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›
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Quantitative Finance
›
Top Articles
Quantitative Finance
1.6
(top 10%)
Impact Factor
1.8
(top 10%)
extended IF
79
(top 5%)
H-Index
1K
authors
2.2K
papers
34.9K
citations
2.2K
citing journals
8K
citing authors
Most Cited Articles of Quantitative Finance
Title
Year
Citations
Empirical properties of asset returns: stylized facts and statistical issues
2001
1.4K
Network topology of the interbank market
2004
480
What good is a volatility model?
2001
355
Dependence structures for multivariate high-frequency data in finance
2003
288
Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
2004
284
Empirical modelling of contagion: a review of methodologies
2005
280
Optimal execution strategies in limit order books with general shape functions
2010
243
Multi-scaling in finance
2007
242
Volatility is rough
2018
217
Dynamics of implied volatility surfaces
2002
213
No-dynamic-arbitrage and market impact
2010
210
What really causes large price changes?
2004
203
High-frequency trading in a limit order book
2008
202
Financial markets as nonlinear adaptive evolutionary systems
2001
201
Statistical properties of stock order books: empirical results and models
2002
201
Econophysics review: I. Empirical facts
2011
200
Statistical theory of the continuous double auction
2003
199
Portfolio selection with higher moments
2010
198
Optimal positioning in derivative securities
2001
194
Information and option pricings
2001
194
Robustness and sensitivity analysis of risk measurement procedures
2010
185
Pairs trading
2005
181
An exact and explicit solution for the valuation of American put options
2006
172
Infectious defaults
2001
164
High-frequency cross-correlation in a set of stocks
2001
161
previous
2002
2003
2004
How are inpact factors calculated?
The impact factor (IF) is calculated by counting citations from peer-reviewed journals only.
extended IF
also counts citations from books and conference papers. However, no patent, abstract, working papers, online documents, etc., are covered.
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