Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 16. 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 2020-03-01 to 2024-03-01.)
ArticleCitations
Quant GANs: deep generation of financial time series107
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies42
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models41
Multilayer information spillover networks: measuring interconnectedness of financial institutions39
Volatility has to be rough31
Bitcoin, currencies, and fragility31
Jumps and oil futures volatility forecasting: a new insight27
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market26
Generative adversarial networks for financial trading strategies fine-tuning and combination26
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions24
Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?22
A neural network approach to understanding implied volatility movements21
Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction21
Optimal investment strategy in the family of 4/2 stochastic volatility models18
Implied volatility directional forecasting: a machine learning approach17
Equal risk pricing of derivatives with deep hedging16
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty16
G-expected utility maximization with ambiguous equicorrelation16
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