Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 17. 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 2022-08-01 to 2026-08-01.)
ArticleCitations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants78
Price dynamics with circuit breakers58
A market resilient data-driven approach to option pricing42
α -threshold networks in credit risk models33
Special Issue on XXIV Workshop on Quantitative Finance29
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty29
Weak approximations and VIX option price expansions in forward variance curve models24
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality23
Optimal trading and competition with information in the price impact model23
Trading TP 2 option violations21
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario21
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics19
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
Pairs trading with stock borrowing fee17
Can volatility solve the naive portfolio puzzle?17
Greenwashing risk in asset pricing: the shift after the Paris agreement17
Persistence of jump-induced tail risk and limits to arbitrage17
0.047424077987671