OOIR: Observatory of International Research

Papers

(The TQCC of Quantitative Finance is 3. 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 2021-02-01 to 2025-02-01.)

Article	Citations
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	59
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	37
A Tour of C++, Third Edition	34
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	27
NN de-Americanization: an efficient method to facilitate calibration of American-style options	24
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	19
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	19
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	19
A simple robust asset pricing model under statistical ambiguity	18
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market	18
Book review	17
Optimal trading and competition with information in the price impact model	16
Classification of flash crashes using the Hawkes(p,q)framework	16
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	13
Regime-switching affine term structures	12
Fin-GAN: forecasting and classifying financial time series via generative adversarial networks	11
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency	11
Deep impulse control: application to interest rate intervention	11
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	11
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	11
Multivariate quadratic Hawkes processes—part I: theoretical analysis	10
Errata: Instantaneous Portfolio theory	10
Portfolio and reinsurance optimization under unknown market price of risk	10
Market Microstructure in Practice	10
CMS spread options	10

A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects	9
Bitcoin, currencies, and fragility	9
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	9
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	9
A generalized Esscher transform for option valuation with regime switching risk	9
Model-based approach for scenario design: stress test severity and banks' resiliency	9
Supervised portfolios	9
Weak approximations and VIX option price expansions in forward variance curve models	9
The role of fleeting orders on option expiration days	9
Portfolio optimization with a prescribed terminal wealth distribution	8
Equal risk pricing and hedging of financial derivatives with convex risk measures	8
Pricing electricity day-ahead cap futures with multifactor skew-t densities	8
Liquidity fluctuations and the latent dynamics of price impact	8
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	8
Optimal asset allocation for outperforming a stochastic benchmark target	8
Quantum Machine Learning and Optimisation in Finance	8
A neuro-structural framework for bankruptcy prediction	8
On an irreversible investment problem with two-factor uncertainty	7
Islamic Banking and Finance, Second Edition	7
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	7
Risk conscious investment	7
Effective stochastic local volatility models	7
A study on asset price bubble dynamics: explosive trend or quadratic variation?	7
A transform-based method for pricing Asian options under general two-dimensional models	7
Forecasting the equity premium: can machine learning beat the historical average?	7
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	7
Consistent curves in the -world: optimal bonds portfolio	7
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	7
Optimal reinsurance under a new design: two layers and multiple reinsurers	7
Financial Modeling in Commodity Markets	6
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	6
A new representation of the risk-neutral distribution and its applications	6
Short-dated smile under rough volatility: asymptotics and numerics	6
Optimal stop-loss rules in markets with long-range dependence	6
Counting jumps: does the counting process count?	6
The reinforcement learning Kelly strategy	6
Risk measures based on weak optimal transport	6
Dynamic quantile function models	6
Implied roughness in the term structure of oil market volatility	6
Price dynamics with circuit breakers	6
Can volatility solve the naive portfolio puzzle?	6
Reduction of estimation error impact in the risk parity strategies	6
Risk sharing with deep neural networks	6
An adaptive dynamical model of default contagion	6
In memoriam Peter Carr	5
Computation of expected shortfall by fast detection of worst scenarios	5
Bond indifference prices	5
Hedging error as generalized timing risk	5
Causal Factor Investing	5
Decomposing LIBOR in transition: evidence from the futures markets	5

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing	5
Valuing real options with endogenous payoff	5
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	5
Bayesian estimation of electricity price risk with a multi-factor mixture of densities	5
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	5
Hedging cryptos with Bitcoin futures	5
Persistence of jump-induced tail risk and limits to arbitrage	5
Portfolio insurers and constant weight traders: who will survive?	5
Market making with inventory control and order book information	4
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	4
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	4
A semi-parametric dynamic conditional correlation framework for risk forecasting	4
High-dimensional macroeconomic stress testing of corporate recovery rate	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	4
Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle	4
Media trading groups and short selling manipulation	4
Algorithmic trading of real-time electricity with machine learning	4
A note on spurious model selection	4
Optimal portfolio allocation and asset centrality revisited	4
Optimal hedging with variational preferences under convex risk measures	4
Robust portfolios with commodities and stochastic interest rates	4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	4
Horizon effect on optimal retirement decision	4
Risk-free rate caplets pricing by CTMC approximation	4
Multivariate systemic risk measures and computation by deep learning algorithms	4
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics	4
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis	4
Robust control in a rough environment	4
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models	3
Risk factor aggregation and stress testing	3
Tempered stable processes with time-varying exponential tails	3
Cryptocurrency factor momentum	3
An investigation of cryptocurrency data: the market that never sleeps	3
Call auction, continuous trading and closing price formation	3
Optimal asset allocation for commodity sovereign wealth funds	3
Deep Learning: Foundations and Concepts	3
Virtual Barrels: Quantitative Trading in the Oil Market	3
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	3
What is the value of the cross-sectional approach to deep reinforcement learning?	3
Are missing values important for earnings forecasts? A machine learning perspective	3
Dynamic core-satellite investing using higher order moments: an explicit solution	3
A generalized heterogeneous autoregressive model using market information	3
Moments of integrated exponential Lévy processes and applications to Asian options pricing	3
Estimation risk and the implicit value of index-tracking	3
Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis	3
Optimal trade execution for Gaussian signals with power-law resilience	3
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	3
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	3
The EWMA Heston model	3
Smiles in delta	3
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	3
Forecasting crude oil prices: do technical indicators need economic constraints?	3
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	3
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	3
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	3
Pairs trading under delayed cointegration	3