Quantitative Finance

Papers
(The H4-Index of Quantitative Finance is 16. 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 2022-01-01 to 2026-01-01.)
ArticleCitations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants53
Price dynamics with circuit breakers50
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas44
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty32
Trading TP 2 option violations30
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics22
α -threshold networks in credit risk models21
A market resilient data-driven approach to option pricing21
Weak approximations and VIX option price expansions in forward variance curve models19
Special Issue on XXIV Workshop on Quantitative Finance19
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)19
A study on asset price bubble dynamics: explosive trend or quadratic variation?18
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality18
Optimal trading and competition with information in the price impact model18
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)17
Persistence of jump-induced tail risk and limits to arbitrage17
Can volatility solve the naive portfolio puzzle?16
Pairs trading under delayed cointegration16
How does liquidity shape the yield curve?16
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