Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 15, issue 12, 2015

Cross-sectional universalities in financial time series pp. 1901-1912

Gilles Zumbach

Risk-Sensitive Investment Management pp. 1913-1914

Albina Danilova

The impact of Basel III on financial (in)stability: an agent-based credit network approach pp. 1917-1932

Sebastian Krug, Matthias Lengnick and Hans-Werner Wohltmann

When does low interconnectivity cause systemic risk? pp. 1933-1942

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

Jorge V. P�rez-Rodr�guez and Emilio G�mez-D�niz

Stochastic modelling of herd behaviour indices pp. 1963-1977

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

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

Jos� 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

Wendong Zheng and Yue Kuen Kwok

Effects of market default risk on index option risk-neutral moments pp. 2021-2040

Panayiotis C. Andreou

A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting pp. 2041-2052

Yacin Jerbi

Maximizing survival, growth and goal reaching under borrowing constraints pp. 2053-2065

Haluk Yener

Volume 15, issue 11, 2015

Path integral and asset pricing pp. 1759-1771

Zura Kakushadze

The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications pp. 1773-1775

Surekha Rao

A note on "Modelling exchange rate returns: which flexible distribution to use?" pp. 1777-1785

Saralees Nadarajah, Emmanuel Afuecheta and Stephen Chan

A nested factor model for non-linear dependencies in stock returns pp. 1789-1804

R. Chicheportiche and J.-P. Bouchaud

A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering pp. 1805-1821

Quan Gan, Wang Chun Wei and David Johnstone

Performance-weighted ensembles of random forests for predicting price impact pp. 1823-1835

Ash Booth, Enrico Gerding and Frank McGroarty

Fundamentalists, chartists and asset pricing anomalies pp. 1837-1850

Sandrine Jacob Leal

Modelling exchange rate returns: which flexible distribution to use? pp. 1851-1864

Canan G. Corlu and Alper Corlu

A smooth non-parametric estimation framework for safety-first portfolio optimization pp. 1865-1884

Haixiang Yao, Yong Li and Karen Benson

Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes pp. 1885-1900

Helin Zhu, Fan Ye and Enlu Zhou

Volume 15, issue 10, 2014

Stochastic volatility with heterogeneous time scales pp. 1597-1608

D. Delpini and G. Bormetti

Yield Curve Modeling and Forecasting--The Dynamic Nelson-Siegel Approach pp. 1609-1612

Riccardo Rebonato

Special Issue of Quantitative Finance on 'Financial Data Analytics' pp. 1617-1617

Jessica James, Dietmar Maringer, Vasile Palade and Antoaneta Serguieva

Bank networks from text: interrelations, centrality and determinants pp. 1619-1635

Samuel R�nnqvist and Peter Sarlin

Twitter financial community sentiment and its predictive relationship to stock market movement pp. 1637-1656

Steve Y. Yang, Sheung Yin Kevin Mo and Anqi Liu

Data-driven methods for equity similarity prediction pp. 1657-1681

John Robert Yaros and Tomasz Imieliński

Gaussian process-based algorithmic trading strategy identification pp. 1683-1703

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

Brian C. Payne and Jiri Tresl

An analysis of price impact functions of individual trades on the London stock exchange pp. 1727-1735

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

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

Jonathan Fullwood and Jessica James

Financial Modeling: A Backward Stochastic Differential Equations Perspective pp. 1445-1446

Eymen Errais

Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013 pp. 1449-1469

A. N. Shiryaev, M. V. Zhitlukhin and W. T. Ziemba

Time series momentum trading strategy and autocorrelation amplification pp. 1471-1487

K. J. Hong and S. Satchell

Statistical arbitrage in the Black-Scholes framework pp. 1489-1499

Ahmet G�nc�

A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests pp. 1501-1514

Jae Kim and Abul Shamsuddin

Implied integrated variance and hedging pp. 1515-1530

Ruth Kaila

Stylised facts of financial time series and hidden Markov models in continuous time pp. 1531-1541

Peter Nystrup, Henrik Madsen and Erik Lindstr�m

General equilibrium pricing with multiple dividend streams and regime switching pp. 1543-1557

Jia Shen and Robert J. Elliott

Mixed tempered stable distribution pp. 1559-1569

Edit Rroji and Lorenzo Mercuri

A factor contagion model for portfolio credit derivatives pp. 1571-1582

Geon Ho Choe, Hyun Jin Jang and Soon Won Kwon

Dynamic risk taking with bonus schemes pp. 1583-1596

Dietmar P.J. Leisen

Volume 15, issue 8, 2015

Stochastic portfolio theory optimization and the origin of rule-based investing pp. 1259-1266

Gianluca Oderda

High-frequency Trading pp. 1267-1271

Riccardo Rebonato

Special Issue of Quantitative Finance on 'High Frequency Data Modeling in Finance' pp. 1277-1277

Ionut Florescu, Maria C. Mariani, H. Eugene Stanley and Frederi G. Viens

Optimal execution with limit and market orders pp. 1279-1291

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

V. Filimonov and D. Sornette

Modelling high-frequency limit order book dynamics with support vector machines pp. 1315-1329

Alec N. Kercheval and Yuan Zhang

High-frequency volatility of volatility estimation free from spot volatility estimates pp. 1331-1345

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

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

Maria Pia Beccar Varela, Francis Biney and Ionut Florescu

Emergence of statistically validated financial intraday lead-lag relationships pp. 1375-1386

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

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

Germ�n G. Creamer

Numerical methods applied to option pricing models with transaction costs and stochastic volatility pp. 1417-1424

Maria C. Mariani, Indranil SenGupta and Granville Sewell

High-performance financial simulation using randomized quasi-Monte Carlo methods pp. 1425-1436

Linlin Xu and Giray Ökten

Volume 15, issue 7, 2015

Multiperiod conditional valuation of barrier options with incomplete information pp. 1093-1102

Stoyan Valchev, Radu Tunaru and Frank Fabozzi

The Reckoning: Financial Accountability and the Rise and Fall of Nations pp. 1103-1105

Lloyd Kurtz

A fully consistent, minimal model for non-linear market impact pp. 1109-1121

J. Donier, J. Bonart, I. Mastromatteo and J.-P. Bouchaud

Market impact as anticipation of the order flow imbalance pp. 1123-1135

Thibault Jaisson

Modelling systemic price cojumps with Hawkes factor models pp. 1137-1156

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

Optimal payoffs under state-dependent preferences pp. 1157-1173

Carole Bernard, Franck Moraux, Ludger R�schendorf and Steven Vanduffel

Option overlay strategies pp. 1175-1190

Dilip B. Madan and Yazid M. Sharaiha

Computing optimal rebalance frequency for log-optimal portfolios in linear time pp. 1191-1204

Sujit R. Das and Mukul Goyal

Equity portfolio diversification with high frequency data pp. 1205-1215

Vitali Alexeev and Mardi Dungey

News, volatility and jumps: the case of natural gas futures pp. 1217-1242

Svetlana Borovkova and Diego Mahakena

Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model pp. 1243-1257

Dan Pirjol

Volume 15, issue 6, 2015

Structural breaks and portfolio performance in global equity markets pp. 909-922

Harry J. Turtle and Chengping Zhang

Asset Management: A Systematic Approach to Factor Investing pp. 923-927

Robert M. Anderson

'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets pp. 933-958

Lei Wu, Qingbin Meng and Kuan Xu

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility pp. 959-973

Jozef Baruník and Jiri Kukacka

A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback pp. 975-998

William T. Shaw and Marcus Schofield

Predicting abnormal returns from news using text classification pp. 999-1012

Ronny Luss and Alexandre D'Aspremont

Two-step methods in VaR prediction and the importance of fat tails pp. 1013-1030

Ibrahim Ergen

Limited information-processing capacity and asymmetric stock correlations pp. 1031-1039

Ozcan Ceylan

Jump robust two time scale covariance estimation and realized volatility budgets pp. 1041-1054

Kris Boudt and Jin Zhang

Using information quality for volatility model combinations pp. 1055-1073

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

Eduardo Acosta-Gonz�lez, Reinaldo Armas-Herrera and Fernando Fern�ndez-Rodr�guez

Volume 15, issue 5, 2015

On elicitable risk measures pp. 725-733

Fabio Bellini and Valeria Bignozzi

Financial Modeling, Actuarial Valuation and Solvency in Insurance pp. 735-740

J. Bohn

Precious metals under the microscope: a high-frequency analysis pp. 743-759

Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo

Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities pp. 761-772

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

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

I. Muni Toke

A practical approach to semideviation and its time scaling in a jump-diffusion process pp. 809-827

R. Oeuvray and P. Junod

On break-even correlation: the way to price structured credit derivatives by replication pp. 829-840

Jean-David Fermanian and Olivier Vigneron

A mathematical model for multi-name credit based on community flocking pp. 841-851

Seung-Yeal Ha, Kyoung-Kuk Kim and Kiseop Lee

Portfolio choices and VaR constraint with a defaultable asset pp. 853-864

Emilio Barucci and Andrea Cosso

Leverage effect breakdowns and flight from risky assets pp. 865-871

Stephen Matteo Miller

Hedging jump risk, expected returns and risk premia in jump-diffusion economies pp. 873-888

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

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

Qingshuo Song and Pengfei Yang

Volume 15, issue 4, 2015

Partial correlation analysis: applications for financial markets pp. 569-578

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

Michael Dempster

Special issue of Quantitative Finance on 'Interlinkages and Systemic Risk' pp. 587-588

Giovanni di Iasio, Mauro Gallegati, Fabrizio Lillo and Rosario Mantegna

Input-output-based measures of systemic importance pp. 589-606

Iñaki Aldasoro and Ignazio Angeloni

Does financial connectedness predict crises? pp. 607-624

Camelia Minoiu, Chanhyun Kang, V.S. Subrahmanian and Anamaria Berea

Filling in the blanks: network structure and interbank contagion pp. 625-636

Kartik Anand, Ben Craig and Goetz von Peter

Interbank contagion and resolution procedures: inspecting the mechanism pp. 637-652

Edoardo Gaffeo and Massimo Molinari

Modelling the emergence of the interbank networks pp. 653-671

Grzegorz Haᴌaj and Christoffer Kok

The multiplex structure of interbank networks pp. 673-691

Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, F. Lillo and F. Pierobon

Quantifying preferential trading in the e-MID interbank market pp. 693-710

Vasilis Hatzopoulos, Giulia Iori, Rosario Mantegna, Salvatore Miccich� and Michele Tumminello

Expectations and systemic risk in EMU government bond spreads pp. 711-724

Paolo Canofari, Giancarlo Marini and Giovanni Piersanti

Volume 15, issue 3, 2015

In search of statistically valid risk factors pp. 385-393

Robert M. Anderson, Stephen W. Bianchi and Lisa R. Goldberg

Risk and Uncertainty in the Art World pp. 395-397

Benjamin Mandel

A L�vy HJM multiple-curve model with application to CVA computation pp. 401-419

St�phane Cr�pey, Zorana Grbac, Nathalie Ngor and David Skovmand

Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided L�vy models: the parabolic Laplace inversion method pp. 421-441

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

John Hull and Alan White

The Markov-switching jump diffusion LIBOR market model pp. 455-476

Lea Steinruecke, R. Zagst and A. Swishchuk

Uncertainty aversion, robust control and asset holdings pp. 477-491

Giannis Vardas and Anastasios Xepapadeas

What is the impact of wealth shocks on asset allocation? pp. 493-508

Ricardo Sousa

A Black-Litterman asset allocation model under Elliptical distributions pp. 509-519

Yugu Xiao and Emiliano A. Valdez

A financial CCAPM and economic inequalities pp. 521-534

Charles S. Tapiero

Optimal hedging for fund and insurance managers with partially observable investment flows pp. 535-551

Masaaki Fujii and Akihiko Takahashi

Risk and efficiency in the Central and Eastern European banking industry under quantile analysis pp. 553-567

Emmanuel Mamatzakis

Volume 15, issue 2, 2015

Beta-arbitrage strategies: when do they work, and why? pp. 185-203

Gianluca Oderda, Tony Berrada, Reda Jurg Messikh and Olivier Pictet

Flash Boys: Cracking the Money Code pp. 205-206

Philip Protter

Flash Boys: Cracking the Money Code pp. 207-208

Rishi K Narang

How news affects the trading behaviour of different categories of investors in a financial market pp. 213-229

Fabrizio Lillo, Salvatore Miccich�, Michele Tumminello, Jyrki Piilo and Rosario Mantegna

Ensemble properties of high-frequency data and intraday trading rules pp. 231-245

F. Baldovin, F. Camana, Massimiliano Caporin, M. Caraglio and A.L. Stella

Automatic one two three pp. 247-260

Stanislaus Maier-Paape

Trend momentum pp. 261-284

Wilhelm Berghorn

Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities pp. 285-298

Panagiotis Schizas and Dimitrios Thomakos

The payoff distribution model: an application to dynamic portfolio insurance pp. 299-312

Alexandre Hocquard, Nicolas Papageorgiou and Bruno Remillard

Evaluating discrete dynamic strategies in affine models pp. 313-326

Flavio Angelini and Stefano Herzel

Time horizon trading and the idiosyncratic risk puzzle pp. 327-343

Juliana Malagon, David Moreno and Rosa Rodr�guez

Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market pp. 345-358

Fernando Mu�oz, Ruth Vicente and Luis Ferruz

Selection of balanced portfolios to track the main properties of a large market pp. 359-370

Donatien Tafin Djoko and Yves Till�

Application of a TGARCH-wavelet neural network to arbitrage trading in the metal futures market in China pp. 371-384

Lei Cui, Ke Huang and H.J. Cai

Volume 15, issue 1, 2015

The DNA of security return pp. 1-17

Changho Han

Nonlinear Option Pricing pp. 19-21

Tai-Ho Wang

Stress scenario selection by empirical likelihood pp. 25-41

Paul Glasserman, Chulmin Kang and Wanmo Kang

Systematic scenario selection: stress testing and the nature of uncertainty pp. 43-59

Mark Flood and George G. Korenko

Estimating the probability of multiple EU sovereign defaults using CDS and bond data pp. 61-78

R. Pianeti and R. Giacometti

Liquidity premium in the presence of stock market crises and background risk pp. 79-90

Sergei Isaenko and Rui Zhong

Multiscale exponential L�vy-type models pp. 91-100

Matthew Lorig and Oriol Lozano-Carbass�

A parallel wavelet-based pricing procedure for Asian options pp. 101-113

S. Corsaro, D. Marazzina and Z. Marino

Convertible bond valuation in a jump diffusion setting with stochastic interest rates pp. 115-129

Laura Ballotta and Ioannis Kyriakou

Strategic commodity allocation pp. 131-150

Pierre Six

Portfolio selection with commodities under conditional copulas and skew preferences pp. 151-170

Carlos Gonz�lez-Pedraz, Manuel Moreno and Juan Ignacio Pe�a

Perverse timing or biased coefficients? pp. 171-183

Mercedes Alda, Mar�a Vargas and Luis Ferruz