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 2020-07-01 to 2024-07-01.)

Article	Citations
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models	49
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies	48
Multilayer information spillover networks: measuring interconnectedness of financial institutions	47
Bitcoin, currencies, and fragility	36
Volatility has to be rough	35
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market	33
Jumps and oil futures volatility forecasting: a new insight	31
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions	28
Generative adversarial networks for financial trading strategies fine-tuning and combination	28
Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?	27
Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction	24
Implied volatility directional forecasting: a machine learning approach	24
Volatility is (mostly) path-dependent	21
An investigation of cryptocurrency data: the market that never sleeps	19
State-dependent Hawkes processes and their application to limit order book modelling	19
Optimal investment strategy in the family of 4/2 stochastic volatility models	18
Equal risk pricing of derivatives with deep hedging	18
G-expected utility maximization with ambiguous equicorrelation	16
Forecasting with fractional Brownian motion: a financial perspective	15
XVA analysis from the balance sheet	15
A practical guide to robust portfolio optimization	15
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	14
Optimal trade execution for Gaussian signals with power-law resilience	13
Option hedging using LSTM-RNN: an empirical analysis	12
Multivariate continuous-time modeling of wind indexes and hedging of wind risk	12

Pricing American options by exercise rate optimization	12
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue	12
A Markov chain approximation scheme for option pricing under skew diffusions	11
A cost-effective approach to portfolio construction with range-based risk measures	11
Mean–variance portfolio selection under partial information with drift uncertainty	11
Empirical deep hedging	10
How to build a cross-impact model from first principles: theoretical requirements and empirical results	10
Unveiling the relation between herding and liquidity with trader lead-lag networks	10
Uncertainty shocks of Trump election in an interval model of stock market	10
Active and passive portfolio management with latent factors	10
A functional analysis approach to the static replication of European options	9
Backtesting expected shortfall and beyond	9
Quantitative statistical robustness for tail-dependent law invariant risk measures	9
Optimal portfolio allocation and asset centrality revisited	9
Explicit option valuation in the exponential NIG model	9
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect	9
Neural network-based automatic factor construction	9
Optimal asset allocation for outperforming a stochastic benchmark target	9
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes	9
Bitcoin: jumps, convenience yields, and option prices	9
Algorithmic market making for options	9
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes	9
A data-driven explainable case-based reasoning approach for financial risk detection	8
Dynamic patterns of daily lead-lag networks in stock markets	8
Effects of a government subsidy and labor flexibility on portfolio selection and retirement	8
Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime	8
Cross-impact of order flow imbalance in equity markets	8
Robust deep hedging	8
A note on - vs. -expected loss portfolio constraints	8
Estimation risk and the implicit value of index-tracking	8
Additive normal tempered stable processes for equity derivatives and power-law scaling	8
Stock market prediction based on adaptive training algorithm in machine learning	8
Short-dated smile under rough volatility: asymptotics and numerics	8
Graph theoretical representations of equity indices and their centrality measures	7
Integrating prediction in mean-variance portfolio optimization	7
The Hull–White model under volatility uncertainty	7
Design of adaptive Elman networks for credit risk assessment	7
Why has the equal weight portfolio underperformed and what can we do about it?	7
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics	7
What is the value of the cross-sectional approach to deep reinforcement learning?	7
Identifying the influential factors of commodity futures prices through a new text mining approach	7
Sparse index clones via the sorted ℓ₁-Norm	7
The SINC way: a fast and accurate approach to Fourier pricing	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
Kelly investing with downside risk control in a regime-switching market	6
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	6
Forecasting crude oil prices: do technical indicators need economic constraints?	6
Liquidity fluctuations and the latent dynamics of price impact	6
Distributionally robust portfolio optimization with linearized STARR performance measure	6

Forecasting interval-valued crude oil prices using asymmetric interval models	6
Markovian approximations of stochastic Volterra equations with the fractional kernel	6
A fast algorithm for simulation of rough volatility models	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
Equal risk pricing and hedging of financial derivatives with convex risk measures	6
Drawdown beta and portfolio optimization	6
A two-step framework for arbitrage-free prediction of the implied volatility surface	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
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models	6
Pairs trading under delayed cointegration	6
Artificial neural network for option pricing with and without asymptotic correction	6
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model	5
Modeling and solving portfolio selection problems based on PVaR	5
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	5
On detecting spoofing strategies in high-frequency trading	5
AI-driven liquidity provision in OTC financial markets	5
Improvements in estimating the probability of informed trading models	5
Horizon effect on optimal retirement decision	5
Martingale transport with homogeneous stock movements	5
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution	5
Robust portfolio rebalancing with cardinality and diversification constraints	5
The EWMA Heston model	5
A new representation of the risk-neutral distribution and its applications	5
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	5
Cryptocurrencies change everything	4
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling	4
A data-driven deep learning approach for options market making	4
Delta hedging bitcoin options with a smile	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	4
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	4
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences	4
Static replication of barrier-type options via integral equations	4
Time-frequency forecast of the equity premium	4
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior	4
Index volatility and the put-call ratio: a tale of three markets	4
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	4
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree	4
Supervised portfolios	4
Portfolio optimization with a prescribed terminal wealth distribution	4
Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics	4
Coherent portfolio performance ratios	4
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’	4
Optimal reinsurance-investment with loss aversion under rough Heston model	4
Volatility information difference between CDS, options, and the cross section of options returns	4
The timing of debt renegotiation and its implications for irreversible investment and capital structure	4
Effective stochastic volatility: applications to ZABR-type models	4
Pricing electricity day-ahead cap futures with multifactor skew-t densities	4
On an irreversible investment problem with two-factor uncertainty	4