Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 18. 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 2022-05-01 to 2026-05-01.)
ArticleCitations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants73
Price dynamics with circuit breakers56
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas48
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty36
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics33
A market resilient data-driven approach to option pricing28
α -threshold networks in credit risk models27
Special Issue on XXIV Workshop on Quantitative Finance24
Optimal trading and competition with information in the price impact model21
Weak approximations and VIX option price expansions in forward variance curve models21
Trading TP 2 option violations20
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario20
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality19
A study on asset price bubble dynamics: explosive trend or quadratic variation?19
Analytical approximations for American option pricing under regime-switching models19
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)18
Can volatility solve the naive portfolio puzzle?18
Persistence of jump-induced tail risk and limits to arbitrage18
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