Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 19, issue 12, 2019

Trading too expensively in the FX market? pp. 1933-1944

Milla Siikanen, Ulrich Nögel and Juho Kanniainen

The Book of Why: The New Science of Cause and Effect pp. 1945-1949

Lisa R. Goldberg

Calendar pp. 1951-1951

The Editors

Multilayer overlaps and correlations in the bank-firm credit network of Spain pp. 1953-1974

Duc Thi Luu and Thomas Lux

Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx pp. 1975-1993

Olivier Nataf and Lieven De Moor

Lifting the Heston model pp. 1995-2013

Eduardo Abi Jaber

Volatility modeling and prediction: the role of price impact pp. 2015-2031

Ying Jiang, Yi Cao, Xiaoquan Liu and Jia Zhai

Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data pp. 2033-2050

Ymir Mäkinen, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis

Forecasting trade durations via ACD models with mixture distributions pp. 2051-2067

R. P. Yatigammana, Jennifer Chan and R. H. Gerlach

Constrained optimality for controlled switching diffusions with an application to stock purchasing pp. 2069-2085

Xianggang Lu

Closed-form Arrow-Debreu pricing for the Hull-White short rate model pp. 2087-2094

C. Turfus

Rational explanation for rule-of-thumb practices in asset allocation pp. 2095-2109

Majeed Simaan and Yusif Simaan

Volume 19, issue 11, 2019

Impact is not just volatility pp. 1763-1766

Frédéric Bucci, Iacopo Mastromatteo, Michael Benzaquen and Jean-Philippe Bouchaud

A Crisis of Beliefs: Investor Psychology and Financial Fragility pp. 1767-1769

Riccardo Rebonato

Election predictions are arbitrage-free: response to Taleb pp. 1771-1774

Aubrey Clayton

All roads lead to quantitative finance pp. 1775-1776

Nassim Nicholas Taleb and Dhruv Madeka

Calendar pp. 1777-1777

The Editors

Systemic illiquidity in the interbank network pp. 1779-1795

Gerardo Ferrara, Sam Langfield, Zijun Liu and Tomohiro Ota

Tightening robust price bounds for exotic derivatives pp. 1797-1815

Eva Lütkebohmert and Julian Sester

Model-driven statistical arbitrage on LETF option markets pp. 1817-1837

S. Nasekin and Wolfgang Härdle

Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model pp. 1839-1855

Daniel Borup and Johan S. Jakobsen

On the efficacy of stop-loss rules in the presence of overnight gaps pp. 1857-1873

Argimiro Arratia and Albert Dorador

Extreme downside risk and market turbulence pp. 1875-1892

Richard Harris, Linh H. Nguyen and Evarist Stoja

Index tracking with utility enhanced weighting pp. 1893-1904

Ephraim Clark, Nitin Deshmukh, Celal Barkan Güran and Konstantino Kassimatis

Portfolio choice with skewness preference and wealth-dependent risk aversion pp. 1905-1919

Congming Mu, Weidong Tian and Jinqiang Yang

Real options maximizing survival probability under incomplete markets pp. 1921-1931

Jinglu Jiang, Congming Mu, Juan Peng and Jinqiang Yang

Volume 19, issue 10, 2019

The Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market pp. 1599-1608

Jianhua Gang, Zongxin Qian and Fan Chen

Mathematical Finance: A Very Short Introduction pp. 1609-1610

John Hull

Calendar pp. 1611-1611

The Editors

Disentangling and quantifying market participant volatility contributions pp. 1613-1625

Marcello Rambaldi, Emmanuel Bacry and Jean-François Muzy

Forecasting realised volatility using ARFIMA and HAR models pp. 1627-1638

Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas and Mike Tsionas

Simulation-based Value-at-Risk for nonlinear portfolios pp. 1639-1658

Junyao Chen, Tony Sit and Hoi Ying Wong

Structural asset pricing theory with wavelets pp. 1659-1672

Elizabeth Ann Housworth, Todd Walker and Chen Xu

Weighing asset pricing factors: a least squares model averaging approach pp. 1673-1687

Yue Qiu, Yu Ren and Tian Xie

American-type basket option pricing: a simple two-dimensional partial differential equation pp. 1689-1704

Hamza Hanbali and Daniel Linders

Dynamic credit default swap curves in a network topology pp. 1705-1726

Xiu Xu, Cathy Yi-Hsuan Chen and Wolfgang Härdle

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns pp. 1727-1740

Sylvia Endres and Johannes Stübinger

Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models pp. 1741-1761

Bing Dong, Wei Xu and Yue Kuen Kwok

Volume 19, issue 9, 2019

Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value pp. 1425-1438

Yaojie Zhang, Yu Wei and Li Liu

Financial Engineering: Selected Works of Alexander Lipton pp. 1439-1440

Jessica James

Calendar pp. 1441-1441

The Editors

Editors' foreword pp. 1445-1448

German Creamer, Gary Kazantsev and Tomaso Aste

Universal features of price formation in financial markets: perspectives from deep learning pp. 1449-1459

Justin Sirignano and Rama Cont

Far from the madding crowd: collective wisdom in prediction markets pp. 1461-1471

Giulio Bottazzi and D. Giachini

Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics pp. 1473-1489

Ying Chen, Wee Song Chua and Wolfgang Härdle

Forecasting market states pp. 1491-1498

Pier Francesco Procacci and Tomaso Aste

Encoding of high-frequency order information and prediction of short-term stock price by deep learning pp. 1499-1506

Daigo Tashiro, Hiroyasu Matsushima, Kiyoshi Izumi and Hiroki Sakaji

Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction pp. 1507-1515

Shun Chen and Lei Ge

Learning multi-market microstructure from order book data pp. 1517-1529

Geonhwan Ju, Kyoung-Kuk Kim and Dong-Young Lim

A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures pp. 1531-1542

German Creamer and Chihoon Lee

The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios pp. 1543-1553

Igor Halperin

Detection of false investment strategies using unsupervised learning methods pp. 1555-1565

Marcos López de Prado and Michael J. Lewis

Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design pp. 1569-1577

Salim Lahmiri and Stelios Bekiros

Estimation of risk contributions with MCMC pp. 1579-1597

Takaaki Koike and Mihoko Minami

Volume 19, issue 8, 2019

Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach pp. 1255-1266

Marco Bee, Julien Hambuckers and L. Trapin

The Art of Statistics: Learning from Data pp. 1267-1268

Sébastien Lleo

Calendar pp. 1269-1269

The Editors

Deep hedging pp. 1271-1291

H. Buehler, L. Gonon, J. Teichmann and B. Wood

Dynamics of foreign exchange implied volatility and implied correlation surfaces pp. 1293-1320

S. Beer and H. Fink

On the seasonality in the implied volatility of electricity options pp. 1321-1337

Viviana Fanelli and Maren Diane Schmeck

Target volatility option pricing in the lognormal fractional SABR model pp. 1339-1356

Elisa Alòs, Rupak Chatterjee, Sebastian F. Tudor and Tai-Ho Wang

The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach pp. 1357-1371

Yue-Jun Zhang and Shu-Hui Li

Agricultural commodity futures trading based on cross-country rolling quantile return signals pp. 1373-1390

Huayun Jiang, Neda Todorova, Eduardo Roca and Jen-Je Su

How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR pp. 1391-1407

Mark Lichtner

Resilience to the financial crisis in customer-supplier networks pp. 1409-1423

Xiao Yu, Ramazan Gencay and Keyi Zhang

Volume 19, issue 7, 2019

Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation pp. 1075-1092

Nathalie Oriol and Iryna Veryzhenko

The Economic Foundations of Risk Management pp. 1093-1094

Natalie Packham

Calendar pp. 1095-1095

The Editors

Stochastic regularization for the mean-variance allocation scheme pp. 1097-1120

Gilles Zumbach

Enhancing the momentum strategy through deep regression pp. 1121-1133

Saejoon Kim

Optimal investment and consumption under a continuous-time cointegration model with exponential utility pp. 1135-1149

Guiyuan Ma and Song-Ping Zhu

Stock market uncertainty and economic fundamentals: an entropy-based approach pp. 1151-1163

K. Ahn, D. Lee, S. Sohn and B. Yang

The endo–exo problem in high frequency financial price fluctuations and rejecting criticality pp. 1165-1178

Spencer Wheatley, Alexander Wehrli and Didier Sornette

The influence of intraday seasonality on volatility transmission pattern pp. 1179-1197

N. Alemany, V. Aragó and E. Salvador

A systematic and efficient simulation scheme for the Greeks of financial derivatives pp. 1199-1219

Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng and Sheng-Xiang Wang

Operational risk quantified with spectral risk measures: a refined closed-form approximation pp. 1221-1242

Bin Tong, Xundi Diao and Chongfeng Wu

A new mixture cure model under competing risks to score online consumer loans pp. 1243-1253

Nailong Zhang, Qingyu Yang, Aidan Kelleher and Wujun Si

Volume 19, issue 6, 2019

Dynamics and performance of decentralized portfolios with size-induced fund flows pp. 885-898

Huamao Wang, Jun Yang and Yumei Yao

Stochastic Drawdowns pp. 899-900

John Fry

Calendar pp. 901-901

The Editors

Market making with minimum resting times pp. 903-920

Álvaro Cartea and Yixuan Wang

Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 pp. 921-935

Johannes Stübinger

A simple mechanism for financial bubbles: time-varying momentum horizon pp. 937-959

L. Lin, M. Schatz and D. Sornette

Sovereign risk zones in Europe during and after the debt crisis pp. 961-980

Veni Arakelian, Petros Dellaportas, Roberto Savona and Marika Vezzoli

A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering pp. 981-996

A. Verma, R. J. Buonocore and T. Di Matteo

Calibration and advanced simulation schemes for the Wishart stochastic volatility model pp. 997-1016

G. La Bua and D. Marazzina

Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution pp. 1017-1042

Chao Wang, Qian Chen and Richard Gerlach

Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations pp. 1043-1059

Christian Fries

Real options under a double exponential jump-diffusion model with regime switching and partial information pp. 1061-1073

Pengfei Luo, Jie Xiong, Jinqiang Yang and Zhaojun Yang

Volume 19, issue 5, 2019

Economic and political effects on currency clustering dynamics pp. 705-716

Michael Kremer, A. P. Becker, I. Vodenska, H. E. Stanley and R. Schäfer

Optimization Methods in Finance pp. 717-719

Giorgio Consigli

Functional Itô calculus pp. 721-729

Bruno Dupire

Calendar pp. 731-731

The Editors

Price signatures pp. 733-761

Roel Oomen

Leveraging a call-put ratio as a trading signal pp. 763-777

Patrick Houlihan and German Creamer

Short-time near-the-money skew in rough fractional volatility models pp. 779-798

C. Bayer, P. K. Friz, A. Gulisashvili, B. Horvath and B. Stemper

Backtesting extreme value theory models of expected shortfall pp. 799-825

Alfonso Novales and Laura Garcia-Jorcano

A financially justifiable and practically implementable approach to coherent stress testing pp. 827-842

Riccardo Rebonato

On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators pp. 843-858

Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette

The impact of a partial borrowing limit on financial decisions pp. 859-883

Byung Hwa Lim and Minsuk Kwak

Volume 19, issue 4, 2019

Asset volatility with prospect theory investors pp. 533-543

Jeremias Bekierman

Gods and Robots: Myths, Machines, and Ancient Dreams of Technology pp. 545-546

Sebastien Lleo

Calendar pp. 547-547

The Editors

Deep learning for limit order books pp. 549-570

Justin A. Sirignano

Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500 pp. 571-585

Julian Knoll, Johannes Stübinger and Michael Grottke

Generative Bayesian neural network model for risk-neutral pricing of American index options pp. 587-603

Huisu Jang and Jaewook Lee

Asian option pricing with orthogonal polynomials pp. 605-618

Sander Willems

Building multivariate Sato models with linear dependence pp. 619-645

Lynn Boen and Florence Guillaume

A recursive method for static replication of autocallable structured products pp. 647-661

Kyoung-Kuk Kim and Dong-Young Lim

Gold price dynamics and the role of uncertainty pp. 663-681

Joscha Beckmann, Theo Berger and Robert Czudaj

Analytical solutions of optimal portfolio rebalancing pp. 683-697

Ding Liu

Flexible distribution functions, higher-order preferences and optimal portfolio allocation pp. 699-703

Trino Ñíguez Grau, Ivan Paya, David Peel and Javier Perote

Volume 19, issue 3, 2019

Structural minimization of tracking error pp. 357-366

Peter Roßbach and Denis Karlow

Hedge Funds: Structure, Strategies, and Performance pp. 367-368

Lisa Borland

Calendar pp. 369-369

The Editors

Implied stopping rules for American basket options from Markovian projection pp. 371-390

Christian Bayer, Juho Häppölä and Raúl Tempone

The predictive performance of the currency futures basis for spot returns pp. 391-405

Liyan Han, Xue Jiang and Libo Yin

A self-exciting switching jump diffusion: properties, calibration and hitting time pp. 407-426

Donatien Hainaut and Griselda Deelstra

The principle of not feeling the boundary for the SABR model pp. 427-436

Nan Chen and Nian Yang

Targeting market neutrality pp. 437-451

John B. Lee, Jonathan J. Reeves, Alice C. Tjahja and Xuan Xie

Risk parity portfolio optimization under a Markov regime-switching framework pp. 453-471

Giorgio Costa and Roy H. Kwon

Joint tests of contagion with applications pp. 473-490

Renee Fry-McKibbin, Cody Yu-Ling Hsiao and Vance Martin

On pricing barrier control in a regime-switching regulated market pp. 491-499

Zheng Han, Yaozhong Hu and Chihoon Lee

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method pp. 501-518

Nikolay Gudkov, Katja Ignatieva and Jonathan Ziveyi

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach pp. 519-532

Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza

Volume 19, issue 2, 2019

Risk discriminating portfolio optimization pp. 177-185

Amit Deshpande, Brian Ertley, Mark Lundin and Stephen Satchell

Behavioral Corporate Finance: Concepts and Cases for Teaching Behavioral Finance pp. 187-188

H. Kent Baker

Calendar pp. 189-189

The Editors

Non-linear Gaussian sovereign CDS pricing models pp. 191-210

Marco Realdon

American option pricing under the double Heston model based on asymptotic expansion pp. 211-226

S. M. Zhang and Y. Feng

Variance swaps valuation under non-affine GARCH models and their diffusion limits pp. 227-246

Alexandru Badescu, Yuyu Chen, Matthew Couch and Zhenyu Cui

Bubble detection and sector trading in real time pp. 247-263

George Milunovich, Shuping Shi and David Tan

Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts pp. 265-275

Omid Momen, Akbar Esfahanipour and Abbas Seifi

Shrinkage estimation of Kelly portfolios pp. 277-287

Yongli Han, Philip Leung Ho Yu and T Mathew

Asset management with endogenous withdrawals under a drawdown constraint pp. 289-312

Hervé Roche

Dynamic portfolio choice without cash pp. 313-326

Chi Kin Lam, Yuhong Xu and Guosheng Yin

Stock performance by utility indifference pricing and the Sharpe ratio pp. 327-338

Jiro Hodoshima

The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions pp. 339-356

Lech Grzelak, J. A. S. Witteveen, M. Suárez-Taboada and Cornelis Oosterlee

Volume 19, issue 1, 2019

The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach pp. 1-11

M. Hanke, R. Poulsen and A. Weissensteiner

Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance pp. 13-14

Giovanni Puccetti

Calendar pp. 15-15

The Editors

Path-breaking contributions of K. J. Arrow pp. 19-22

M. A. H. Dempster

Kenneth Arrow as teacher and adviser pp. 23-24

A. Spence

On being a student of Ken Arrow pp. 25-28

John Geanakoplos

Kenneth Arrow and nonequilibrium economics pp. 29-31

W. Brian Arthur

An open mind: memories of Ken Arrow pp. 33-34

J. Farmer

Internalisation by electronic FX spot dealers pp. 35-56

M. Butz and R. Oomen

Disentangling the role of variance and covariance information in portfolio selection problems pp. 57-76

Andre Santos

Estimating a covariance matrix for market risk management and the case of credit default swaps pp. 77-92

Richard Neuberg and Paul Glasserman

An extended likelihood framework for modelling discretely observed credit rating transitions pp. 93-104

M. Pfeuffer, L. Möstel and M. Fischer

Data-driven robust mean-CVaR portfolio selection under distribution ambiguity pp. 105-121

Zhilin Kang, Xun Li, Zhongfei Li and Shushang Zhu

Challenging the robustness of optimal portfolio investment with moving average-based strategies pp. 123-135

Ahmed Bel Hadj Ayed, Grégoire Loeper and Frédéric Abergel

Cross-impact and no-dynamic-arbitrage pp. 137-154

Michael Schneider and F. Lillo

A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility pp. 155-175

Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim and Hyejin Park