Quantitative Finance

2001 - 2026

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Reinforcement learning for trade execution with market and limit orders pp. 833-853: Patrick Cheridito and Moritz Weiss
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework pp. 855-877: Guillaume Maitrier and Jean-Philippe Bouchaud
Classifying and clustering trading agents pp. 879-901: Mateusz Wilinski, Anubha Goel, Alexandros Iosifidis and Juho Kanniainen
Noise-robust orthogonal clustering and applications to equity markets pp. 903-930: Rafaël Brutti, Maciej Marowka and Mihai Cucuringu
Machine learning methods for pricing financial derivatives pp. 931-959: Lei Fan and Justin Sirignano
Risk-neutral generative networks pp. 961-980: Zhonghao Xian, Xing Yan, Cheuk Hang Leung and Qi Wu
Forward-looking physical tail risk: a deep learning approach pp. 981-992: Jingyan Zhang, Cong Ma and Wim Schoutens
The impact of green bonds on issuers' environmental performance pp. 993-1015: Yiyang Chen, Christina Erlwein-Sayer, Rogemar Mamon, Fabio Spagnolo and Nicola Spagnolo

Analytical solution for Kelly's criterion for multiple outcomes pp. 671-684: Jan Vecer
Exploring parsimonious principles that unify active portfolio selection (I): model pp. 685-706: Wing Cheung
Exploring parsimonious principles that unify active portfolio selection (II): validation pp. 707-726: Wing Cheung
Expanding the risk horizon: an integrated framework for managing uncertainty and risk in portfolio selection pp. 727-742: Xinyu Huang, David P. Newton, Emmanouil Platanakis and Xiaoxia Ye
Simulation-analytical approach for calculating VaR contributions in credit portfolios pp. 743-759: Jayden Zian Wang, Zhenzhen Huang and Yue Kuen Kwok
Household stock portfolios under sequential search: implications for diversification puzzle and household risk pp. 761-776: Yosef Bonaparte, Frank J. Fabozzi and Gurupdesh Pandher
A Bayesian approach to generating distribution-based signals in pairs trading pp. 777-797: A. Quadros, M. Higgins and B. Silverstein
Pair trading strategies in the cryptoassets market: a cointegration framework with optimized thresholds using genetic algorithms pp. 799-821: Lorette Danilo, Fayssal Jamhamed and Franck Martin
On the measurement of bank vulnerability pp. 823-831: Yuliang Zhang

The ‘double’ square-root law: evidence for the mechanical origin of market impact using Tokyo stock exchange data pp. 491-503: Guillaume Maitrier, Grégoire Loeper, Kiyoshi Kanazawa and Jean-Philippe Bouchaud
Why is the estimation of metaorder impact with public market data so challenging? pp. 505-523: M. Naviglio, G. Bormetti, F. Campigli, G. Rodikov and F. Lillo
Distribution of price and volume in a call auction pp. 525-540: Martin ŠmÍd and AleŠ AntonÌn KubĚna
Detecting toxic flow pp. 541-561: Álvaro Cartea, Gerardo Duran-Martin and Leandro Sánchez-Betancourt
Dimensionality reduction techniques to support insider trading detection pp. 563-591: Adele Ravagnani, Fabrizio Lillo, Paola Deriu, Piero Mazzarisi, Francesca Medda and Antonio Russo
Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion pp. 593-613: Sühan Altay, Katia Colaneri, Zehra Eksi-Altay and Eva Flonner
Surpassing stock market's noise-nonstationarity tradeoff by causal-based domain discovery pp. 615-638: Songci Xu, Chenchen Zhang, Qiangqiang Cheng and Chi-Guhn Lee
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark pp. 639-669: Pieter M. van Staden, Peter A. Forsyth and Yuying Li

Arbitrage filtering of option prices: a simple real-time approach pp. 325-340: Karim Moussa
Stock returns revisited and variances hedged by machine learning pp. 341-354: Dilip B. Madan and King Wang
Leveraging machine learning for high-dimensional option pricing within the uncertain volatility model pp. 355-374: Ludovic Goudenège, Andrea Molent and Antonino Zanette
Analytical approximations for American option pricing under regime-switching models pp. 375-392: Yawen Zheng, Chi Seng Pun and Song-Ping Zhu
Pricing American Parisian options under general time-inhomogeneous Markov models pp. 393-418: Yuhao Liu, Nian Yang and Gongqiu Zhang
A structured PDE framework for pricing resettable convertible bonds pp. 419-432: Hyuncheul Lim
Constant proportion performance participation pp. 433-448: Rudi Zagst, William Lim and Gaurav Khemka
A multi-factor model for improved commodity pricing: calibration and an application to the oil market pp. 449-466: Luca Vincenzo Ballestra and Christian Tezza
Quantum advantage for multi-option portfolio pricing and valuation adjustments pp. 467-489: Jeong Yu Han, Bin Cheng, Dinh-Long Vu and Patrick Rebentrost

Modeling ex post variance jumps: implications for density and tail risk forecasting pp. 161-183: John Maheu and Efthimios Nikolakopoulos
Optimal execution in intraday energy markets under Hawkes processes with transient impact pp. 185-211: Konstantinos Chatziandreou and Sven Karbach
Mind the gap in the mining game pp. 213-233: Kyoung-Kuk Kim and Donghwa Seo
Forecasting carbon returns under structural breaks and model uncertainty: a time-weighted regularized combination approach pp. 235-253: Zhikai Zhang, Yaojie Zhang, Yudong Wang and Qunwei Wang
Pairs trading with stock borrowing fee pp. 255-271: Ziyi Chen, Jia-Wen Gu and Harry Zheng
Calibrating a proportional hazards model with time-correlated covariates: a case study in probability of default modelling for credit risk analysis pp. 273-284: Brent Oeyen and Themis Rallis
A multi-layered network approach for the corporate and banking sectors: unwrapping the fundamental features of velocity of money pp. 285-298: E. Viegas, H. Takayasu and M. Takayasu
Random processes for long-term market simulations pp. 299-324: Gilles Zumbach

A decision-focused learning framework for goal-based investing pp. 1-13: Hyunglip Bae, Minsu Park, Haeun Jeon and Woo Chang Kim
Multivariate portfolio choice via quantiles pp. 15-39: Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Dynamic estimation of sample covariance matrices via hierarchical clustering pp. 41-62: Chang Wang, Fotis Papailias and Carmine Ventre
Exploratory mean-variance portfolio selection with Choquet regularizers pp. 63-83: Junyi Guo, Xia Han and Hao Wang
Addressing estimation errors on expected asset returns through robust portfolio optimization pp. 85-98: Gérard Cornuéjols, Özgün Elçİ and Vrishabh Patil
Spatial-temporal stock movement prediction and portfolio selection based on the semantic company relationship graph pp. 99-117: Chang Luo, He (Heather) He, Mihai Cucuringu and Tiejun Ma
Feature configuration effects in DRL portfolio management: a risk-focused evaluation under market stress pp. 119-136: Rayan Ayari
Optimizing stock portfolios with deep reinforcement learning after FNN-based fundamental analysis pp. 137-159: Y. J. Sun, Z. Y. Lu, C. H. Liao, T. S. Dai and S. M. Yuan