Quantitative Finance

Article	Citations
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies	52
Bitcoin, currencies, and fragility	37
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market	34
Implied volatility directional forecasting: a machine learning approach	27
Volatility is (mostly) path-dependent	24
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	19
State-dependent Hawkes processes and their application to limit order book modelling	19
An investigation of cryptocurrency data: the market that never sleeps	19
Optimal investment strategy in the family of 4/2 stochastic volatility models	18
Forecasting with fractional Brownian motion: a financial perspective	17
Optimal trade execution for Gaussian signals with power-law resilience	16
Option hedging using LSTM-RNN: an empirical analysis	16
A practical guide to robust portfolio optimization	16
Empirical deep hedging	12
A data-driven explainable case-based reasoning approach for financial risk detection	12
Mean–variance portfolio selection under partial information with drift uncertainty	11
Bitcoin: jumps, convenience yields, and option prices	11
How to build a cross-impact model from first principles: theoretical requirements and empirical results	11
Backtesting expected shortfall and beyond	11
A functional analysis approach to the static replication of European options	10
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes	10
Active and passive portfolio management with latent factors	10
Why has the equal weight portfolio underperformed and what can we do about it?	10
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes	9
Optimal portfolio allocation and asset centrality revisited	9

Quantitative statistical robustness for tail-dependent law invariant risk measures	9
Short-dated smile under rough volatility: asymptotics and numerics	9
Explicit option valuation in the exponential NIG model	9
What is the value of the cross-sectional approach to deep reinforcement learning?	9
Optimal asset allocation for outperforming a stochastic benchmark target	9
Cross-impact of order flow imbalance in equity markets	8
Robust deep hedging	8
A fast algorithm for simulation of rough volatility models	8
Estimation risk and the implicit value of index-tracking	8
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect	8
Markovian approximations of stochastic Volterra equations with the fractional kernel	8
Effects of a government subsidy and labor flexibility on portfolio selection and retirement	8
Pairs trading under delayed cointegration	8
Additive normal tempered stable processes for equity derivatives and power-law scaling	8
Dynamic patterns of daily lead-lag networks in stock markets	8
A statistical test of market efficiency based on information theory	8
Stock market prediction based on adaptive training algorithm in machine learning	8
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	7
Forecasting crude oil prices: do technical indicators need economic constraints?	7
A two-step framework for arbitrage-free prediction of the implied volatility surface	7
Delta hedging bitcoin options with a smile	7
Integrating prediction in mean-variance portfolio optimization	7
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	7
Distributionally robust portfolio optimization with linearized STARR performance measure	7
Forecasting interval-valued crude oil prices using asymmetric interval models	7
The Hull–White model under volatility uncertainty	7
Sparse index clones via the sorted ℓ1-Norm	7
The effects of errors in means, variances, and correlations on the mean-variance framework	7
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	7
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution	6
On detecting spoofing strategies in high-frequency trading	6
AI-driven liquidity provision in OTC financial markets	6
Graph theoretical representations of equity indices and their centrality measures	6
Pricing electricity day-ahead cap futures with multifactor skew-t densities	6
Equal risk pricing and hedging of financial derivatives with convex risk measures	6
Coherent portfolio performance ratios	6
A data-driven deep learning approach for options market making	6
Are missing values important for earnings forecasts? A machine learning perspective	6
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics	6
Liquidity fluctuations and the latent dynamics of price impact	6
The SINC way: a fast and accurate approach to Fourier pricing	6
Drawdown beta and portfolio optimization	6
Kelly investing with downside risk control in a regime-switching market	6
The EWMA Heston model	6
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing	6
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	6
Robust portfolio rebalancing with cardinality and diversification constraints	5
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	5
A new representation of the risk-neutral distribution and its applications	5
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling	5

W-shaped implied volatility curves and the Gaussian mixture model	5
The timing of debt renegotiation and its implications for irreversible investment and capital structure	5
The contagion of extreme risks between fossil and green energy markets: evidence from China	5
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	5
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model	5
A reinforcement learning approach to optimal execution	5
Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model	5
Horizon effect on optimal retirement decision	5
Pairs trading with general state space models	5
Weighted variance swaps hedge against impermanent loss	4
Tempered stable processes with time-varying exponential tails	4
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	4
Supervised portfolios	4
Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics	4
Risk contributions of lambda quantiles*	4
Optimal reinsurance-investment with loss aversion under rough Heston model	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
The reinforcement learning Kelly strategy	4
On an irreversible investment problem with two-factor uncertainty	4
A generative model of a limit order book using recurrent neural networks	4
An unsupervised deep learning approach to solving partial integro-differential equations	4
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	4
Fin-GAN: forecasting and classifying financial time series via generative adversarial networks	4
Portfolio optimization with a prescribed terminal wealth distribution	4
Cryptocurrencies change everything	4
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	4
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’	4
Estimating time-varying risk aversion from option prices and realized returns	4
Leveraged funds: robust replication and performance evaluation	3
Pricing Asian options with stochastic convenience yield and jumps	3
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	3
Optimal characteristic portfolios	3
Peer effects in professional analysts’ choice of their portfolio of companies	3
Life insurance surrender and liquidity risks	3
Hedging cryptos with Bitcoin futures	3
Classification of flash crashes using the Hawkes(p,q)framework	3
Optimal solution of the liquidation problem under execution and price impact risks	3
When do systematic strategies decay?	3
On the optimal forecast with the fractional Brownian motion	3
Myopic robust index tracking with Bregman divergence	3
How does bank credit affect the shape of business groups' internal capital markets?	3
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	3
Lifetime consumption and investment with housing, deferred annuities and home equity release	3
Optimal asset allocation for commodity sovereign wealth funds	3
A note on spurious model selection	3
A neuro-structural framework for bankruptcy prediction	3
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	3
Stationary Heston model: calibration and pricing of exotics using product recursive quantization	3
The inelastic market hypothesis: a microstructural interpretation	3
Implied Markov transition matrices under structural price models	3
Distributionally robust end-to-end portfolio construction	3
The optimal payoff for a Yaari investor	3
‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets	3
Moments of integrated exponential Lévy processes and applications to Asian options pricing	3
Call auction, continuous trading and closing price formation	3
Bond market completeness under stochastic strings with distribution-valued strategies	3
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing	2
Vulnerability-CoVaR: investigating the crypto-market	2
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution	2
QuantNet: transferring learning across trading strategies	2
A general approach for lookback option pricing under Markov models	2
When do two- or three-fund separation theorems hold?	2
Dynamic core-satellite investing using higher order moments: an explicit solution	2
Robust portfolios with commodities and stochastic interest rates	2
Performance measurement for option portfolios in a stochastic volatility framework	2
Technical analysis as a sentiment barometer and the cross-section of stock returns	2
Multivariate quadratic Hawkes processes—part I: theoretical analysis	2
Sparse index tracking using sequential Monte Carlo	2
A transform-based method for pricing Asian options under general two-dimensional models	2
On the investment strategies in occupational pension plans	2
Errata: Instantaneous Portfolio theory	2
On parametric optimal execution and machine learning surrogates	2
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	2
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	2
Kurtosis-based risk parity: methodology and portfolio effects	2
Price impact on term structure	2
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)	2
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2
Multivariate systemic risk measures and computation by deep learning algorithms	2

Cryptocurrency factor momentum	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Tile test for back-testing risk evaluation	2
Transaction cost analytics for corporate bonds	2
A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects	2
SABR equipped with AI wings	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Analysis and modeling of client order flow in limit order markets	2
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	2
Stable dividends under linear-quadratic optimisation	2
No arbitrage global parametrization for the eSSVI volatility surface	2
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	2
International portfolio choice under multi-factor stochastic volatility	2
The economics of time as it is embedded in the prices of options§	2
Cheapest-to-deliver collateral: a common factor approach	2
Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis	2
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis	2
A generalized heterogeneous autoregressive model using market information	2
Decomposing LIBOR in transition: evidence from the futures markets	2
Deep differentiable reinforcement learning and optimal trading	2
Learning a functional control for high-frequency finance	2
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	2
Quantification of risk in classical models of finance	2
A generalized Esscher transform for option valuation with regime switching risk	2
Closed-form option pricing for exponential Lévy models: a residue approach	2
A simple robust asset pricing model under statistical ambiguity	2
Modeling price clustering in high-frequency prices	2
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators	1
Deep calibration with random grids	1
Coupled GARCH(1,1) model	1
Proof of non-convergence of the short-maturity expansion for the SABR model	1
Learning the dynamics of technical trading strategies	1
A subdiffusive stochastic volatility jump model	1
Adaptive online mean-variance portfolio selection with transaction costs	1
Antinoise in U.S. equity markets	1
Correction	1
Optimal asset allocation under search frictions and stochastic interest rate	1
High-dimensional realized covariance estimation: a parametric approach	1
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	1
VIX pricing in the rBergomi model under a regime switching change of measure	1
Market making with inventory control and order book information	1
Valuation of options under a constant elasticity of variance process and stochastic volatility	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
JDOI variance reduction method and the pricing of American-style options	1
Reduction of estimation error impact in the risk parity strategies	1
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures	1
CMS spread options	1
f-Betas and portfolio optimization with f-divergence induced risk measures	1
Weak approximations and VIX option price expansions in forward variance curve models	1
A deep learning approach to estimating fill probabilities in a limit order book	1
Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing	1
Applied Econometrics	1
Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics	1
Lattice-based hedging schemes under GARCH models	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Callable barrier reverse convertible securities	1
GPT's idea of stock factors	1
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity	1
The impact of CoCo bonds on systemic risk considering liquidity risk	1
Pricing commodity index options	1
Risk sharing with deep neural networks	1
Funding shortages, expectations, and forward rate risk premium	1
Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle	1
The volatility risk premium in the oil market	1
Portfolio insurers and constant weight traders: who will survive?	1
Some analytical results on bivariate stable distributions with an application in operational risk	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	1
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
On prices and returns in commercial prediction markets	1
Portfolios of value and momentum: disappointment aversion and non-normalities	1
Informative option portfolios in filter design for option pricing models	1
Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing	1
Simulated Greeks for American options	1
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	1
High-dimensional sparse index tracking based on a multi-step convex optimization approach	1
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	1
Bayesian estimation of electricity price risk with a multi-factor mixture of densities	1
Variance reduction for risk measures with importance sampling in nested simulation	1
Robust control in a rough environment	1
Static replication of European standard dispersion options	1
Computation of expected shortfall by fast detection of worst scenarios	1
Continuous-time stochastic mutual fund management game between active and passive funds	1
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	1
Optimal trading with transaction costs and short-term predictability	1
Book review	1
Cooperation between independent market makers	1
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	1