Quantitative Finance

(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 2020-06-01 to 2024-06-01.)
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models47
Multilayer information spillover networks: measuring interconnectedness of financial institutions46
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies45
Bitcoin, currencies, and fragility35
Volatility has to be rough33
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market32
Jumps and oil futures volatility forecasting: a new insight29
Generative adversarial networks for financial trading strategies fine-tuning and combination27
Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?27
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions26
Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction24
Implied volatility directional forecasting: a machine learning approach22
An investigation of cryptocurrency data: the market that never sleeps18
State-dependent Hawkes processes and their application to limit order book modelling18
Optimal investment strategy in the family of 4/2 stochastic volatility models18
Volatility is (mostly) path-dependent17
G-expected utility maximization with ambiguous equicorrelation16
Equal risk pricing of derivatives with deep hedging16
XVA analysis from the balance sheet15
Forecasting with fractional Brownian motion: a financial perspective15
A practical guide to robust portfolio optimization13
Optimal trade execution for Gaussian signals with power-law resilience13
Multivariate continuous-time modeling of wind indexes and hedging of wind risk12
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue12
Pricing American options by exercise rate optimization12
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets12
Option hedging using LSTM-RNN: an empirical analysis11
Mean–variance portfolio selection under partial information with drift uncertainty11
Uncertainty shocks of Trump election in an interval model of stock market10
A Markov chain approximation scheme for option pricing under skew diffusions10
Empirical deep hedging10
A cost-effective approach to portfolio construction with range-based risk measures10
Unveiling the relation between herding and liquidity with trader lead-lag networks10
How to build a cross-impact model from first principles: theoretical requirements and empirical results10
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes9
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect9
Active and passive portfolio management with latent factors9
A functional analysis approach to the static replication of European options9
Quantitative statistical robustness for tail-dependent law invariant risk measures9
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes9
Backtesting expected shortfall and beyond9
Algorithmic market making for options9
Cross-impact of order flow imbalance in equity markets8
Bitcoin: jumps, convenience yields, and option prices8
Neural network-based automatic factor construction8
Short-dated smile under rough volatility: asymptotics and numerics8
Additive normal tempered stable processes for equity derivatives and power-law scaling8
Dynamic patterns of daily lead-lag networks in stock markets8
A note on - vs. -expected loss portfolio constraints8
Optimal portfolio allocation and asset centrality revisited8
Explicit option valuation in the exponential NIG model8
Robust deep hedging8
Effects of a government subsidy and labor flexibility on portfolio selection and retirement8
Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime8
Graph theoretical representations of equity indices and their centrality measures7
The Hull–White model under volatility uncertainty7
Estimation risk and the implicit value of index-tracking7
Identifying the influential factors of commodity futures prices through a new text mining approach7
Stock market prediction based on adaptive training algorithm in machine learning7
Optimal asset allocation for outperforming a stochastic benchmark target7
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics7
Distributionally robust portfolio optimization with linearized STARR performance measure6
A data-driven explainable case-based reasoning approach for financial risk detection6
The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets6
A fast algorithm for simulation of rough volatility models6
Sparse index clones via the sorted ℓ1-Norm6
Are missing values important for earnings forecasts? A machine learning perspective6
Design of adaptive Elman networks for credit risk assessment6
Equal risk pricing and hedging of financial derivatives with convex risk measures6
The SINC way: a fast and accurate approach to Fourier pricing6
Speed-up credit exposure calculations for pricing and risk management6
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks6
A statistical test of market efficiency based on information theory6
Why has the equal weight portfolio underperformed and what can we do about it?6
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics6
Pairs trading under delayed cointegration6
Drawdown beta and portfolio optimization6
Forecasting interval-valued crude oil prices using asymmetric interval models6
Kelly investing with downside risk control in a regime-switching market6
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models6
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?6
What is the value of the cross-sectional approach to deep reinforcement learning?6
Forecasting crude oil prices: do technical indicators need economic constraints?6
Liquidity fluctuations and the latent dynamics of price impact5
On detecting spoofing strategies in high-frequency trading5
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution5
AI-driven liquidity provision in OTC financial markets5
Modeling and solving portfolio selection problems based on PVaR5
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing5
A new representation of the risk-neutral distribution and its applications5
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables5
An options-pricing approach to election prediction5
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model5
Robust portfolio rebalancing with cardinality and diversification constraints5
The EWMA Heston model5
Martingale transport with homogeneous stock movements5
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)5
A two-step framework for arbitrage-free prediction of the implied volatility surface5
Markovian approximations of stochastic Volterra equations with the fractional kernel5
Improvements in estimating the probability of informed trading models5
Artificial neural network for option pricing with and without asymptotic correction5
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series4
The timing of debt renegotiation and its implications for irreversible investment and capital structure4
Horizon effect on optimal retirement decision4
Pricing electricity day-ahead cap futures with multifactor skew-t densities4
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models4
Cryptocurrencies change everything4
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’4
Integrating prediction in mean-variance portfolio optimization4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm4
Effective stochastic volatility: applications to ZABR-type models4
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences4
Portfolio optimization with a prescribed terminal wealth distribution4
Time-frequency forecast of the equity premium4
Delta hedging bitcoin options with a smile4
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics4
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree4
Supervised portfolios4
Rating frailty, Bayesian updates, and portfolio credit risk analysis*4
On an irreversible investment problem with two-factor uncertainty4
Static replication of barrier-type options via integral equations4