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 2021-11-01 to 2025-11-01.)
ArticleCitations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants48
α -threshold networks in credit risk models43
Price dynamics with circuit breakers37
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas31
Optimal trading and competition with information in the price impact model30
A generalized Esscher transform for option valuation with regime switching risk29
Trading TP 2 option violations20
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?17
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)17
Pricing electricity day-ahead cap futures with multifactor skew-t densities17
Special Issue on XXIV Workshop on Quantitative Finance17
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty17
Weak approximations and VIX option price expansions in forward variance curve models17
A market resilient data-driven approach to option pricing17
Persistence of jump-induced tail risk and limits to arbitrage16
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality16
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