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 2020-11-01 to 2024-11-01.)

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
Backtesting expected shortfall and beyond	11
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
Why has the equal weight portfolio underperformed and what can we do about it?	10
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
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
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
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
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
Pairs trading with general state space models	5
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
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	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
Supervised portfolios	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
On an irreversible investment problem with two-factor uncertainty	4
Cryptocurrencies change everything	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
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
Portfolio optimization with a prescribed terminal wealth distribution	4
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
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