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 2021-05-01 to 2025-05-01.)
ArticleCitations
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)40
Weak approximations and VIX option price expansions in forward variance curve models39
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics37
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas28
Pricing electricity day-ahead cap futures with multifactor skew-t densities25
A generalized Esscher transform for option valuation with regime switching risk24
α -threshold networks in credit risk models21
Price dynamics with circuit breakers20
Special Issue on XXIV Workshop on Quantitative Finance19
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
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)13
Optimal trading and competition with information in the price impact model13
Persistence of jump-induced tail risk and limits to arbitrage13
What is the value of the cross-sectional approach to deep reinforcement learning?13
Portfolio insurers and constant weight traders: who will survive?13
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