OOIR: Observatory of International Research

Papers

(The TQCC of Quantitative Finance is 4. 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 2020-04-01 to 2024-04-01.)

Article	Citations
Quant GANs: deep generation of financial time series	109
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies	44
Multilayer information spillover networks: measuring interconnectedness of financial institutions	42
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models	42
Bitcoin, currencies, and fragility	32
Volatility has to be rough	31
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market	29
Jumps and oil futures volatility forecasting: a new insight	27
Generative adversarial networks for financial trading strategies fine-tuning and combination	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?	23
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
Implied volatility directional forecasting: a machine learning approach	19
Optimal investment strategy in the family of 4/2 stochastic volatility models	18
G-expected utility maximization with ambiguous equicorrelation	16
Equal risk pricing of derivatives with deep hedging	16
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty	16
High-dimensional index tracking based on the adaptive elastic net	15
An investigation of cryptocurrency data: the market that never sleeps	15
XVA analysis from the balance sheet	15
Forecasting with fractional Brownian motion: a financial perspective	14
Inversion of convex ordering in the VIX market	13
A practical guide to robust portfolio optimization	13
State-dependent Hawkes processes and their application to limit order book modelling	13

Pricing American options by exercise rate optimization	12
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
Stock-specific sentiment and return predictability	11
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations	11
Optimal trade execution for Gaussian signals with power-law resilience	11
Volatility is (mostly) path-dependent	11
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	11
Algorithmic trading in a microstructural limit order book model	10
Mean–variance portfolio selection under partial information with drift uncertainty	10
Forward-looking portfolio selection with multivariate non-Gaussian models	10
Forward or backward simulation? A comparative study	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
Unveiling the relation between herding and liquidity with trader lead-lag networks	10
Option hedging using LSTM-RNN: an empirical analysis	10
A Markov chain approximation scheme for option pricing under skew diffusions	10
Accelerated share repurchase and other buyback programs: what neural networks can bring	9
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect	9
Active and passive portfolio management with latent factors	9
A cost-effective approach to portfolio construction with range-based risk measures	9
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
Explicit option valuation in the exponential NIG model	8
An agent-based model for the assessment of LTV caps	8
Effects of a government subsidy and labor flexibility on portfolio selection and retirement	8
Empirical deep hedging	8
Dynamic patterns of daily lead-lag networks in stock markets	8
How to build a cross-impact model from first principles: theoretical requirements and empirical results	8
A functional analysis approach to the static replication of European options	8
Backtesting expected shortfall and beyond	8
Neural network-based automatic factor construction	8
Additive normal tempered stable processes for equity derivatives and power-law scaling	7
Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime	7
Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network	7
Uncertainty shocks of Trump election in an interval model of stock market	7
Stock market prediction based on adaptive training algorithm in machine learning	7
Estimation risk and the implicit value of index-tracking	7
Optimal asset allocation for outperforming a stochastic benchmark target	7
Shock amplification in financial networks with applications to the CCP feasibility	7
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics	7
Short-dated smile under rough volatility: asymptotics and numerics	7
The Hull–White model under volatility uncertainty	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
Drawdown beta and portfolio optimization	6
The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets	6

Identifying the influential factors of commodity futures prices through a new text mining approach	6
Optimal portfolio allocation and asset centrality revisited	6
Pairs trading under delayed cointegration	6
Speed-up credit exposure calculations for pricing and risk management	6
Kelly investing with downside risk control in a regime-switching market	6
Sparse index clones via the sorted ℓ₁-Norm	6
Deep learning for ranking response surfaces with applications to optimal stopping problems	6
Forecasting crude oil prices: do technical indicators need economic constraints?	6
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	6
A statistical test of market efficiency based on information theory	6
Robust portfolio rebalancing with cardinality and diversification constraints	5
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	5
Improvements in estimating the probability of informed trading models	5
Design of adaptive Elman networks for credit risk assessment	5
A new representation of the risk-neutral distribution and its applications	5
Are trading invariants really invariant? Trading costs matter	5
A two-step framework for arbitrage-free prediction of the implied volatility surface	5
The SINC way: a fast and accurate approach to Fourier pricing	5
Bitcoin: jumps, convenience yields, and option prices	5
Robust deep hedging	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
Graph theoretical representations of equity indices and their centrality measures	5
Are missing values important for earnings forecasts? A machine learning perspective	5
Liquidity fluctuations and the latent dynamics of price impact	5
A data-driven explainable case-based reasoning approach for financial risk detection	5
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution	5
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model	5
A fast algorithm for simulation of rough volatility models	5
Why has the equal weight portfolio underperformed and what can we do about it?	5
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics	5
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing	5
Martingale transport with homogeneous stock movements	5
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	5
Cross-impact of order flow imbalance in equity markets	5
Distributionally robust portfolio optimization with linearized STARR performance measure	5
On detecting spoofing strategies in high-frequency trading	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
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree	4
The EWMA Heston model	4
On an irreversible investment problem with two-factor uncertainty	4
Cryptocurrencies change everything	4
Forecasting interval-valued crude oil prices using asymmetric interval models	4
AI-driven liquidity provision in OTC financial markets	4
A note on - vs. -expected loss portfolio constraints	4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	4
Horizon effect on optimal retirement decision	4
Portfolio optimization with a prescribed terminal wealth distribution	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
Integrating prediction in mean-variance portfolio optimization	4
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models	4
Artificial neural network for option pricing with and without asymptotic correction	4
Effective stochastic volatility: applications to ZABR-type models	4
Pricing electricity day-ahead cap futures with multifactor skew-t densities	4
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	4