Quantitative Finance

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41.9K(top 10%)

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88(top 5%)

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1.5(top 50%)

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2.8K

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52.0K

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140(top 5%)

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Top Articles

#	Title	Journal	Year	Citations
1	Empirical properties of asset returns: stylized facts and statistical issues	Quantitative Finance	2001	2,043
2	Network topology of the interbank market	Quantitative Finance	2004	654
3	What good is a volatility model?	Quantitative Finance	2001	474
4	Volatility is rough	Quantitative Finance	2018	399
5	Empirical modelling of contagion: a review of methodologies	Quantitative Finance	2005	396
6	Dependence structures for multivariate high-frequency data in finance	Quantitative Finance	2003	347
7	Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes	Quantitative Finance	2004	346
8	Dynamics of implied volatility surfaces	Quantitative Finance	2002	326
9	Optimal execution strategies in limit order books with general shape functions	Quantitative Finance	2010	318
10	Portfolio selection with higher moments	Quantitative Finance	2010	315
11	Multi-scaling in finance	Quantitative Finance	2007	309
12	Optimal positioning in derivative securities	Quantitative Finance	2001	304
13	High-frequency trading in a limit order book	Quantitative Finance	2008	303
14	Robustness and sensitivity analysis of risk measurement procedures	Quantitative Finance	2010	298
15	No-dynamic-arbitrage and market impact	Quantitative Finance	2010	283
16	Econophysics review: I. Empirical facts	Quantitative Finance	2011	265
17	Pricing under rough volatility	Quantitative Finance	2016	265
18	Pairs trading	Quantitative Finance	2005	262
19	Statistical properties of stock order books: empirical results and models	Quantitative Finance	2002	254
20	Statistical theory of the continuous double auction	Quantitative Finance	2003	251
21	What really causes large price changes?	Quantitative Finance	2004	244
22	Financial markets as nonlinear adaptive evolutionary systems	Quantitative Finance	2001	241
23	Information and option pricings	Quantitative Finance	2001	230
24	Statistical arbitrage in the US equities market	Quantitative Finance	2010	230
25	A comparison of biased simulation schemes for stochastic volatility models	Quantitative Finance	2010	227
26	Financial literacy and portfolio diversification	Quantitative Finance	2010	216
27	A simulation analysis of the microstructure of double auction markets*	Quantitative Finance	2002	215
28	Modelling microstructure noise with mutually exciting point processes	Quantitative Finance	2013	212
29	High-frequency cross-correlation in a set of stocks	Quantitative Finance	2001	211
30	Empirical properties of asset returns: stylized facts and statistical issues	Quantitative Finance	2001	208
31	Econophysics review: II. Agent-based models	Quantitative Finance	2011	205
32	Infectious defaults	Quantitative Finance	2001	202
33	An exact and explicit solution for the valuation of American put options	Quantitative Finance	2006	200
34	Significance of log-periodic precursors to financial crashes	Quantitative Finance	2001	195
35	Ambiguity in portfolio selection	Quantitative Finance	2007	193
36	Limit order books	Quantitative Finance	2013	191
37	Filling in the blanks: network structure and interbank contagion	Quantitative Finance	2015	191
38	The multiplex structure of interbank networks	Quantitative Finance	2015	185
39	Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints	Quantitative Finance	2001	178
40	A spot market model for pricing derivatives in electricity markets	Quantitative Finance	2004	176
41	Extreme risk spillover network: application to financial institutions	Quantitative Finance	2017	175
42	Systematic risk and timescales	Quantitative Finance	2003	174
43	Deep hedging	Quantitative Finance	2019	167
44	A multifactor volatility Heston model	Quantitative Finance	2008	166
45	Asset price and wealth dynamics under heterogeneous expectations	Quantitative Finance	2001	164
46	Probability distribution of returns in the Heston model with stochastic volatility*	Quantitative Finance	2002	164
47	Testing the Gaussian copula hypothesis for financial assets dependences	Quantitative Finance	2003	163
48	Dynamical pricing of weather derivatives	Quantitative Finance	2002	160
49	Stochastic volatility as a simple generator of apparent financial power laws and long memory	Quantitative Finance	2001	151
50	Leverage causes fat tails and clustered volatility	Quantitative Finance	2012	150

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