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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 15, issue 12, 2015

Cross-sectional universalities in financial time series pp. 1901-1912 Downloads
Gilles Zumbach
Risk-Sensitive Investment Management pp. 1913-1914 Downloads
Albina Danilova
The impact of Basel III on financial (in)stability: an agent-based credit network approach pp. 1917-1932 Downloads
Sebastian Krug, Matthias Lengnick and Hans-Werner Wohltmann
When does low interconnectivity cause systemic risk? pp. 1933-1942 Downloads
Burak Saltoğlu and Taylan Yenilmez
Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models pp. 1943-1962 Downloads
Jorge Pérez-Rodríguez and Emilio Gómez-Déniz
Stochastic modelling of herd behaviour indices pp. 1963-1977 Downloads
Florence Guillaume and Daniël Linders
A quarterly time-series classifier based on a reduced-dimension generated rules method for identifying financial distress pp. 1979-1994 Downloads
Ching-Hsue Cheng and Ssu-Hsiang Wang
Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model pp. 1995-2010 Downloads
José Carlos Dias, João Pedro Vidal Nunes and João Pedro Ruas
Pricing options on discrete realized variance with partially exact and bounded approximations pp. 2011-2019 Downloads
Wendong Zheng and Yue Kuen Kwok
Effects of market default risk on index option risk-neutral moments pp. 2021-2040 Downloads
Panayiotis C. Andreou
A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting pp. 2041-2052 Downloads
Yacin Jerbi
Maximizing survival, growth and goal reaching under borrowing constraints pp. 2053-2065 Downloads
Haluk Yener

Volume 15, issue 11, 2015

Path integral and asset pricing pp. 1759-1771 Downloads
Zura Kakushadze
The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications pp. 1773-1775 Downloads
K. Surekha Rao
A note on "Modelling exchange rate returns: which flexible distribution to use?" pp. 1777-1785 Downloads
Saralees Nadarajah, Emmanuel Afuecheta and Stephen Chan
A nested factor model for non-linear dependencies in stock returns pp. 1789-1804 Downloads
R. Chicheportiche and J.-P. Bouchaud
A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering pp. 1805-1821 Downloads
Quan Gan, Wang Chun Wei and David Johnstone
Performance-weighted ensembles of random forests for predicting price impact pp. 1823-1835 Downloads
Ash Booth, Enrico Gerding and Frank McGroarty
Fundamentalists, chartists and asset pricing anomalies pp. 1837-1850 Downloads
Sandrine Jacob Leal
Modelling exchange rate returns: which flexible distribution to use? pp. 1851-1864 Downloads
Canan G. Corlu and Alper Corlu
A smooth non-parametric estimation framework for safety-first portfolio optimization pp. 1865-1884 Downloads
Haixiang Yao, Yong Li and Karen Benson
Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes pp. 1885-1900 Downloads
Helin Zhu, Fan Ye and Enlu Zhou

Volume 15, issue 10, 2015

Stochastic volatility with heterogeneous time scales pp. 1597-1608 Downloads
D. Delpini and G. Bormetti
Yield Curve Modeling and Forecasting--The Dynamic Nelson-Siegel Approach pp. 1609-1612 Downloads
Riccardo Rebonato
Special Issue of Quantitative Finance on 'Financial Data Analytics' pp. 1617-1617 Downloads
Jessica James, Dietmar Maringer, Vasile Palade and Antoaneta Serguieva
Bank networks from text: interrelations, centrality and determinants pp. 1619-1635 Downloads
Samuel Rönnqvist and Peter Sarlin
Twitter financial community sentiment and its predictive relationship to stock market movement pp. 1637-1656 Downloads
Steve Y. Yang, Sheung Yin Kevin Mo and Anqi Liu
Data-driven methods for equity similarity prediction pp. 1657-1681 Downloads
John Robert Yaros and Tomasz Imieliński
Gaussian process-based algorithmic trading strategy identification pp. 1683-1703 Downloads
Steve Y. Yang, Qifeng Qiao, Peter A. Beling, William T. Scherer and Andrei Kirilenko
Hedge fund replication with a genetic algorithm: breeding a usable mousetrap pp. 1705-1726 Downloads
Brian C. Payne and Jiri Tresl
An analysis of price impact functions of individual trades on the London stock exchange pp. 1727-1735 Downloads
M. Wilinski, Wei Cui, A. Brabazon and P. Hamill
Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data pp. 1737-1758 Downloads
Efstathios Panayi, Gareth W. Peters and Ioannis Kosmidis

Volume 15, issue 9, 2015

Broken symmetries: reflections on why FX put and call options are not simple mirror images pp. 1437-1443 Downloads
Jonathan Fullwood and Jessica James
Financial Modeling: A Backward Stochastic Differential Equations Perspective pp. 1445-1446 Downloads
Eymen Errais
Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013 pp. 1449-1469 Downloads
A. N. Shiryaev, M. V. Zhitlukhin and W. T. Ziemba
Time series momentum trading strategy and autocorrelation amplification pp. 1471-1487 Downloads
K. J. Hong and S. Satchell
Statistical arbitrage in the Black-Scholes framework pp. 1489-1499 Downloads
Ahmet Goncu
A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests pp. 1501-1514 Downloads
Jae Kim and Abul Shamsuddin
Implied integrated variance and hedging pp. 1515-1530 Downloads
Ruth Kaila
Stylised facts of financial time series and hidden Markov models in continuous time pp. 1531-1541 Downloads
Peter Nystrup, Henrik Madsen and Erik Lindström
General equilibrium pricing with multiple dividend streams and regime switching pp. 1543-1557 Downloads
Jia Shen and Robert J. Elliott
Mixed tempered stable distribution pp. 1559-1569 Downloads
Edit Rroji and Lorenzo Mercuri
A factor contagion model for portfolio credit derivatives pp. 1571-1582 Downloads
Geon Ho Choe, Hyun Jin Jang and Soon Won Kwon
Dynamic risk taking with bonus schemes pp. 1583-1596 Downloads
Dietmar P.J. Leisen

Volume 15, issue 8, 2015

Stochastic portfolio theory optimization and the origin of rule-based investing pp. 1259-1266 Downloads
Gianluca Oderda
High-frequency Trading pp. 1267-1271 Downloads
Riccardo Rebonato
Special Issue of Quantitative Finance on 'High Frequency Data Modeling in Finance' pp. 1277-1277 Downloads
Ionut Florescu, Maria C. Mariani, H. Eugene Stanley and Frederi G. Viens
Optimal execution with limit and market orders pp. 1279-1291 Downloads
Álvaro Cartea and Sebastian Jaimungal
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data pp. 1293-1314 Downloads
V. Filimonov and D. Sornette
Modelling high-frequency limit order book dynamics with support vector machines pp. 1315-1329 Downloads
Alec N. Kercheval and Yuan Zhang
High-frequency volatility of volatility estimation free from spot volatility estimates pp. 1331-1345 Downloads
Simona Sanfelici, Imma Valentina Curato and Maria Elvira Mancino
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise pp. 1347-1364 Downloads
Jozef Baruník and Lukas Vacha
Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data pp. 1365-1374 Downloads
Maria Pia Beccar Varela, Francis Biney and Ionut Florescu
Emergence of statistically validated financial intraday lead-lag relationships pp. 1375-1386 Downloads
Chester Curme, Michele Tumminello, Rosario Mantegna, H. Eugene Stanley and Dror Y. Kenett
Evolution of high-frequency systematic trading: a performance-driven gradient boosting model pp. 1387-1403 Downloads
Nan Zhou, Wen Cheng, Yichen Qin and Zongcheng Yin
Can a corporate network and news sentiment improve portfolio optimization using the Black-Litterman model? pp. 1405-1416 Downloads
Germán G. Creamer
Numerical methods applied to option pricing models with transaction costs and stochastic volatility pp. 1417-1424 Downloads
Maria C. Mariani, Indranil SenGupta and Granville Sewell
High-performance financial simulation using randomized quasi-Monte Carlo methods pp. 1425-1436 Downloads
Linlin Xu and Giray Ökten

Volume 15, issue 7, 2015

Multiperiod conditional valuation of barrier options with incomplete information pp. 1093-1102 Downloads
Stoyan Valchev, Radu Tunaru and Frank Fabozzi
The Reckoning: Financial Accountability and the Rise and Fall of Nations pp. 1103-1105 Downloads
Lloyd Kurtz
A fully consistent, minimal model for non-linear market impact pp. 1109-1121 Downloads
J. Donier, J. Bonart, I. Mastromatteo and J.-P. Bouchaud
Market impact as anticipation of the order flow imbalance pp. 1123-1135 Downloads
Thibault Jaisson
Modelling systemic price cojumps with Hawkes factor models pp. 1137-1156 Downloads
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, Fulvio Corsi, Stefano Marmi and Fabrizio Lillo
Optimal payoffs under state-dependent preferences pp. 1157-1173 Downloads
Carole Bernard, Franck Moraux, Ludger Rüschendorf and Steven Vanduffel
Option overlay strategies pp. 1175-1190 Downloads
Dilip B. Madan and Yazid M. Sharaiha
Computing optimal rebalance frequency for log-optimal portfolios in linear time pp. 1191-1204 Downloads
Sujit R. Das and Mukul Goyal
Equity portfolio diversification with high frequency data pp. 1205-1215 Downloads
Vitali Alexeev and Mardi Dungey
News, volatility and jumps: the case of natural gas futures pp. 1217-1242 Downloads
Svetlana Borovkova and Diego Mahakena
Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model pp. 1243-1257 Downloads
Dan Pirjol

Volume 15, issue 6, 2015

Structural breaks and portfolio performance in global equity markets pp. 909-922 Downloads
Harry J. Turtle and Chengping Zhang
Asset Management: A Systematic Approach to Factor Investing pp. 923-927 Downloads
Robert M. Anderson
'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets pp. 933-958 Downloads
Lei Wu, Qingbin Meng and Kuan Xu
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility pp. 959-973 Downloads
Jozef Baruník and Jiri Kukacka
A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback pp. 975-998 Downloads
William T. Shaw and Marcus Schofield
Predicting abnormal returns from news using text classification pp. 999-1012 Downloads
Ronny Luss and Alexandre D'Aspremont
Two-step methods in VaR prediction and the importance of fat tails pp. 1013-1030 Downloads
Ibrahim Ergen
Limited information-processing capacity and asymmetric stock correlations pp. 1031-1039 Downloads
Ozcan Ceylan
Jump robust two time scale covariance estimation and realized volatility budgets pp. 1041-1054 Downloads
Kris Boudt and Jin Zhang
Using information quality for volatility model combinations pp. 1055-1073 Downloads
Vasyl Golosnoy and Yarema Okhrin
On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking pp. 1075-1091 Downloads
Eduardo Acosta-González, Reinaldo Armas-Herrera and Fernando Fernández-Rodríguez

Volume 15, issue 5, 2015

On elicitable risk measures pp. 725-733 Downloads
Fabio Bellini and Valeria Bignozzi
Financial Modeling, Actuarial Valuation and Solvency in Insurance pp. 735-740 Downloads
J. Bohn
Precious metals under the microscope: a high-frequency analysis pp. 743-759 Downloads
Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo
Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities pp. 761-772 Downloads
T. Pellegrino and P. Sabino
Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders pp. 773-793 Downloads
C. Gomes and H. Waelbroeck
The order book as a queueing system: average depth and influence of the size of limit orders pp. 795-808 Downloads
I. Muni Toke
A practical approach to semideviation and its time scaling in a jump-diffusion process pp. 809-827 Downloads
R. Oeuvray and P. Junod
On break-even correlation: the way to price structured credit derivatives by replication pp. 829-840 Downloads
Jean-David Fermanian and Olivier Vigneron
A mathematical model for multi-name credit based on community flocking pp. 841-851 Downloads
Seung-Yeal Ha, Kyoung-Kuk Kim and Kiseop Lee
Portfolio choices and VaR constraint with a defaultable asset pp. 853-864 Downloads
Emilio Barucci and Andrea Cosso
Leverage effect breakdowns and flight from risky assets pp. 865-871 Downloads
Stephen Matteo Miller
Hedging jump risk, expected returns and risk premia in jump-diffusion economies pp. 873-888 Downloads
Oliver X. Li and Weiping Li
Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China pp. 889-900 Downloads
Zhidong Bai, Hua Li, Michael McAleer and Wing-Keung Wong
Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution pp. 901-908 Downloads
Qingshuo Song and Pengfei Yang

Volume 15, issue 4, 2015

Partial correlation analysis: applications for financial markets pp. 569-578 Downloads
Dror Y. Kenett, Xuqing Huang, Irena Vodenska, Shlomo Havlin and H. Eugene Stanley
The Bankers' New Clothes, What's Wrong with Banking and What to Do about It pp. 579-582 Downloads
Michael Dempster
Special issue of Quantitative Finance on 'Interlinkages and Systemic Risk' pp. 587-588 Downloads
Giovanni di Iasio, Mauro Gallegati, Fabrizio Lillo and Rosario Mantegna
Input-output-based measures of systemic importance pp. 589-606 Downloads
Iñaki Aldasoro and Ignazio Angeloni
Does financial connectedness predict crises? pp. 607-624 Downloads
Camelia Minoiu, Chanhyun Kang, V.S. Subrahmanian and Anamaria Berea
Filling in the blanks: network structure and interbank contagion pp. 625-636 Downloads
Kartik Anand, Ben Craig and Goetz von Peter
Interbank contagion and resolution procedures: inspecting the mechanism pp. 637-652 Downloads
Edoardo Gaffeo and Massimo Molinari
Modelling the emergence of the interbank networks pp. 653-671 Downloads
Grzegorz Haᴌaj and Christoffer Kok
The multiplex structure of interbank networks pp. 673-691 Downloads
Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, F. Lillo and F. Pierobon
Quantifying preferential trading in the e-MID interbank market pp. 693-710 Downloads
Vasilis Hatzopoulos, Giulia Iori, Rosario Mantegna, Salvatore Miccichè and Michele Tumminello
Expectations and systemic risk in EMU government bond spreads pp. 711-724 Downloads
Paolo Canofari, Giancarlo Marini and Giovanni Piersanti

Volume 15, issue 3, 2015

In search of statistically valid risk factors pp. 385-393 Downloads
Robert M. Anderson, Stephen W. Bianchi and Lisa R. Goldberg
Risk and Uncertainty in the Art World pp. 395-397 Downloads
Benjamin Mandel
A Lévy HJM multiple-curve model with application to CVA computation pp. 401-419 Downloads
Stéphane Crépey, Zorana Grbac, Nathalie Ngor and David Skovmand
Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method pp. 421-441 Downloads
Mitya Boyarchenko and Sergei Levendorskiĭ
A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions pp. 443-454 Downloads
John Hull and Alan White
The Markov-switching jump diffusion LIBOR market model pp. 455-476 Downloads
Lea Steinruecke, R. Zagst and A. Swishchuk
Uncertainty aversion, robust control and asset holdings pp. 477-491 Downloads
Giannis Vardas and Anastasios Xepapadeas
What is the impact of wealth shocks on asset allocation? pp. 493-508 Downloads
Ricardo Sousa
A Black-Litterman asset allocation model under Elliptical distributions pp. 509-519 Downloads
Yugu Xiao and Emiliano A. Valdez
A financial CCAPM and economic inequalities pp. 521-534 Downloads
Charles S. Tapiero
Optimal hedging for fund and insurance managers with partially observable investment flows pp. 535-551 Downloads
Masaaki Fujii and Akihiko Takahashi
Risk and efficiency in the Central and Eastern European banking industry under quantile analysis pp. 553-567 Downloads
Emmanuel Mamatzakis

Volume 15, issue 2, 2015

Beta-arbitrage strategies: when do they work, and why? pp. 185-203 Downloads
Gianluca Oderda, Tony Berrada, Reda Jurg Messikh and Olivier Pictet
Flash Boys: Cracking the Money Code pp. 205-206 Downloads
Philip Protter
Flash Boys: Cracking the Money Code pp. 207-208 Downloads
Rishi K Narang
How news affects the trading behaviour of different categories of investors in a financial market pp. 213-229 Downloads
Fabrizio Lillo, Salvatore Miccichè, Michele Tumminello, Jyrki Piilo and Rosario Mantegna
Ensemble properties of high-frequency data and intraday trading rules pp. 231-245 Downloads
F. Baldovin, F. Camana, Massimiliano Caporin, M. Caraglio and A.L. Stella
Automatic one two three pp. 247-260 Downloads
Stanislaus Maier-Paape
Trend momentum pp. 261-284 Downloads
Wilhelm Berghorn
Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities pp. 285-298 Downloads
Panagiotis Schizas and Dimitrios Thomakos
The payoff distribution model: an application to dynamic portfolio insurance pp. 299-312 Downloads
Alexandre Hocquard, Nicolas Papageorgiou and Bruno Remillard
Evaluating discrete dynamic strategies in affine models pp. 313-326 Downloads
Flavio Angelini and Stefano Herzel
Time horizon trading and the idiosyncratic risk puzzle pp. 327-343 Downloads
Juliana Malagon, David Moreno and Rosa Rodríguez
Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market pp. 345-358 Downloads
Fernando Muñoz, Ruth Vicente and Luis Ferruz
Selection of balanced portfolios to track the main properties of a large market pp. 359-370 Downloads
Donatien Tafin Djoko and Yves Tillé
Application of a TGARCH-wavelet neural network to arbitrage trading in the metal futures market in China pp. 371-384 Downloads
Lei Cui, Ke Huang and H.J. Cai

Volume 15, issue 1, 2015

The DNA of security return pp. 1-17 Downloads
Changho Han
Nonlinear Option Pricing pp. 19-21 Downloads
Tai-Ho Wang
Stress scenario selection by empirical likelihood pp. 25-41 Downloads
Paul Glasserman, Chulmin Kang and Wanmo Kang
Systematic scenario selection: stress testing and the nature of uncertainty pp. 43-59 Downloads
Mark Flood and George G. Korenko
Estimating the probability of multiple EU sovereign defaults using CDS and bond data pp. 61-78 Downloads
R. Pianeti and R. Giacometti
Liquidity premium in the presence of stock market crises and background risk pp. 79-90 Downloads
Sergei Isaenko and Rui Zhong
Multiscale exponential Lévy-type models pp. 91-100 Downloads
Matthew Lorig and Oriol Lozano-Carbassé
A parallel wavelet-based pricing procedure for Asian options pp. 101-113 Downloads
S. Corsaro, D. Marazzina and Z. Marino
Convertible bond valuation in a jump diffusion setting with stochastic interest rates pp. 115-129 Downloads
Laura Ballotta and Ioannis Kyriakou
Strategic commodity allocation pp. 131-150 Downloads
Pierre Six
Portfolio selection with commodities under conditional copulas and skew preferences pp. 151-170 Downloads
Carlos González-Pedraz, Manuel Moreno and Juan Ignacio Peña
Perverse timing or biased coefficients? pp. 171-183 Downloads
Mercedes Alda, María Vargas and Luis Ferruz
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