \|\| Download paper
2021	Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers \|\| Download paper
2021	Multi-Asset Spot and Option Market Simulation. (2021). Bai, Lianjun ; Murray, Phillip ; Buehler, Hans ; Korn, Ralf ; Pachoud, Alexandre ; Wood, Ben ; Wiese, Magnus. In: Papers. RePEc:arx:papers:2112.06823. Full description at Econpapers \|\| Download paper
2021	Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers \|\| Download paper
2021	Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis. (2021). Pattnaik, Debidutta ; Lim, Weng Marc ; Kumar, Satish ; Goodell, John W. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001210. Full description at Econpapers \|\| Download paper
2021	The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786. Full description at Econpapers \|\| Download paper
2021	CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804. Full description at Econpapers \|\| Download paper
2021	Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Chang, Xiaoming ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297. Full description at Econpapers \|\| Download paper
2021	On the stability of stablecoins. (2021). Sapkota, Niranjan ; Kolari, James W ; Junttila, Juha ; Grobys, Klaus. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:207-223. Full description at Econpapers \|\| Download paper
2021	A multi-factor approach to modelling the impact of wind energy on electricity spot prices. (2021). Gruet, Pierre ; Rowiska, Paulina A. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953. Full description at Econpapers \|\| Download paper
2021	Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results. (2021). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004977. Full description at Econpapers \|\| Download paper
2021	Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526. Full description at Econpapers \|\| Download paper
2021	VCRIX â A volatility index for crypto-currencies. (2021). HÃÂ¤rdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416. Full description at Econpapers \|\| Download paper
2021	Deep hedging of long-term financial derivatives. (2021). Carbonneau, Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:327-340. Full description at Econpapers \|\| Download paper
2021	Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets. (2021). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:117-136. Full description at Econpapers \|\| Download paper
2021	The internal connection analysis of information sharing and investment performance in the venture capital network community. (2021). Chen, Min ; Zhong, Ziqi ; Sun, Kaiyang ; Feng, Bing. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112731. Full description at Econpapers \|\| Download paper
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2021	A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Zhu, Yichen. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076. Full description at Econpapers \|\| Download paper
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2021	Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint. (2021). Prepuk, Andrea ; Muratov-Szabo, Kira ; Friesz, Melinda ; Varadi, Kata. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:148-:d:617590. Full description at Econpapers \|\| Download paper
2021	Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724. Full description at Econpapers \|\| Download paper
2021	Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244. Full description at Econpapers \|\| Download paper
2021	Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202113. Full description at Econpapers \|\| Download paper
2021	Model uncertainty on commodity portfolios, the role of convenience yield. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Chen, Junhe. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00393-5. Full description at Econpapers \|\| Download paper
2021	Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: MPRA Paper. RePEc:pra:mprapa:108421. Full description at Econpapers \|\| Download paper
2021	Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty. (2021). GUPTA, RANGAN ; Ma, Feng ; Cepni, Oguzhan ; Wang, Jiqian. In: Working Papers. RePEc:pre:wpaper:202173. Full description at Econpapers \|\| Download paper
2021	Quantile-based optimal portfolio selection. (2021). Tyrcha, Joanna ; Thorsen, Erik ; Lindholm, Mathias ; Bodnar, Taras. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00395-8. Full description at Econpapers \|\| Download paper
2021	A new approach to wind power futures pricing. (2021). Hess, Markus. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00345-8. Full description at Econpapers \|\| Download paper
2021	A note on calculating expected shortfall for discrete time stochastic volatility models. (2021). Christou, Eliana ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00254-0. Full description at Econpapers \|\| Download paper
2021	Duality theory for robust utility maximisation. (2021). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00455-6. Full description at Econpapers \|\| Download paper
2021	Robust state-dependent meanâvariance portfolio selection: a closed-loop approach. (2021). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00457-4. Full description at Econpapers \|\| Download paper
2021	Robust Arbitrage Conditions for Financial Markets. (2021). Zhang, Shuzong ; Singh, Derek. In: SN Operations Research Forum. RePEc:spr:snopef:v:2:y:2021:i:3:d:10.1007_s43069-021-00073-0. Full description at Econpapers \|\| Download paper

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Recent citations received in 2020

Year	Citing document
2020	Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2001.08442. Full description at Econpapers \|\| Download paper
2020	A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194. Full description at Econpapers \|\| Download paper
2020	Old Problems, Classical Methods, New Solutions. (2020). Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.06903. Full description at Econpapers \|\| Download paper
2020	One model does not fit all: a multi-scale analysis of eighty-four cryptocurrencies. (2020). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:2003.09720. Full description at Econpapers \|\| Download paper
2020	Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers \|\| Download paper
2020	Effects of MiFID II on stock price formation. (2020). De Vilder, Robin ; Kleijn, Bas ; Derksen, Mike. In: Papers. RePEc:arx:papers:2003.10353. Full description at Econpapers \|\| Download paper
2020	A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.10502. Full description at Econpapers \|\| Download paper
2020	From code to market: Network of developers and correlated returns of cryptocurrencies. (2020). Baronchelli, Andrea ; Gallo, Angela ; Lepri, Bruno ; Alessandretti, Laura ; Lucchini, Lorenzo. In: Papers. RePEc:arx:papers:2004.07290. Full description at Econpapers \|\| Download paper
2020	Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:2005.05730. Full description at Econpapers \|\| Download paper
2020	Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390. Full description at Econpapers \|\| Download paper
2020	Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458. Full description at Econpapers \|\| Download paper
2020	An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515. Full description at Econpapers \|\| Download paper
2020	Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks. (2020). Roche, Jules ; Lezmi, Edmond ; Xu, Jiali ; Roncalli, Thierry. In: Papers. RePEc:arx:papers:2007.04838. Full description at Econpapers \|\| Download paper
2020	Pricing Options Under Rough Volatility with Backward SPDEs. (2020). Yao, Yao ; Qiu, Jinniao ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.01241. Full description at Econpapers \|\| Download paper
2020	Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M. In: Papers. RePEc:arx:papers:2009.05652. Full description at Econpapers \|\| Download paper
2020	CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764. Full description at Econpapers \|\| Download paper
2020	A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402. Full description at Econpapers \|\| Download paper
2020	The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890. Full description at Econpapers \|\| Download paper
2020	Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900. Full description at Econpapers \|\| Download paper
2020	A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256. Full description at Econpapers \|\| Download paper
2020	Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147. Full description at Econpapers \|\| Download paper
2020	An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers \|\| Download paper
2020	The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk. (2020). Ida, Yuuki ; Akahori, Jiro ; Tamada, Shuji ; Nishida, Maho. In: Papers. RePEc:arx:papers:2012.09606. Full description at Econpapers \|\| Download paper
2020	Adversarial trading. (2020). Miot, Alexandre. In: Papers. RePEc:arx:papers:2101.03128. Full description at Econpapers \|\| Download paper
2020	Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324. Full description at Econpapers \|\| Download paper
2020	Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403. Full description at Econpapers \|\| Download paper
2020	The impact of blockchain related name changes on corporate performance. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Yarovaya, Larisa ; Akyildirim, Erdinc. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302030. Full description at Econpapers \|\| Download paper
2020	Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901. Full description at Econpapers \|\| Download paper
2020	Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data. (2020). Vo, Xuan Vinh ; Kang, Sang Hoon ; Wanas, Idries Mohammad ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301777. Full description at Econpapers \|\| Download paper
2020	What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131. Full description at Econpapers \|\| Download paper
2020	Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. (2020). McGee, Richard ; Conlon, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304244. Full description at Econpapers \|\| Download paper
2020	Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177. Full description at Econpapers \|\| Download paper
2020	Volatility persistence in cryptocurrency markets under structural breaks. (2020). Madigu, Godfrey ; Gil-Alana, Luis ; Romero-Rojo, Fatima ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691. Full description at Econpapers \|\| Download paper
2020	Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. (2020). Corbet, Shaen ; Conlon, Thomas ; McGee, Richard J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304438. Full description at Econpapers \|\| Download paper
2020	Improving Thermochemical Energy Storage Dynamics Forecast with Physics-Inspired Neural Network Architecture. (2020). Oladyshkin, Sergey ; Walser, Thilo ; Praditia, Timothy ; Nowak, Wolfgang. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3873-:d:391364. Full description at Econpapers \|\| Download paper
2020	Portfolio Theory in Solving the Problem Structural Choice. (2020). Sukharev, Oleg S. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:195-:d:407294. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). arbia, giuseppe ; Bramante, Riccardo ; Facchinetti, Silvia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:95-:d:410286. Full description at Econpapers \|\| Download paper
2020	Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks. (2020). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:116-:d:439775. Full description at Econpapers \|\| Download paper
2020	Volatility in Rainfall and Predictability of Droughts in Northwest Bangladesh. (2020). Kamal, Asm Maksud ; Ahsanuddin, Mohammad ; Chung, Eun-Sung ; Shahid, Shamsuddin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:23:p:9810-:d:450246. Full description at Econpapers \|\| Download paper
2020	Sovereign Credit Spread Spillovers in Asia. (2020). Liang, Jufang ; Guo, Biao ; Han, Qian ; Yu, Jinyoung ; Ryu, Doojin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1472-:d:321357. Full description at Econpapers \|\| Download paper
2020	Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-02877569. Full description at Econpapers \|\| Download paper
2020	Robust utility maximization under model uncertainty via a penalization approach. (2020). Ning, Wei ; Loeper, Gregoire ; Langrene, Nicolas ; Guo, Ivan. In: Working Papers. RePEc:hal:wpaper:hal-02910261. Full description at Econpapers \|\| Download paper
2020	Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Bouchaud, Jean-Philippe ; Fosset, Antoine ; Benzaquen, Michael. In: Working Papers. RePEc:hal:wpaper:hal-02998555. Full description at Econpapers \|\| Download paper
2020	How Boltzmann Entropy Improves Prediction with LSTM. (2020). Grilli, Luca ; Santoro, Domenico. In: MPRA Paper. RePEc:pra:mprapa:100578. Full description at Econpapers \|\| Download paper
2020	Predictive ability of investor sentiment for the stock market. (2020). Ryu, Doojin ; Kim, Karam. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:4:p:33-46. Full description at Econpapers \|\| Download paper
2020	Will they repay their debt? Identification of borrowers likely to be charged off. (2020). Alecsandru, Strat Vasile ; Traian, Pele Daniel ; Ana-Maria, Panaite ; Dana, Caplescu Raluca. In: Management & Marketing. RePEc:vrs:manmar:v:15:y:2020:i:3:p:393-409:n:4. Full description at Econpapers \|\| Download paper
2020	The devil is in the details, but so is salvation: Different approachesin money market measurement. (2020). Paulick, Jan ; Muller, Alexander. In: Discussion Papers. RePEc:zbw:bubdps:662020. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	The Power of Machine Learning in the Biological Context. (2019). Stbinger, Johannes. In: Biostatistics and Biometrics Open Access Journal. RePEc:adp:jbboaj:v:9:y:2019:i:4:p:102-104. Full description at Econpapers \|\| Download paper
2019	Optimal VWAP execution under transient price impact. (2019). Lillo, Fabrizio ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:1901.02327. Full description at Econpapers \|\| Download paper
2019	Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101. Full description at Econpapers \|\| Download paper
2019	A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417. Full description at Econpapers \|\| Download paper
2019	Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1910.01044. Full description at Econpapers \|\| Download paper
2019	Vol-of-vol expansion for (rough) forward variance models. (2019). Akdogan, Ozan. In: Papers. RePEc:arx:papers:1910.03245. Full description at Econpapers \|\| Download paper
2019	Deep Reinforcement Learning for Trading. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1911.10107. Full description at Econpapers \|\| Download paper
2019	Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165. Full description at Econpapers \|\| Download paper
2019	A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695. Full description at Econpapers \|\| Download paper
2019	The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold. (2019). Ftiti, Zied ; Madani, Mohamed Arbi. In: Papers. RePEc:arx:papers:1912.12590. Full description at Econpapers \|\| Download paper
2019	Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:625. Full description at Econpapers \|\| Download paper
2019	Simulating liquidity stress in the derivatives market. (2019). Ferrara, Gerardo ; Vause, Nicholas ; Bardoscia, Marco ; Yoganayagam, Michael. In: Bank of England working papers. RePEc:boe:boeewp:0838. Full description at Econpapers \|\| Download paper
2019	Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model. (2019). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1929. Full description at Econpapers \|\| Download paper
2019	Regulating the doom loop. (2019). Langfield, Sam ; Alogoskoufis, Spyros. In: Working Paper Series. RePEc:ecb:ecbwps:20192313. Full description at Econpapers \|\| Download paper
2019	An asymptotic expansion method for geometric Asian options pricing under the double Heston model. (2019). Gao, Xiong ; Zhang, Sumei. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:127:y:2019:i:c:p:1-9. Full description at Econpapers \|\| Download paper
2019	Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40. Full description at Econpapers \|\| Download paper
2019	Investment horizons, cash flow news, and the profitability of momentum and reversal strategies in the Chinese stock market. (2019). Xu, Tiange ; Qian, Zongxin ; Gang, Jianhua. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:364-371. Full description at Econpapers \|\| Download paper
2019	An information theory perspective on the informational efficiency of gold price. (2019). Fernandez Bariviera, Aurelio ; Rosso, Osvaldo A ; Sorrosal-Forradellas, Teresa M ; Font-Ferrer, Alejandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304534. Full description at Econpapers \|\| Download paper
2019	Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988. Full description at Econpapers \|\| Download paper
2019	Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120. Full description at Econpapers \|\| Download paper
2019	What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?. (2019). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303184. Full description at Econpapers \|\| Download paper
2019	How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. (2019). Zhang, Yue-Jun ; Ma, Shu-Jiao. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303573. Full description at Econpapers \|\| Download paper
2019	Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387. Full description at Econpapers \|\| Download paper
2019	Quantum systems for Monte Carlo methods and applications to fractional stochastic processes. (2019). Huang, Yuping ; Nguyen, Lac ; Chatterjee, Rupak ; Tudor, Sebastian F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711931115x. Full description at Econpapers \|\| Download paper
2019	The Impact of International Oil Prices on the Stock Price Fluctuations of Chinaâs Renewable Energy Enterprises. (2019). Hsiao, Cody Yu-Ling ; Lin, Weishun ; Sheng, NI ; Yan, Gaoyun ; Wei, Xinyang. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:24:p:4630-:d:294742. Full description at Econpapers \|\| Download paper
2019	Effect of Policy Incentives on the Uptake of Electric Vehicles in China. (2019). Chen, Hong ; Long, Ruyin ; Li, Wenbo ; Yang, Muyi ; Zheng, Xiao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3323-:d:240257. Full description at Econpapers \|\| Download paper
2019	Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langrene, Nicolas ; Zhang, Rongju. In: Post-Print. RePEc:hal:journl:hal-02909342. Full description at Econpapers \|\| Download paper
2019	Submodular Risk Allocation. (2019). Glasserman, Paul ; Ghamami, Samim. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4656-4675. Full description at Econpapers \|\| Download paper
2019	Hedge and safe haven investing with investment styles. (2019). Peltomaki, Jarkko ; Khrashchevskyi, Ian ; Hou, Ai Jun . In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00127-3. Full description at Econpapers \|\| Download paper
2019	The distribution of the average of log-normal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula. (2019). Alghalith, Moawia. In: MPRA Paper. RePEc:pra:mprapa:105588. Full description at Econpapers \|\| Download paper
2019	A New Price of the Arithmetic Asian Option: A Simple Formula. (2019). Alghalith, Moawia. In: MPRA Paper. RePEc:pra:mprapa:117047. Full description at Econpapers \|\| Download paper
2019	Rating firms and sensitivity analysis. (2019). Magni, Carlo Alberto ; Mastroleo, Giovanni ; Marchioni, Andrea ; MALAGOLI, STEFANO. In: MPRA Paper. RePEc:pra:mprapa:95265. Full description at Econpapers \|\| Download paper
2019	The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula. (2019). Alghalith, Moawia. In: MPRA Paper. RePEc:pra:mprapa:97324. Full description at Econpapers \|\| Download paper
2019	Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data. (2019). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal ; Boubaker, Heni. In: Working Papers. RePEc:pre:wpaper:201941. Full description at Econpapers \|\| Download paper
2019	Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201943. Full description at Econpapers \|\| Download paper
2019	Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951. Full description at Econpapers \|\| Download paper
2019	Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966. Full description at Econpapers \|\| Download paper
2019	Extreme at-the-money skew in a local volatility model. (2019). Pigato, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00406-2. Full description at Econpapers \|\| Download paper
2019	An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution. (2019). Bee, Marco ; Trapin, Luca ; Hambuckers, Julien. In: DEM Working Papers. RePEc:trn:utwprg:2019/11. Full description at Econpapers \|\| Download paper
2019	AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS. (2019). Peng, Qidi ; Schellhorn, Henry ; Liu, Chen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500444. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	85	3109
2	Physica A: Statistical Mechanics and its Applications / Elsevier	72	498
3	Working Papers / HAL	59	227
4	European Journal of Operational Research / Elsevier	128	224
5	Finance Research Letters / Elsevier	65	219
6			203
7	The North American Journal of Economics and Finance / Elsevier	44	193
8	Energy Economics / Elsevier	157	175
9	Journal of Futures Markets / John Wiley & Sons, Ltd.	44	173
10	Post-Print / HAL	203	173
11	International Review of Financial Analysis / Elsevier	63	173