Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 13. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-11-01 to 2024-11-01.)
ArticleCitations
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies52
Bitcoin, currencies, and fragility37
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market34
Implied volatility directional forecasting: a machine learning approach27
Volatility is (mostly) path-dependent24
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets19
State-dependent Hawkes processes and their application to limit order book modelling19
An investigation of cryptocurrency data: the market that never sleeps19
Optimal investment strategy in the family of 4/2 stochastic volatility models18
Forecasting with fractional Brownian motion: a financial perspective17
Optimal trade execution for Gaussian signals with power-law resilience16
Option hedging using LSTM-RNN: an empirical analysis16
A practical guide to robust portfolio optimization16
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