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

TitleYearCitations
Empirical properties of asset returns: stylized facts and statistical issues20011.4K
Network topology of the interbank market2004480
What good is a volatility model?2001355
Dependence structures for multivariate high-frequency data in finance2003288
Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes2004284
Empirical modelling of contagion: a review of methodologies2005280
Optimal execution strategies in limit order books with general shape functions2010243
Multi-scaling in finance2007242
Volatility is rough2018217
Dynamics of implied volatility surfaces2002213
No-dynamic-arbitrage and market impact2010210
What really causes large price changes?2004203
High-frequency trading in a limit order book2008202
Financial markets as nonlinear adaptive evolutionary systems2001201
Statistical properties of stock order books: empirical results and models2002201
Econophysics review: I. Empirical facts2011200
Statistical theory of the continuous double auction2003199
Portfolio selection with higher moments2010198
Optimal positioning in derivative securities2001194
Information and option pricings2001194
Robustness and sensitivity analysis of risk measurement procedures2010185
Pairs trading2005181
An exact and explicit solution for the valuation of American put options2006172
Infectious defaults2001164
High-frequency cross-correlation in a set of stocks2001161