Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 14. 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 2021-06-01 to 2025-06-01.)
ArticleCitations
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics43
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas40
Pricing electricity day-ahead cap futures with multifactor skew-t densities40
A generalized Esscher transform for option valuation with regime switching risk32
α -threshold networks in credit risk models26
Price dynamics with circuit breakers25
Special Issue on XXIV Workshop on Quantitative Finance22
Optimal trading and competition with information in the price impact model22
Weak approximations and VIX option price expansions in forward variance curve models20
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality20
A study on asset price bubble dynamics: explosive trend or quadratic variation?19
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)15
Pairs trading under delayed cointegration14
An investigation of cryptocurrency data: the market that never sleeps14
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems14
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