Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 18, issue 12, 2018

The micro-price: a high-frequency estimator of future prices pp. 1959-1966

Sasha Stoikov

Financial and Macroeconomic Connectedness pp. 1967-1968

Sebastien Lleo

Calendar pp. 1969-1969

The Editors

A supermartingale relation for multivariate risk measures pp. 1971-1990

Zachary Feinstein and Birgit Rudloff

Relative Robust Portfolio Optimization with benchmark regret pp. 1991-2003

Gonçalo Simões, Mark McDonald, Stacy Williams, Daniel Fenn and Raphael Hauser

How does the choice of Value-at-Risk estimator influence asset allocation decisions? pp. 2005-2022

Felix Scheller and Benjamin R. Auer

Welfare effects of information and rationality in portfolio decisions under parameter uncertainty pp. 2035-2050

M. Longo and A. Mainini

Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations pp. 2051-2065

Sergey Isaenko

Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets pp. 2067-2083

JingRu Ji, Donghua Wang and JingQing Tu

Forecasting market risk using ultra-high-frequency data and scaling laws pp. 2085-2099

Jun Qi, Lan Yi and Yiyun Chen

Volume 18, issue 11, 2018

Market impact with multi-timescale liquidity pp. 1781-1790

M. Benzaquen and J.-P. Bouchaud

Continuous-Time Models in Corporate Finance, Banking, and Insurance pp. 1791-1793

Hidetoshi Nakagawa

Calendar pp. 1795-1795

The Editors

Decision trees unearth return sign predictability in the S&P 500 pp. 1797-1814

L. Fiévet and D. Sornette

Can banks default overnight? Modelling endogenous contagion on the O/N interbank market pp. 1815-1829

P. Smaga, M. Wiliński, P. Ochnicki, P. Arendarski and T. Gubiec

Statistical arbitrage with vine copulas pp. 1831-1849

Johannes Stübinger, Benedikt Mangold and Christopher Krauss

On the American swaption in the linear-rational framework pp. 1865-1876

Damir Filipović and Yerkin Kitapbayev

Turbocharging Monte Carlo pricing for the rough Bergomi model pp. 1877-1886

Ryan McCrickerd and Mikko S. Pakkanen

Parisian options with jumps: a maturity–excursion randomization approach pp. 1887-1908

Marc Chesney and Nikola Vasiljević

Marginal consistent dependence modelling using weak subordination for Brownian motions pp. 1909-1925

Markus Michaelsen and Alexander Szimayer

Long-only equal risk contribution portfolios for CVaR under discrete distributions pp. 1927-1945

Helmut Mausser and Oleksandr Romanko

Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions pp. 1947-1958

Miguel Tavares-Gärtner, Paulo J. Pereira and Elísio Brandão

Erratum pp. ei-ei

The Editors

Volume 18, issue 10, 2018

Canonical sectors and evolution of firms in the US stock markets pp. 1619-1634

Lorien X. Hayden, Ricky Chachra, Alexander A. Alemi, Paul H. Ginsparg and James P. Sethna

Machine learning for quantitative finance: fast derivative pricing, hedging and fitting pp. 1635-1643

Jan De Spiegeleer, Dilip B. Madan, Sofie Reyners and Wim Schoutens

The End of Alchemy: Money, Banking and the Future of the Global Economy pp. 1645-1653

Michael Dempster

Calendar pp. 1655-1655

The Editors

Efficient exposure computation by risk factor decomposition pp. 1657-1678

C. S. L. de Graaf, D. Kandhai and C. Reisinger

A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models pp. 1679-1698

Julien Hambuckers, T. Kneib, R. Langrock and A. Silbersdorff

On the price of risk in a mean-risk optimization model pp. 1699-1713

Darinka Dentcheva and Gregory J. Stock

Risk-managed industry momentum and momentum crashes pp. 1715-1733

Klaus Grobys, Joni Ruotsalainen and Janne Äijö

Pairs trading with a mean-reverting jump–diffusion model on high-frequency data pp. 1735-1751

Johannes Stübinger and Sylvia Endres

Mass at zero in the uncorrelated SABR model and implied volatility asymptotics pp. 1753-1765

Archil Gulisashvili, Blanka Horvath and Antoine Jacquier

The survival probability of the SABR model: asymptotics and application pp. 1767-1779

Nian Yang and Xiangwei Wan

Volume 18, issue 9, 2018

Can outstanding dividend payments be estimated by American options? pp. 1437-1446

Sascha Desmettre, Sarah Grün and Ralf Korn

Enlargement of Filtration with Finance in View pp. 1447-1448

Thorsten Schmidt

Calendar pp. 1449-1449

The Editors

Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’ pp. 1451-1451

Ke Tang

Are tightened trading rules always bad? Evidence from the Chinese index futures market pp. 1453-1470

Hai Lin and You Wang

Return and volatility co-movement in commodity futures markets: the effects of liquidity risk pp. 1471-1486

Yongmin Zhang and Shusheng Ding

Including commodity futures in asset allocation in China pp. 1487-1499

Qingfu Liu, Yiuman Tse and Linlin Zhang

Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition pp. 1501-1515

Qiuling Hua, Tingfeng Jiang and Zhang Cheng

Option prices and stock market momentum: evidence from China pp. 1517-1529

Jianping Li, Yanzhen Yao, Yibing Chen and Cheng Few Lee

The role of derivatives in hedge fund activism pp. 1531-1541

Jie (Michael) Guo, Jianhua Gang, Nan Hu and Vinay Utham

Chinese write-down bonds and bank capital structure pp. 1543-1558

Ping Li, Hui Meng and Feihui Yu

Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach pp. 1559-1571

Wonho Song, Doojin Ryu and Robert I. Webb

Modelling the shape of the limit order book pp. 1575-1597

Federico Platania, Pedro Serrano and Mikel Tapia

Detailed study of a moving average trading rule pp. 1599-1617

Fernando F. Ferreira, A. Christian Silva and Ju-Yi Yen

Volume 18, issue 8, 2018

Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation pp. 1249-1259

David Ardia, Kris Boudt and Giang Nguyen

Asymptotic Theory of Transaction Costs pp. 1261-1262

Sebastien Lleo

Calendar pp. 1263-1263

The Editors

Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity pp. 1265-1294

V. Bergen, Marcos Escobar Anel, A. Rubtsov and R. Zagst

Portfolio optimization under Expected Shortfall: contour maps of estimation error pp. 1295-1313

Fabio Caccioli, Imre Kondor and Gábor Papp

Modelling fundamental analysis in portfolio selection pp. 1315-1326

Huazhu Zhang and Cheng Yan

Generalized Pareto processes and fund liquidity risk pp. 1327-1343

Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried

Instantaneous portfolio theory pp. 1345-1364

Dilip B. Madan

Buy-and-hold mean-variance portfolios with a random exit strategy pp. 1365-1377

C. D. Fuh and S. F. Luo

Optimal investment strategies for general utilities under dynamic elasticity of variance models pp. 1379-1388

Wenyuan Li and Jingtang Ma

Transaction costs and crowding pp. 1389-1410

Ludwig B. Chincarini

Transaction cost optimization for online portfolio selection pp. 1411-1424

Bin Li, Jialei Wang, Dingjiang Huang and Steven C. H. Hoi

Portfolio performance of linear SDF models: an out-of-sample assessment pp. 1425-1436

Massimo Guidolin, Erwin Hansen and Martín Lozano-Banda

Corrigendum pp. ei-ei

The Editors

Volume 18, issue 7, 2018

Optimal embedded leverage pp. 1077-1085

Christian Lundström and Jarkko Peltomäki

Economics for the Common Good pp. 1087-1088

Frank Milne

Calendar pp. 1089-1089

The Editors

Calibration to American options: numerical investigation of the de-Americanization method pp. 1091-1113

O. Burkovska, M. Gass, K. Glau, M. Mahlstedt, W. Schoutens and B. Wohlmuth

Learning minimum variance discrete hedging directly from the market pp. 1115-1128

Ke Nian, Thomas F. Coleman and Yuying Li

Price impact and bursts in liquidity provision pp. 1129-1148

Ramazan Gencay, S. Mahmoodzadeh, J. Rojček and M. C. Tseng

Singular Fourier–Padé series expansion of European option prices pp. 1149-1171

Tat Lung (Ron) Chan

A term structure model of interest rates with quadratic volatility pp. 1173-1198

Hideyuki Takamizawa

Interest rate trees: extensions and applications pp. 1199-1209

John Hull and Alan White

Statistical tests of distributional scaling properties for financial return series pp. 1211-1232

Mark Hallam and Jose Olmo

Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk pp. 1233-1247

Klaus Grobys

Volume 18, issue 6, 2018

Pairs trading under transaction costs using model predictive control pp. 885-895

James A. Primbs and Yuji Yamada

Stock Market Crashes: Predictable and Unpredictable and What to Do About Them pp. 897-899

Didier Sornette and Tobias Huber

Calendar pp. 901-901

The Editors

Linear models for the impact of order flow on prices. I. History dependent impact models pp. 903-915

Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Tóth

Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model pp. 917-931

Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Tóth

Volatility is rough pp. 933-949

Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum

Orthogonal expansions for VIX options under affine jump diffusions pp. 951-967

Andrea Barletta and Elisa Nicolato

Bond and option pricing for interest rate model with clustering effects pp. 969-981

Xin Zhang, Jie Xiong and Yang Shen

Robust and consistent estimation of generators in credit risk pp. 983-1001

G. dos Reis and G. Smith

Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options pp. 1003-1016

J.-P. Fouque and Yuri F. Saporito

Rao’s quadratic entropy and maximum diversification indexation pp. 1017-1031

Benoît Carmichael, Nettey Boevi Gilles Koumou and Kevin Moran

Indexing mergers and acquisitions pp. 1033-1048

Jianhua Gang, Jie (Michael) Guo, Nan Hu and Xi Li

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method pp. 1049-1075

Jennifer Alonso-García, Oliver Wood and Jonathan Ziveyi

Volume 18, issue 5, 2018

Combining standard and behavioral portfolio theories: a practical and intuitive approach pp. 707-717

Alexandre Alles Rodrigues and Sebastien Lleo

Calendar pp. 719-719

The Editors

Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’ pp. 723-724

Jason Laws and Georgios Sermpinis

Ultra-high-frequency lead–lag relationship and information arrival pp. 725-735

Thong Minh Dao, Frank McGroarty and Andrew Urquhart

Forecasting and trading high frequency volatility on large indices pp. 737-748

Fei Liu, Athanasios A. Pantelous and Hans-Jörg von Mettenheim

Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market pp. 749-760

Roman Huptas

Neural network copula portfolio optimization for exchange traded funds pp. 761-775

Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis and Yukun Shi

Correlation as probability: applications of Sheppard’s formula to financial assets pp. 777-787

Javier Giner, Judit Mendoza Aguilar and Sandra Morini-Marrero

Cross-border exchanges and volatility forecasting pp. 789-799

Abhinav Goyal, Vasileios Kallinterakis, Dimos Kambouroudis and Jason Laws

The shifting dependence dynamics between the G7 stock markets pp. 801-812

Ahmed BenSaïda, Sabri Boubaker and Duc Khuong Nguyen

Cross-sectional dispersion and expected returns pp. 813-826

Thanos Verousis and Nikolaos Voukelatos

Government bond yields in Germany and Spain—empirical evidence from better days pp. 827-835

Tobias Basse, Christoph Wegener and Frederik Kunze

Monetary policy and stock valuation: structural VAR identification and size effects pp. 837-848

Alexandros Kontonikas and Zivile Zekaite

A dynamic equilibrium model for U-shaped pricing kernels pp. 851-875

Akira Yamazaki

Estimating a regime switching pairs trading model pp. 877-883

Robert J. Elliott and Reza Bradrania

Erratum pp. ei-ei

The Editors

Volume 18, issue 4, 2018

Too fast or too slow? Determining the optimal speed of financial markets pp. 519-532

Daniel Fricke and Austin Gerig

Call for Papers: Special Issue on ‘AI and machine learning in finance’ pp. 533-

The Editors

Calendar pp. 535-

The Editors

A multiple-curve Lévy forward rate model in a two-price economy pp. 537-561

Ernst Eberlein and Christoph Gerhart

Multi-curve HJM modelling for risk management pp. 563-590

Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti

An agent-based model of corporate bond trading pp. 591-608

Karen Braun-Munzinger, Z. Liu and Arthur Turrell

Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula pp. 609-622

Stefano De Marco and Claude Martini

Option augmented density forecasts of market returns with monotone pricing kernel pp. 623-635

Brendan Beare and Asad Dossani

Analytic value function for optimal regime-switching pairs trading rules pp. 637-654

Yang Bai and Lan Wu

Optimal execution in Hong Kong given a market-on-close benchmark pp. 655-671

Christoph Frei and Nicholas Westray

COS method for option pricing under a regime-switching model with time-changed Lévy processes pp. 673-692

G. Tour, N. Thakoor, A. Q. M. Khaliq and D. Y. Tangman

Recursive marginal quantization of higher-order schemes pp. 693-706

T. A. McWalter, R. Rudd, J. Kienitz and Eckhard Platen

Volume 18, issue 3, 2018

Optimal portfolios under a correlation constraint pp. 333-345

C. Bernard, D. Cornilly and Steven Vanduffel

The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction pp. 347-349

Nikolaos Tessaromatis

Calendar pp. 351-351

The Editors

Short term prediction of extreme returns based on the recurrence interval analysis pp. 353-370

Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro, Boris Podobnik, Chi Xie, H. Eugene Stanley and Wei-Xing Zhou

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns pp. 371-393

Rasmus T. Varneskov and Pierre Perron

A Bayesian encompassing test using combined value-at-risk estimates pp. 395-417

Georgios Tsiotas

A logistic regression point of view toward loss given default distribution estimation pp. 419-435

Ruey-Ching Hwang and Chih-Kang Chu

Empirical comparison of hazard models in predicting SMEs failure pp. 437-466

Jairaj Gupta, Andros Gregoriou and Tahera Ebrahimi

Liquidity risk in derivatives valuation: an improved credit proxy method pp. 467-481

Sumit Sourabh, Markus Hofer and Drona Kandhai

A new integral equation formulation for American put options pp. 483-490

Song-Ping Zhu, Xin-Jiang He and XiaoPing Lu

Smoothing the payoff for efficient computation of Basket option prices pp. 491-505

Christian Bayer, Markus Siebenmorgen and Raul Tempone

Sequential Monte Carlo for fractional stochastic volatility models pp. 507-517

Alexandra Chronopoulou and Konstantinos Spiliopoulos

Volume 18, issue 2, 2018

Sell in May and go away: the evidence in the international equity index futures markets pp. 171-181

Constantine Dzhabarov, Alexandre Ziegler and William T. Ziemba

The Economy: Economics for a Changing World pp. 183-185

Riccardo Rebonato

Calendar pp. 187-187

The Editors

Editors’ foreword pp. 191-192

Maggie Chen, Alan Hawkes, Khaldoun Khashanah, David McMillan, Mathieu Rosenbaum, Enrico Scalas and Steve Yang

Hawkes processes and their applications to finance: a review pp. 193-198

Alan G. Hawkes

Analysis of order book flows using a non-parametric estimation of the branching ratio matrix pp. 199-212

M. Achab, E. Bacry, J. F. Muzy and M. Rambaldi

A slightly depressing jump model: intraday volatility pattern simulation pp. 213-224

Khaldoun Khashanah, Jing Chen and Alan Hawkes

Performance of information criteria for selection of Hawkes process models of financial data pp. 225-235

J. Chen, A. G. Hawkes, Enrico Scalas and M. Trinh

Collective synchronization and high frequency systemic instabilities in financial markets pp. 237-247

Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani, Stefano Marmi and Fabrizio Lillo

High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration pp. 249-264

Xiaofei Lu and Frédéric Abergel

Transform analysis for Hawkes processes with applications in dark pool trading pp. 265-282

Xuefeng Gao, Xiang Zhou and Lingjiong Zhu

Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market pp. 283-293

Michael Schneider, F. Lillo and Loriana Pelizzon

Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events pp. 295-310

Steve Y. Yang, Anqi Liu, Jing Chen and Alan Hawkes

Constant proportion portfolio insurance strategies in contagious markets pp. 311-331

Alice Buccioli and Thomas Kokholm

Volume 18, issue 1, 2018

Election predictions as martingales: an arbitrage approach pp. 1-5

Nassim Nicholas Taleb

Algorithmic and High-Frequency Trading pp. 7-8

Mathieu Rosenbaum

Calendar pp. 9-9

The Editors

The value of convexity: a theoretical and empirical investigation pp. 11-30

Riccardo Rebonato and Vladislav Putyatin

Impact of multiple curve dynamics in credit valuation adjustments under collateralization pp. 31-44

Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicini

On VIX futures in the rough Bergomi model pp. 45-61

Antoine Jacquier, Claude Martini and Aitor Muguruza

Dividend derivatives pp. 63-81

R. S. Tunaru

Dynamic portfolio optimization across hidden market regimes pp. 83-95

Peter Nystrup, Henrik Madsen and Erik Lindström

Optimal pair-trading strategy over long/short/square positions—empirical study pp. 97-119

Kiyoshi Suzuki

Pairs trading with partial cointegration pp. 121-138

Matthew Clegg and Christopher Krauss

How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns pp. 139-169

Massimo Guidolin, Alexei G. Orlov and Manuela Pedio