Quantitative Finance

Article	Citations
Quant GANs: deep generation of financial time series	107
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies	42
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models	41
Multilayer information spillover networks: measuring interconnectedness of financial institutions	39
Bitcoin, currencies, and fragility	31
Volatility has to be rough	31
Jumps and oil futures volatility forecasting: a new insight	27
Generative adversarial networks for financial trading strategies fine-tuning and combination	26
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market	26
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions	24
Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?	22
A neural network approach to understanding implied volatility movements	21
Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction	21
Optimal investment strategy in the family of 4/2 stochastic volatility models	18
Implied volatility directional forecasting: a machine learning approach	17
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty	16
G-expected utility maximization with ambiguous equicorrelation	16
Equal risk pricing of derivatives with deep hedging	16
XVA analysis from the balance sheet	15
High-dimensional index tracking based on the adaptive elastic net	15
An investigation of cryptocurrency data: the market that never sleeps	15
Forecasting with fractional Brownian motion: a financial perspective	14
Inversion of convex ordering in the VIX market	13
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model	12
Multivariate continuous-time modeling of wind indexes and hedging of wind risk	12

Macroeconomic fundamentals, jump dynamics and expected volatility	12
Pricing American options by exercise rate optimization	12
Optimal trade execution for Gaussian signals with power-law resilience	11
State-dependent Hawkes processes and their application to limit order book modelling	11
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	11
A practical guide to robust portfolio optimization	11
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations	11
Algorithmic trading in a microstructural limit order book model	10
Mean–variance portfolio selection under partial information with drift uncertainty	10
Stock volatility predictability in bull and bear markets	10
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue	10
Forward or backward simulation? A comparative study	10
Option hedging using LSTM-RNN: an empirical analysis	10
A Markov chain approximation scheme for option pricing under skew diffusions	10
Unveiling the relation between herding and liquidity with trader lead-lag networks	10
Volatility is (mostly) path-dependent	10
Stock-specific sentiment and return predictability	10
Forward-looking portfolio selection with multivariate non-Gaussian models	10
Algorithmic market making for options	9
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes	9
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes	9
Quantitative statistical robustness for tail-dependent law invariant risk measures	9
A cost-effective approach to portfolio construction with range-based risk measures	9
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect	9
Active and passive portfolio management with latent factors	9
Effects of a government subsidy and labor flexibility on portfolio selection and retirement	8
Explicit option valuation in the exponential NIG model	8
Neural network-based automatic factor construction	8
An agent-based model for the assessment of LTV caps	8
How to build a cross-impact model from first principles: theoretical requirements and empirical results	8
Empirical deep hedging	8
Dynamic patterns of daily lead-lag networks in stock markets	8
A functional analysis approach to the static replication of European options	7
Backtesting expected shortfall and beyond	7
Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime	7
Optimal asset allocation for outperforming a stochastic benchmark target	7
Shock amplification in financial networks with applications to the CCP feasibility	7
Stock market prediction based on adaptive training algorithm in machine learning	7
Short-dated smile under rough volatility: asymptotics and numerics	7
Accelerated share repurchase and other buyback programs: what neural networks can bring	7
Uncertainty shocks of Trump election in an interval model of stock market	7
Additive normal tempered stable processes for equity derivatives and power-law scaling	7
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics	7
Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network	7
Drawdown beta and portfolio optimization	6
A statistical test of market efficiency based on information theory	6
The Hull–White model under volatility uncertainty	6
Deep learning for ranking response surfaces with applications to optimal stopping problems	6
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	6
Identifying the influential factors of commodity futures prices through a new text mining approach	6

What is the value of the cross-sectional approach to deep reinforcement learning?	6
Equal risk pricing and hedging of financial derivatives with convex risk measures	6
Speed-up credit exposure calculations for pricing and risk management	6
The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets	6
Sparse index clones via the sorted ℓ1-Norm	6
Forecasting crude oil prices: do technical indicators need economic constraints?	6
Liquidity fluctuations and the latent dynamics of price impact	5
A two-step framework for arbitrage-free prediction of the implied volatility surface	5
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution	5
Robust deep hedging	5
Improvements in estimating the probability of informed trading models	5
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	5
Graph theoretical representations of equity indices and their centrality measures	5
Design of adaptive Elman networks for credit risk assessment	5
Are missing values important for earnings forecasts? A machine learning perspective	5
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	5
The SINC way: a fast and accurate approach to Fourier pricing	5
Distributionally robust portfolio optimization with linearized STARR performance measure	5
A fast algorithm for simulation of rough volatility models	5
Modeling and solving portfolio selection problems based on PVaR	5
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models	5
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing	5
Optimal portfolio allocation and asset centrality revisited	5
Are trading invariants really invariant? Trading costs matter	5
Cross-impact of order flow imbalance in equity markets	5
A data-driven explainable case-based reasoning approach for financial risk detection	5
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model	5
Kelly investing with downside risk control in a regime-switching market	5
Why has the equal weight portfolio underperformed and what can we do about it?	5
Estimation risk and the implicit value of index-tracking	5
A new representation of the risk-neutral distribution and its applications	5
Artificial neural network for option pricing with and without asymptotic correction	4
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics	4
Pricing electricity day-ahead cap futures with multifactor skew-t densities	4
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	4
Cryptocurrencies change everything	4
The information content of high-frequency traders aggressive orders: recent evidence	4
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’	4
The timing of debt renegotiation and its implications for irreversible investment and capital structure	4
Optimal and equilibrium execution strategies with generalized price impact	4
The EWMA Heston model	4
Effective stochastic volatility: applications to ZABR-type models	4
Martingale transport with homogeneous stock movements	4
Portfolio optimization with a prescribed terminal wealth distribution	4
On detecting spoofing strategies in high-frequency trading	4
Bitcoin: jumps, convenience yields, and option prices	4
AI-driven liquidity provision in OTC financial markets	4
A note on - vs. -expected loss portfolio constraints	4
Horizon effect on optimal retirement decision	4
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree	4
Pairs trading under delayed cointegration	4
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences	4
Static replication of barrier-type options via integral equations	4
Optimal market making in the presence of latency	4
Robust portfolio rebalancing with cardinality and diversification constraints	4
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models	4
A reinforcement learning approach to optimal execution	3
Index volatility and the put-call ratio: a tale of three markets	3
Volatility information difference between CDS, options, and the cross section of options returns	3
The impact of US macroeconomic news announcements on Chinese commodity futures	3
Tempered stable processes with time-varying exponential tails	3
On an irreversible investment problem with two-factor uncertainty	3
Efficient computation of mean reverting portfolios using cyclical coordinate descent	3
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling	3
Implied Markov transition matrices under structural price models	3
An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes	3
Pairs trading with general state space models	3
Life insurance surrender and liquidity risks	3
From risk bearing to propheteering	3
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	3
Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options	3
The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments	3
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	3
Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics	3
A data-driven deep learning approach for options market making	3
Time-frequency forecast of the equity premium	3
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior	3
Lifetime consumption and investment with housing, deferred annuities and home equity release	3
Delta hedging bitcoin options with a smile	3
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	3

Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model	3
Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units	3
Supervised portfolios	3
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	3
Coherent portfolio performance ratios	3
An options-pricing approach to election prediction	3
Forecasting interval-valued crude oil prices using asymmetric interval models	3
Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series	3
High-Dimensional Probability: An Introduction with Applications in Data Science	3
The optimal payoff for a Yaari investor	2
‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets	2
Call auction, continuous trading and closing price formation	2
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	2
Stochastic Flows and Jump-Diffusions	2
When do two- or three-fund separation theorems hold?	2
Optimal solution of the liquidation problem under execution and price impact risks	2
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process	2
Modelling the joint behaviour of electricity prices in interconnected markets	2
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	2
Fractional stochastic volatility correction to CEV implied volatility	2
Robust statistical arbitrage strategies	2
An unsupervised deep learning approach to solving partial integro-differential equations	2
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	2
Performance measurement for option portfolios in a stochastic volatility framework	2
How does bank credit affect the shape of business groups' internal capital markets?	2
Effects of intervaling on high-frequency realized higher-order moments	2
Optimal reinsurance-investment with loss aversion under rough Heston model	2
Peer effects in professional analysts’ choice of their portfolio of companies	2
Optimal characteristic portfolios	2
Sparse index tracking using sequential Monte Carlo	2
Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model	2
Optimal asset allocation for commodity sovereign wealth funds	2
A generalized Esscher transform for option valuation with regime switching risk	2
Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis	2
When do systematic strategies decay?	2
Classification of flash crashes using the Hawkes(p,q)framework	2
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2
Book review	2
Multivariate systemic risk measures and computation by deep learning algorithms	2
International portfolio choice under multi-factor stochastic volatility	2
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	2
Tile test for back-testing risk evaluation	2
Risk contributions of lambda quantiles*	2
Learning a functional control for high-frequency finance	2
The market nanostructure origin of asset price time reversal asymmetry	2
Closed-form option pricing for exponential Lévy models: a residue approach	2
Markovian approximations of stochastic Volterra equations with the fractional kernel	2
Decomposing LIBOR in transition: evidence from the futures markets	2
Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective	2
A simple robust asset pricing model under statistical ambiguity	2
Realized higher-order comoments	2
A transform-based method for pricing Asian options under general two-dimensional models	2
Cheapest-to-deliver collateral: a common factor approach	2
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	2
Errata: Instantaneous Portfolio theory	2
Weighted variance swaps hedge against impermanent loss	2
Price impact on term structure	2
Hedging housing price risks: some empirical evidence from the US	2
Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities	2
Pricing and hedging performance on pegged FX markets based on a regime switching model	2
Clearing price distributions in call auctions	2
Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness	2
W-shaped implied volatility curves and the Gaussian mixture model	2
Mean-variance portfolio selection with non-negative state-dependent risk aversion	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects	1
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators	1
Vulnerability-CoVaR: investigating the crypto-market	1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	1
Chinese write-down bonds: issuance and bank capital structure	1
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	1
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis	1
Portfolio insurers and constant weight traders: who will survive?	1
Robust control in a rough environment	1
Model-based approach for scenario design: stress test severity and banks' resiliency	1
CMS spread options	1
Weak approximations and VIX option price expansions in forward variance curve models	1
On the investment strategies in occupational pension plans	1
Kurtosis-based risk parity: methodology and portfolio effects	1
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	1
Integrating prediction in mean-variance portfolio optimization	1
Computation of expected shortfall by fast detection of worst scenarios	1
A generalized heterogeneous autoregressive model using market information	1
A note on spurious model selection	1
Bayesian estimation of electricity price risk with a multi-factor mixture of densities	1
The reinforcement learning Kelly strategy	1
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	1
Risk management of deposit insurance corporations with risk-based premiums and credit default swaps	1
Modeling price clustering in high-frequency prices	1
The impact of CoCo bonds on systemic risk considering liquidity risk	1
QuantNet: transferring learning across trading strategies	1
Market impact: a systematic study of the high frequency options market	1
Market making with inventory control and order book information	1
Robust portfolios with commodities and stochastic interest rates	1
Reduction of estimation error impact in the risk parity strategies	1