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Quantitative Finance / Taylor & Francis Journals

Citation Profile [Updated: 2026-03-14 21:09:38]
5 Years H Index
63
Impact Factor (IF)
0.84
5 Years IF
0.68
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 3112 27 36 0 0 0 27 0.4 0.17
2002 0.57 0.39 0.46 0.57 63 130 1150 56 96 67 38 67 38 4 7.1 10 0.16 0.2
2003 0.67 0.43 0.68 0.67 68 198 925 132 230 130 87 130 87 16 12.1 6 0.09 0.21
2004 0.52 0.47 0.66 0.56 67 265 1372 171 404 131 68 198 110 23 13.5 15 0.22 0.21
2005 0.41 0.51 0.82 0.61 50 315 1157 250 661 135 56 265 162 21 8.4 7 0.14 0.23
2006 0.49 0.49 0.82 0.61 45 360 599 286 955 117 57 315 193 39 13.6 11 0.24 0.22
2007 0.45 0.44 0.67 0.46 63 423 786 276 1240 95 43 293 136 18 6.5 10 0.16 0.2
2008 0.28 0.47 0.77 0.46 64 487 888 365 1614 108 30 293 134 35 9.6 19 0.3 0.22
2009 0.31 0.46 0.77 0.56 80 567 846 431 2053 127 39 289 163 33 7.7 6 0.08 0.23
2010 0.45 0.46 0.73 0.55 114 681 1962 494 2551 144 65 302 166 35 7.1 28 0.25 0.2
2011 0.41 0.51 0.66 0.43 130 811 1009 531 3088 194 79 366 157 39 7.3 22 0.17 0.23
2012 0.54 0.5 0.77 0.6 166 977 1129 744 3838 244 131 451 271 61 8.2 22 0.13 0.21
2013 0.46 0.54 0.92 0.62 140 1117 1220 1026 4868 296 137 554 343 57 5.6 30 0.21 0.24
2014 0.49 0.53 0.9 0.61 155 1272 1134 1137 6018 306 149 630 386 54 4.7 24 0.15 0.22
2015 0.58 0.52 0.89 0.59 141 1413 1456 1252 7272 295 171 705 415 70 5.6 69 0.49 0.22
2016 0.7 0.5 1.01 0.62 136 1549 1157 1566 8839 296 208 732 453 90 5.7 31 0.23 0.2
2017 0.66 0.52 0.89 0.64 141 1690 1068 1497 10337 277 184 738 476 75 5 36 0.26 0.21
2018 0.76 0.53 0.9 0.7 151 1841 1080 1654 11992 277 210 713 500 18 1.1 42 0.28 0.22
2019 0.75 0.54 0.86 0.73 154 1995 1009 1712 13706 292 220 724 527 4 0.2 41 0.27 0.21
2020 0.91 0.64 1.01 0.86 137 2132 613 2140 15849 305 277 723 621 12 0.6 49 0.36 0.3
2021 0.91 0.74 0.95 0.81 132 2264 609 2162 18011 291 264 719 585 6 0.3 54 0.41 0.27
2022 0.82 0.73 0.9 0.84 138 2402 279 2169 20180 269 221 715 602 3 0.1 20 0.14 0.22
2023 0.73 0.69 0.78 0.72 117 2519 205 1967 22147 270 196 712 514 13 0.7 18 0.15 0.2
2024 0.61 0.81 0.84 0.78 104 2623 118 2212 24359 255 156 678 530 0 32 0.31 0.23
2025 0.84 0.71 0.68 106 2729 10 1926 26285 221 185 628 429 0 11 0.1
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

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1413
22004Network topology of the interbank market. (2004). Thurner, Stefan ; Summer, Martin ; Elsinger, Helmut ; Boss, Michael. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

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397
32005Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Gonzalez-Hermosillo, Brenda. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

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289
42016Pricing under rough volatility. (2016). Friz, Peter ; Gatheral, Jim ; Bayer, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

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278
52018Volatility is rough. (2018). Jaisson, Thibault ; Rosenbaum, Mathieu ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

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261
62001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

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253
72008High-frequency trading in a limit order book. (2008). Stoikov, Sasha ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

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225
82010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

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213
92001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

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200
102010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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183
112002Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Mezard, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

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175
122004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

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175
132002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

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169
142011Econophysics review: I. Empirical facts. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

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167
152010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

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166
162010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

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166
172003Dependence structures for multivariate high-frequency data in finance. (2003). Breymann, W. ; Embrechts, P. ; Dias, A.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

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162
182001Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong (Tony) ; X-Z. He, ; Chiarella, C.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

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157
192002A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

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155
202003Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

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

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150
222007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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148
232015The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691.

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141
242010Statistical arbitrage in the US equities market. (2010). Avellaneda, Marco ; Lee, Jeong-Hyun. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

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

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

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134
272004What really causes large price changes?. (2004). Farmer, J. ; Gillemot, Laszlo ; Lillo, Fabrizio ; Sen, Anindya ; Mike, Szabolcs . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

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133
282011Econophysics review: II. Agent-based models. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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117
292010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

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115
302019Universal 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.

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114
312001High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Bonanno, G. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

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112
322015Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636.

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108
332001Significance of log-periodic precursors to financial crashes. (2001). Sornette, D. ; Johansen, A.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

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103
342010Financial literacy and portfolio diversification. (2010). Mendes, Victor ; Abreu, Margarida. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

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101
352015On elicitable risk measures. (2015). Bignozzi, Valeria ; Bellini, Fabio. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

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99
362014Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71.

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98
372002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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98
382007Ambiguity in portfolio selection. (2007). Wozabal, David ; Pflug, Georg. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:4:p:435-442.

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97
392013Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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97
402004A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard ; Muller, Alfred. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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92
412012The price impact of order book events: market orders, limit orders and cancellations. (2012). Kockelkoren, Julien ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

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87
422020A critical investigation of cryptocurrency data and analysis. (2020). Alexander, Carol ; Dakos, M. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

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85
432001Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631.

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

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

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79
462008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

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79
472005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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78
482013Optimal high-frequency trading with limit and market orders. (2013). Huyên Pham, ; Guilbaud, Fabien . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

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78
492003Systematic risk and timescales. (2003). Genay, Ramazan ; Whitcher, Brandon. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

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78
502014Robust risk measurement and model risk. (2014). Xu, Xingbo ; Glasserman, Paul. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58.

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76
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

202
22016Pricing under rough volatility. (2016). Friz, Peter ; Gatheral, Jim ; Bayer, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904.

Full description at Econpapers || Download paper

98
32008High-frequency trading in a limit order book. (2008). Stoikov, Sasha ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

53
42017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; He, Kaijian ; Stanley, Eugene H ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

Full description at Econpapers || Download paper

44
52018Volatility is rough. (2018). Jaisson, Thibault ; Rosenbaum, Mathieu ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:6:p:933-949.

Full description at Econpapers || Download paper

40
62010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

Full description at Econpapers || Download paper

39
72021Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. (2021). Tomas, Mehdi ; Horvath, Blanka ; Muguruza, Aitor. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:11-27.

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37
82010No-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

36
92019Universal 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

34
102020Quant GANs: deep generation of financial time series. (2020). Knobloch, Robert ; Korn, Ralf ; Kretschmer, Peter ; Wiese, Magnus. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:9:p:1419-1440.

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34
112015On elicitable risk measures. (2015). Bignozzi, Valeria ; Bellini, Fabio. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733.

Full description at Econpapers || Download paper

28
122010Statistical arbitrage in the US equities market. (2010). Avellaneda, Marco ; Lee, Jeong-Hyun. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782.

Full description at Econpapers || Download paper

28
132020A critical investigation of cryptocurrency data and analysis. (2020). Alexander, Carol ; Dakos, M. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188.

Full description at Econpapers || Download paper

27
142002Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Mezard, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

Full description at Econpapers || Download paper

26
152014Arbitrage-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

26
162021Volatility has to be rough. (2021). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:1-8.

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25
172018Hawkes 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.

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25
182024The contagion of extreme risks between fossil and green energy markets: evidence from China. (2024). Ren, Xiaohang ; Gözgör, Giray ; He, Feng. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:5:p:627-642.

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25
192010Financial 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

25
202023Volatility is (mostly) path-dependent. (2023). Guyon, Julien ; Lekeufack, Jordan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:9:p:1221-1258.

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23
212019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:12:p:1995-2013.

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23
222007Ambiguity 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

22
232018Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. (2018). Schoutens, Wim ; Reyners, Sofie ; de Spiegeleer, Jan ; Madan, Dilip B. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1635-1643.

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22
242001What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

Full description at Econpapers || Download paper

21
252010Portfolio 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

21
262002A 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

20
272019Gold 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.

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20
282004Network topology of the interbank market. (2004). Thurner, Stefan ; Summer, Martin ; Elsinger, Helmut ; Boss, Michael. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

20
292015The 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.

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20
302021Multilayer information spillover networks: measuring interconnectedness of financial institutions. (2021). Wang, Gang-Jin ; Yi, Shuyue ; Stanley, Eugene H ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:7:p:1163-1185.

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19
312010Optimal 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

18
322024Fin-GAN: forecasting and classifying financial time series via generative adversarial networks. (2024). Vuleti, Milena ; Cucuringu, Mihai ; Prenzel, Felix. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:2:p:175-199.

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17
332005Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313.

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17
342015Filling 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.

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17
352015Partial correlation analysis: applications for financial markets. (2015). Huang, Xuqing ; Havlin, Shlomo ; Vodenska, Irena ; Stanley, Eugene H. ; Kenett, Dror Y.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:569-578.

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17
362018On VIX futures in the rough Bergomi model. (2018). Martini, Claude ; Jacquier, Antoine ; Muguruza, Aitor. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:45-61.

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16
372002Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

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16
382013Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Delattre, S. ; Muzy, J. F. ; Bacry, E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

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392015A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Bonart, J ; Mastromatteo, I. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121.

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402003Statistical 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.

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15
412004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

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15
422019Internalisation by electronic FX spot dealers. (2019). Oomen, R ; Butz, M. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:1:p:35-56.

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15
432012The price impact of order book events: market orders, limit orders and cancellations. (2012). Kockelkoren, Julien ; Bouchaud, Jean-Philippe. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

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15
442014Robust risk measurement and model risk. (2014). Xu, Xingbo ; Glasserman, Paul. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58.

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15
452011Econophysics review: I. Empirical facts. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

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462023Integrating prediction in mean-variance portfolio optimization. (2023). Kwon, Roy H ; Butler, Andrew. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:3:p:429-452.

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14
472021Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions. (2021). Chen, Yangang. In: Quantitative Finance. RePEc:taf:quantf:v:21:y:2021:i:1:p:45-67.

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14
482023Empirical deep hedging. (2023). Mikkila, Oskari ; Kanniainen, Juho. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:1:p:111-122.

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14
492018High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration. (2018). Lu, Xiaofei ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:2:p:249-264.

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14
502011Econophysics review: II. Agent-based models. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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Citing documents used to compute impact factor: 185
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2025Which opinion is more trustworthy: An analysts’ earnings forecast quality assessment framework based on machine learning. (2025). Chen, Xinxin ; Song, Yingying. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002432.

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2025Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2025). Prez, Carlos Octavio ; Godin, Frdric ; Gauthier, Genevive ; Franois, Pascal. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016192.

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2025Modeling Asset Price Process: An Approach for Imaging Price Chart with Generative Diffusion Models. (2025). Park, Jinseong ; Ko, Hyungjin ; Lee, Jaewook. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10668-4.

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2025Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Bracha, Zofia ; Sakowski, Pawel ; Micha, Jakub. In: Papers. RePEc:arx:papers:2510.09247.

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2025Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Michakw, Jakub ; Sakowski, Pawe ; Bracha, Zofia. In: Working Papers. RePEc:war:wpaper:2025-25.

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2025Does Political Risk Affect the Efficiency of the Exchange-Traded Fund Market?—Entropy-Based Analysis Before and After the 2025 U.S. Presidential Inauguration. (2025). Olbry, Joanna. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:7:p:121-:d:1688515.

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2025Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919.

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2025Robust optimal consumption, investment and reinsurance for recursive preferences. (2025). Ndengo, Marcel ; Kuissi-Kamdem, Wilfried ; Dadzie, Elizabeth. In: Papers. RePEc:arx:papers:2511.03031.

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2025A hybrid deep learning model for cryptocurrency returns forecasting: Comparison of the performance of financial markets and impact of external variables. (2025). Jirou, Ismail ; Jebabli, Ikram ; Lahiani, Amine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003684.

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2025Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211.

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2025Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance Portfolio Optimization. (2024). Lee, Yongjae ; Tae, Inwoo. In: Papers. RePEc:arx:papers:2409.09684.

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2025A survey of contextual optimization methods for decision-making under uncertainty. (2025). Vidal, Thibaut ; Frejinger, Emma ; Forel, Alexandre ; Delage, Erick ; Chenreddy, Abhilash ; Sadana, Utsav. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:271-289.

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2025Integration of prediction and optimization for smart stock portfolio selection. (2025). Sarkar, Puja ; Khanapuri, Vivekanand B ; Tiwari, Manoj Kumar. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:243-256.

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2025Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions. (2025). Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2504.05743.

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2025Optimization-based spectral end-to-end deep reinforcement learning for equity portfolio management. (2025). Gong, Xiaomin ; Gu, Runsheng ; Jin, Chengneng ; Liu, Siya ; Yu, Pengrui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000836.

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2025End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning. (2025). Mantegna, Rosario ; Manolakis, Efstratios ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2507.01918.

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2025Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. (2025). Lee, Yongjae ; Tae, Inwoo ; Kim, Juchan. In: Papers. RePEc:arx:papers:2508.10776.

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2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

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2025Robust non-zero-sum investment–consumption games under multivariate stochastic covariance models. (2025). Zhang, Yumo ; Zhu, Huainian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976924001558.

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2025Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility. (2025). Wang, Ning ; Zhang, Yumo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000721.

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2025Should the Occupational Pension Plans’ Investment be Long-Term or Short-Term? Evidence from China. (2025). Liu, Wenling ; Xu, Fengmin ; Jing, Kui ; Hua, Ziyue. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10677-3.

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2025Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Yang, Jiefei ; Li, Guanglian. In: Papers. RePEc:arx:papers:2405.02570.

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2025On the implied volatility of Inverse options under stochastic volatility models. (2025). Pravosud, Makar ; Nualart, Eula Lia ; Alos, Elisa. In: Papers. RePEc:arx:papers:2401.00539.

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2025Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management. (2025). Lu, Wu-Sheng ; Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17777.

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2025Crypto market betas: the limits of predictability and hedging. (2025). Weber, Thomas ; Sila, Jan ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Mark, Michael. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00777-w.

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2025Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics. (2025). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2401.13890.

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2025Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936.

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2025Path-dependent PDEs for volatility derivatives. (2024). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289.

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2025Primal and dual optimal stopping with signatures. (2025). Pelizzari, Luca ; Schoenmakers, John ; Bayer, Christian. In: Papers. RePEc:arx:papers:2312.03444.

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2025Risk premium and rough volatility. (2024). Bonesini, Ofelia ; Jacquier, Antoine ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:2403.11897.

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2025Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels. (2024). Herv'e Andr`es, ; Jourdain, Benjamin. In: Papers. RePEc:arx:papers:2408.02477.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025The Volterra Stein-Stein model with stochastic interest rates. (2025). Hainaut, Donatien ; Motte, Edouard ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.01716.

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2025Martingale property and moment explosions in signature volatility models. (2025). Sotnikov, Dimitri ; Gassiat, Paul ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.17103.

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2025Option pricing mechanisms driven by backward stochastic differential equations. (2025). Teng, Bin ; Wang, Sicong ; Shi, Yufeng. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00714-3.

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2025Rough Bergomi turns grey. (2025). Jacquier, Antoine ; Zuric, Zan ; Orioles, Adriano Oliveri. In: Papers. RePEc:arx:papers:2505.08623.

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2025Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration. (2025). Cui, Zhenyu ; Xu, Wei ; Dong, Bing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:547-568.

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2025Identifying the number of latent factors of stochastic volatility models. (2025). Mancino, Maria Elvira ; Allaj, Erindi ; Sanfelici, Simona. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00479-5.

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2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

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2025Branched Signature Model. (2025). Feng, QI ; Ali, Munawar. In: Papers. RePEc:arx:papers:2511.00018.

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2025Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels. (2025). Jourdain, Benjamin ; Andrs, Herv. In: Post-Print. RePEc:hal:journl:hal-04667144.

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2025Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation. (2025). Schlogl, Erik ; Kyakutwika, Nelson ; Alfeus, Mesias. In: Papers. RePEc:arx:papers:2506.23409.

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2025The role of green bonds on industrial sustainability for achieving carbon neutrality: Evidence from the artificial neural network method. (2025). Tiwari, Aviral ; Lau, Chi Keung ; Gözgör, Giray ; Jain, Preksha ; Das, Amit Kumar ; Padhan, Hemachandra. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004525.

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2025The impact of two-way foreign direct investment on industrial green development: perspective of international cooperation on production capacity in China. (2025). Zhang, Zhenhua ; Yong, Hui ; Li, LI. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:2:d:10.1007_s10644-025-09866-3.

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2025Geopolitical risk and vulnerability of energy markets. (2025). Liu, Zhenhua ; Ji, Qiang ; Ding, Zhihua ; Yuan, Xinting ; Wang, Yushu. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007643.

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2025Cross-border transmission effect of Chinas monetary policy on the exchange rate of Asia-Pacific economies. (2025). Chen, Pei-Fen ; Min-Syu, Lin ; Chingnun, Lee ; Pei-Fen, Chen ; Mei-Ping, Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007671.

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2025Dynamic risk spillovers between green bonds and energy markets: New evidence from the GARCH-MIDAS-D-Copula-CoVaR approach considering uncertainties. (2025). Wang, Sikai ; Zheng, Hairong ; Zhang, Tingting. In: Renewable Energy. RePEc:eee:renene:v:239:y:2025:i:c:s0960148124021979.

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2025Climate risk perception and oil financialization in China: Evidence from a time-varying Granger model. (2025). Ren, Xiaohang ; Fu, Chenjia ; Jin, YI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004550.

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2025Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks. (2025). GUPTA, RANGAN ; Plakandaras, Vasilios ; Ji, Qiang ; Foglia, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004604.

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2025The dynamic connectedness in the “carbon-energy-green finance” system: The role of climate policy uncertainty and artificial intelligence. (2025). Qi, Shaozhou ; Pang, Lidong ; Li, Xinqiang ; Huang, Lin. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000647.

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2025The nexus among geopolitical risk, metal prices, and global supply chain pressure: Evidence from the TVP-SV-VAR approach. (2025). Liu, Yang ; Taghizadeh-Hesary, Farhad ; Jia, Yiqing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1776-1789.

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2025Does artificial intelligence promote green technology innovation in the energy industry?. (2025). Sun, Jiawen ; Liu, Xihua ; Zhang, Yue. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325002269.

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2025Extreme risk spillovers between SC, WTI and Brent crude oil futures-Evidence from time-varying Granger causality test. (2025). Ren, Xiaohang ; Tao, Lizhu ; Liu, Chuanwang ; He, Yue. In: Energy. RePEc:eee:energy:v:320:y:2025:i:c:s0360544225011375.

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2025Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method. (2025). Zhu, Huiming ; Chen, Yaling ; Liu, Yinpeng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000467.

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2025Green financial instruments: Economic, technological, and legal cycles in the development of the energy transition period. (2025). Liu, Weiwen. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:215:y:2025:i:c:s0040162525000393.

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2025Is the end of AI in photovoltaic power? Evidence from China. (2025). Zhang, Haoran ; Gao, Zixuan ; Yu, Xiaohong. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002476.

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2025Extreme events and quantile time-frequency volatility connectedness across crude oil, green bonds and low-carbon equity markets. (2025). Wang, Jikai ; Qiao, Gaoxiu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001618.

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2025The relationship between FinTech and energy markets in China. (2025). Huang, Yunying ; Yang, Cunyi ; Albitar, Khaldoon ; Zhou, QI. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:217:y:2025:i:c:s0040162525002197.

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2025When and how does artificial intelligence impact environmental performance?. (2025). OMRI, Anis ; ben Jabeur, Sami ; Slimani, Sana. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004700.

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2025The impact of uncertainties on contagions in energy market risk networks: Evidence from synthesizing multiple-order moments and multiple time horizons. (2025). Huang, Shupei ; Vigne, Samuel A ; Wang, Xinya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025004757.

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2025ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016.

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2025How prevalent are short squeezes? Evidence from the US and Europe. (2025). Haas, Marlene ; Pirovano, Matteo ; Tengulov, Angel ; Allen, Franklin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000561.

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2025Making Leveraged Exchange-Traded Funds Work for your Portfolio. (2025). Forsyth, Peter ; van Staden, Pieter ; Li, Yuying. In: Papers. RePEc:arx:papers:2506.19200.

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2025Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431.

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2025On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

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2025A Unifying Approach for the Pricing of Debt Securities. (2025). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2403.06303.

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2025A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324.

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2025Innovative combo product design embedding variable annuity and long-term care insurance contracts. (2025). Shen, Yang ; Sherris, Michael ; Wang, Yawei ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:79-99.

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2025Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps. (2025). Agazzotti, Gaetano ; Rinella, Claudio Aglieri ; Kirkby, Justin Lars ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2502.13824.

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2025Probabilistic Forecasting of Crude Oil Prices Using Conditional Generative Adversarial Network Model with Lévy Process. (2025). di Persio, Luca ; Alruqimi, Mohammed. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:307-:d:1570203.

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2025Financial Wind Tunnel: A Retrieval-Augmented Market Simulator. (2025). Guo, Jian ; Yang, Cehao ; Xu, Chengjin ; Qi, Yiyan ; Lin, Xueyuan ; Cao, Bokai. In: Papers. RePEc:arx:papers:2503.17909.

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2025From Deep Learning to LLMs: A survey of AI in Quantitative Investment. (2025). Guo, Jian ; Cao, Bokai ; Wang, Saizhuo ; Lin, Xinyi ; Zhang, Haohan ; Wu, Xiaojun ; Ni, Lionel M. In: Papers. RePEc:arx:papers:2503.21422.

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2025GAN-CITE: leveraging semi-supervised generative adversarial networks for citation function classification with limited data. (2025). Noraset, Thanapon ; Tuarob, Suppawong ; Chatrinan, Krittin. In: Scientometrics. RePEc:spr:scient:v:130:y:2025:i:2:d:10.1007_s11192-025-05233-1.

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2025Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623.

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2025Enhancing mean–variance portfolio optimization through GANs-based anomaly detection. (2025). Fabozzi, Frank J ; Kim, Woo Chang ; Lee, Yongjae ; Ho, Jang. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06293-x.

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2025Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer. (2025). Dong, Zhikang ; Cao, Zeyu ; Zhao, Siqiao ; Douady, Raphael. In: Papers. RePEc:arx:papers:2408.03320.

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2025Harnessing artificial intelligence for monitoring financial markets. (2025). Gelos, R. Gaston ; Perez-Cruz, Fernando ; Park, Taejin ; Godoy, Douglas Kiarelly ; Aquilina, Matteo. In: BIS Working Papers. RePEc:bis:biswps:1291.

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2025Increase Alpha: Performance and Risk of an AI-Driven Trading Framework. (2025). Parvini, Navid ; Khaledian, Nariman ; Ghatak, Sid. In: Papers. RePEc:arx:papers:2509.16707.

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2025Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction. (2025). Cho, So-Yoon ; Ban, Kayoung ; Kim, Jin-Young ; Koo, Hyeng Keun. In: Papers. RePEc:arx:papers:2511.07014.

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2025Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578.

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2025Short-maturity Asian options in local-stochastic volatility models. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2409.08377.

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2025Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible?. (2025). Cruz, Carlos A ; Novoa-Hernndez, Pavel ; Lara-Rubio, Juan ; Navarro-Galera, Andrs. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10586-5.

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2025Binary Response Forecasting under a Factor-Augmented Framework. (2025). Yang, Xuanbin ; Liu, Fei ; Cong, Jiachen ; Cheng, Tingting. In: Papers. RePEc:arx:papers:2507.16462.

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2025HLOB–Information persistence and structure in limit order books. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126623.

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2025To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies. (2025). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2502.18625.

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2025Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks. (2025). Fabre, Timoth'Ee ; Challet, Damien. In: Papers. RePEc:arx:papers:2504.15908.

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2025Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures. (2025). Zhang, Kouxiao ; Hu, Chen. In: Papers. RePEc:arx:papers:2505.17388.

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2025Enhanced indexation using both equity assets and index options. (2025). Beasley, John ; Valle, Cristiano Arbex. In: Papers. RePEc:arx:papers:2508.21192.

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2025A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting. (2025). Lee, Ming Che. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3108-:d:1760321.

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2025Regret-Optimized Portfolio Enhancement through Deep Reinforcement Learning and Future Looking Rewards. (2025). Garz, Rub'En ; Gulcehre, Caglar ; Terekhov, Mikhail ; Karzanov, Daniil ; Detyniecki, Marcin ; Raffinot, Thomas. In: Papers. RePEc:arx:papers:2502.02619.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2025Robust Reinforcement Learning with Dynamic Distortion Risk Measures. (2025). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2409.10096.

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2025Black‐Scholes Meet Imitation Learning: Evidence From Deep Hedging in China. (2025). Xu, Qingdong ; Tian, Ruzheng ; Kang, Jie ; Jiang, Fuwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:1071-1087.

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2025A study of asset and liability management applied to Brazilian pension funds. (2025). , Joao ; Falcao, Rodrigo ; Bernardino, Wilton ; Alves, Jos Jonas ; de Souza, Filipe Costa ; Ospina, Raydonal. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:3:p:1059-1076.

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2025Makers and Takers: The Economics of the Kalshi Prediction Market. (2025). Deng, Wanying ; Brgi, Constantin ; Whelan, Karl. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12122.

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2025Makers and Takers: The Economics of the Kalshi Prediction Market. (2025). Whelan, Karl. In: MPRA Paper. RePEc:pra:mprapa:126350.

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2025Agreeing to Disagree: The Economics of Betting Exchanges. (2025). Whelan, Karl. In: MPRA Paper. RePEc:pra:mprapa:126351.

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2025Blessing or curse? Fintech adoption and greenhouse gas emission intensity. (2025). Li, Wanfu ; Alharbi, Samar S ; Cao, June. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008025.

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2025Cross-sectional interactions in cryptocurrency returns. (2025). Karim, Sitara ; Bdowska-Sjka, Barbara ; Mercik, Aleksander ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007415.

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2025Do risk preferences drive momentum in cryptocurrencies?. (2025). Buchwalter, Bastien ; Schweizer, Denis ; Proelss, Juliane. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324015605.

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2025Solvability of the Gaussian Kyle model with imperfect information and risk aversion. (2025). Noh, Eunjung ; Ekren, Ibrahim ; Chhaibi, Reda. In: Papers. RePEc:arx:papers:2501.16488.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025A New Traders Game? -- Response Functions in a Historical Perspective. (2025). Schuhmann, Cedric ; Heckens, Anton J ; Kohler, Benjamin ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2503.01629.

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2025Cross−impact and price bubbles in hybrid financial markets. (2025). Giannetti, Caterina ; Cordoni, Francesco ; Chapkovski, Philipp ; Lillo, Fabrizio. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643.

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2025A framework of state-dependent utility optimisation with general benchmarks. (2025). Liu, Yang ; Liang, Zongxia ; Zhang, Litian. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00561-9.

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2025Drawdowns, Drawups, and Occupation Times under General Markov Models. (2025). Zhang, Weinan ; Zeng, Pingping. In: Papers. RePEc:arx:papers:2506.00552.

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2025Stochastic modelling and forecasting of wind capacity utilization with applications to risk management: The Australian case. (2025). Nikitopoulos, Christina S ; Alfeus, Mesias ; Overbeck, Ludger ; Mwampashi, Muthe M. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25001064.

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2025ESG-integration investment strategy for TDFs with a multi-objective dynamic programming. (2025). Dong, Zhi-Long ; Liu, Wenling ; Jing, Kui ; Xu, Fengmin. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003497.

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2025Optimal multi-period leverage-constrained portfolios: A neural network approach. (2025). Ni, Chendi ; Li, Yuying ; Forsyth, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000934.

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2025Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital. (2025). Çevik, Emrah ; Goodell, John W ; Gunay, Samet ; Cevik, Emrah Ismail ; Kenc, Turalay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007718.

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2025Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency. (2025). Jiang, Hao ; Ma, Yong ; Wang, Tianyang. In: Journal of Financial Markets. RePEc:eee:finmar:v:73:y:2025:i:c:s1386418125000096.

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2025The Relationship Between Leverage and Profitability: The Role of Tax Depreciation Allowances. (2025). Panteghini, Paolo M ; Koussis, Nicos ; Menoncin, Francesco. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11937.

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2025Optimal equity split under unobservable investments. (2025). Yang, Zhaojun ; Tan, Lihua. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:98:y:2025:i:c:s0167718724000870.

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2025Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation. (2025). Bodor, Hamza ; Carlier, Laurent. In: Papers. RePEc:arx:papers:2501.08822.

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2025TRADES: Generating Realistic Market Simulations with Diffusion Models. (2025). Velardi, Paola ; Prenkaj, Bardh ; Berti, Leonardo. In: Papers. RePEc:arx:papers:2502.07071.

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2025TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with Limit Order Book Data. (2025). Berti, Leonardo ; Kasneci, Gjergji. In: Papers. RePEc:arx:papers:2502.15757.

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2025Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer. (2025). Wang, Haochuan. In: Papers. RePEc:arx:papers:2506.05764.

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2025Market Simulation under Adverse Selection. (2025). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2409.12721.

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2025An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book. (2025). Zhang, Ming ; Fang, Ran ; Yang, Jiahao ; Zhou, Jun. In: Papers. RePEc:arx:papers:2505.22678.

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2025Building Technical Analysis Strategies Using Multivariate Longitudinal and Time-to-Event Data in Stock Markets. (2025). Zhou, Junzi ; Hu, Wenbin. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10782-3.

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2025Survival Analysis as Imprecise Classification with Trainable Kernels. (2025). Konstantinov, Andrei ; Utkin, Lev ; Efremenko, Vlada ; Muliukha, Vladimir ; Lukashin, Alexey ; Verbova, Natalya. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:18:p:3040-:d:1754314.

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2025Synergizing Renewable Energy and Circular Economy Strategies: Pioneering Pathways to Environmental Sustainability. (2025). Gao, Xiaodan ; He, Yugang ; Wang, Yinhui. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:5:p:1801-:d:1595872.

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2025On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021.

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2025Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698.

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2025Detecting exuberance phenomena in thematic investing. (2025). Vacca, Gianmarco ; Genoni, Giulia ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001539.

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2025A Novel Multi-Task Learning Framework for Interval-Valued Carbon Price Forecasting Using Online News and Search Engine Data. (2025). Tang, Zhenpeng ; Lin, Shuo ; Wang, Liuqing ; Liu, Dinggao. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:455-:d:1579981.

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2025SABR-Informed Multitask Gaussian Process: A Synthetic-to-Real Framework for Implied Volatility Surface Construction. (2025). Zhuang, Jirong ; Wu, Xuan. In: Papers. RePEc:arx:papers:2506.22888.

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2025Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance. (2025). Glielmo, Aldo ; Mira, Antonietta ; de Giuli, Maria Elena ; del Tatto, Vittorio ; Salvagnin, Cristiano. In: Papers. RePEc:arx:papers:2508.15667.

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2025Detecting speculation in the market for EU emission allowances. (2025). Reissl, Severin ; Terranova, Roberta ; Cozzarini, Chiara ; Tavoni, Massimo. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004797.

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2025Stochastic volatility model with long memory for water quantity-quality dynamics. (2025). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:195:y:2025:i:c:s0960077925001808.

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2025LLM-Generated Counterfactual Stress Scenarios for Portfolio Risk Simulation via Hybrid Prompt-RAG Pipeline. (2025). Soleimani, Masoud. In: Papers. RePEc:arx:papers:2512.07867.

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2025Fast Learning in Quantitative Finance with Extreme Learning Machine. (2025). Liu, Shuaiqiang ; Cheng, Xue. In: Papers. RePEc:arx:papers:2505.09551.

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2025Operator Deep Smoothing for Implied Volatility. (2024). Wiedemann, Ruben ; Gonon, Lukas ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2406.11520.

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2025Efficient Calibration in the rough Bergomi model by Wasserstein distance. (2025). Li, Guanglian ; Teng, Changqing. In: Papers. RePEc:arx:papers:2512.00448.

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2025A data-driven prediction method for multi-period portfolio optimization using the real options approach. (2025). Arasteh, Abdollah. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006634.

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2025Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian. (2025). Attal, Elie ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2504.19885.

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2025Superposition of interacting stochastic processes with memory and its application to migrating fish counts. (2025). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:192:y:2025:i:c:s0960077924014632.

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2025Pricing American options under rough volatility using deep-signatures and signature-kernels. (2025). Pelizzari, Luca ; Bayer, Christian ; Zhu, Jia-Jie. In: Papers. RePEc:arx:papers:2501.06758.

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2025Noise-proofing Universal Portfolio Shrinkage. (2025). Bongiorno, Christian ; Challet, Damien ; Ruelloux, Paul. In: Papers. RePEc:arx:papers:2511.10478.

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2025Short-rate models with stochastic discontinuities: a PDE approach. (2025). De Donno, Marzia ; Sanfelici, Simona ; Guardasoni, Chiara ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:2510.04289.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025Climate policy uncertainty, supply chain resilience and enterprises’ green total factor productivity: Evidence from China. (2025). Zhang, Lixia ; Bai, Jiancheng ; Sun, Huaping ; Deng, Feng ; Qian, Ying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s105905602500718x.

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2025A time-stepping deep gradient flow method for option pricing in (rough) diffusion models. (2025). Rou, Jasper ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.00746.

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2025Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process. (2024). ben Alaya, Mohamed ; Friesen, Martin ; Kremer, Jonas. In: Papers. RePEc:arx:papers:2409.04496.

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2025Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps. (2025). Grzelak, Lech A ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2510.08805.

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2025Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A bond market study. (2025). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2503.00320.

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2025ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books. (2025). Zohren, Stefan ; Shestopaloff, Alexander Y ; Cucuringu, Mihai ; Zhang, Yichi. In: Papers. RePEc:arx:papers:2504.20349.

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2025Classifying and Clustering Trading Agents. (2025). Wilinski, Mateusz ; Kanniainen, Juho ; Iosifidis, Alexandros ; Goel, Anubha. In: Papers. RePEc:arx:papers:2505.21662.

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2025Rough PDEs for local stochastic volatility models. (2025). Friz, Peter K ; Bank, Peter ; Pelizzari, Luca ; Bayer, Christian. In: Papers. RePEc:arx:papers:2307.09216.

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2025Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options. (2025). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.02832.

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2025Pareto efficiency and financial fairness under limited expected loss constraint. (2025). Nguyen, Thai ; Wa, Tak. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:117:y:2025:i:c:s0304406825000138.

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2025Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact. (2025). Karbach, Sven ; Chatziandreou, Konstantinos. In: Papers. RePEc:arx:papers:2504.10282.

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2025Competition and Incentives in a Shared Order Book. (2025). Ren'e A"id, ; Bergault, Philippe ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2509.10094.

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2025Computing Systemic Risk Measures with Graph Neural Networks. (2024). Weber, Niklas ; Meyer-Brandis, Thilo ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2410.07222.

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2025Multi-objective carbon-energy portfolio optimization under investment horizon heterogeneity. (2025). Dai, Xingyu ; Wang, Qunwei ; Li, Matthew C ; Xiao, Ling ; Xue, Jianhao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925002922.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2025Optimal Execution with Reinforcement Learning. (2024). Vittori, Edoardo ; Hafsi, Yadh. In: Papers. RePEc:arx:papers:2411.06389.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025Prediction of the implied volatility surface–An empirical analysis of the SSE 50ETF option based on CNNs. (2025). Shao, Hualu ; Zhou, Baicheng ; Gong, Shaoqing. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003824.

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2025Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743.

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2025Risk Retention and the Performance of Nigeria Reinsurance Corporation (1994-2024). (2025). Jeremiah, Mfon Solomon ; Joseph, Emem Matthew. In: International Journal of Finance, Insurance and Risk Management. RePEc:ers:ijfirm:v:15:y:2025:i:4:p:87-126.

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2025Asset allocation for a DC pension plan with dynamic attention. (2025). Peng, Xingchun ; Fan, Shiqi. In: Finance Research Letters. RePEc:eee:finlet:v:82:y:2025:i:c:s154461232500772x.

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2025Does investor attention drive cryptocurrency markets? Insights from network connectedness and portfolio applications. (2025). Wang, Ming-Hui ; Wu, Feng-Lin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001263.

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2025Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review. (2025). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2508.12007.

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2025Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919.

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2025Efficient simulation of prices for European call options under Heston stochastic-local volatility model: a comparison of methods. (2025). Li, Tianze ; Cai, Meng. In: Papers. RePEc:arx:papers:2509.24449.

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2025A mathematical study of the excess growth rate. (2025). Wong, Ting-Kam Leonard ; Campbell, Steven. In: Papers. RePEc:arx:papers:2510.25740.

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2025ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016.

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2025Asset-liability management with Epstein-Zin utility$\quad$ under stochastic interest rate and unknown market price of risk. (2025). Kuissi-Kamdem, Wilfried. In: Papers. RePEc:arx:papers:2511.02158.

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2025Tail Risk in Weather Derivatives. (2025). Cheng, Tuoyuan ; Poreddy, Saikiran Reddy. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:2:p:11-:d:1681037.

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2025Dynamic Portfolio Return Classification Using Price-Aware Logistic Regression. (2025). Taha, Altyeb Altaher ; Aljahdali, Hani Moaiteq ; Baguda, Yakubu Suleiman. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1885-:d:1671949.

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2025An Improved Frank–Wolfe Algorithm to Solve the Tactical Investment Portfolio Optimization Problem. (2025). Setyawan, Deva Putra ; Chaerani, Diah ; Sukono, Sukono. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:18:p:3038-:d:1754014.

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2025An Entropy Regularized BSDE Approach to Bermudan Options and Games. (2025). Chee, Daniel ; Li, Libo ; Frikha, Noufel. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05265653.

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2025AI shrinkage: a data-driven approach for risk-optimized portfolios. (2025). De Nard, Gianluca ; Kostovic, Damjan. In: ECON - Working Papers. RePEc:zur:econwp:470.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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

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

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

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2023Two-stage investment, loan guarantees and share buybacks. (2023). Yang, Zhaojun ; Nishihara, Michi ; Dong, Linjia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:156:y:2023:i:c:s0165188923001471.

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

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

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2023Climbing the income ladder: Search and investment in a regime-switching affine income model. (2023). Serrano, Rafael. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300702x.

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

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

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

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2023Risk budgeting using a generalized diversity index. (2023). Koumou, Gilles Boevi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00326-z.

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

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

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

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

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

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

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

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

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

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

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2022Inflation rate tracking portfolio optimization method: Evidence from Japan. (2022). Suimon, Yoshiyuki ; Nakagawa, Kei. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003531.

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2022Distributionally robust optimization for the berth allocation problem under uncertainty. (2022). Rodrigues, Filipe ; Agra, Agostinho. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:164:y:2022:i:c:p:1-24.

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

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2022A Generalized Entropy Approach to Portfolio Selection under a Hidden Markov Model. (2022). Zhao, Yonggan ; Yu, Lijun ; MacLean, Leonard. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:337-:d:876199.

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

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

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

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

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2022On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. (2022). Asmussen, Soren. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00482-x.

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2022Optimal Control of Diffusion Processes with Terminal Constraint in Law. (2022). Daudin, Samuel. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:1:d:10.1007_s10957-022-02053-8.

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

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

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