International Journal of Financial Engineering (IJFE)

2015 - 2026

Continuation of Journal of Financial Engineering (JFE).

Current editor(s): George Yuan

From World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

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Volume 13, issue 02, 2026

The moderating role of inflation targeting in stock market volatility drivers: Machine learning insights into macro-financial channels pp. 1-36

Ichrak Dridi and Mohamed Malek Belhoula

How does market perception shape the capital structure and firm value nexus? A signaling theory perspective pp. 1-30

Muhammad Adil, Rana Yassir Hussain, Hasnat Ahmad and Izan Gul

Liquidity risk in portfolio selection: A stochastic control approach pp. 1-22

Dhruv Goel and Song-Ping Zhu

Greenvexity: Explicitizing green bonds’ implicit optionality pp. 1-32

Karim Henide

Safety-first criterion of security portfolio selection in jump-diffusion market for insurer pp. 1-12

Ziqin Guo

Long short-term memory network for high-frequency trading: A critical analysis based on an Italian case study pp. 1-56

Jacopo Chiapparino and Pier Giuseppe Giribone

Stock market prediction through deep reinforcement learning pp. 1-16

Mukhazar Ahmad Khan, Nayab Naveed and Syed Qasim Shah

A hybrid learning approach integrating ARIMA-GARCH-LSTM for value-at-risk forecasting pp. 1-31

Banafshe Eskandari and Burcu Hudaverdi

Feature-conditioned co-movements between cryptocurrencies and sustainability indices pp. 1-40

Ismail Adelopo and Xiaojun Luo

An investment strategy with a nondurable good and an insured durable good pp. 1-60

Ryle S. Perera and Kimitoshi Sato

Volume 13, issue 01, 2026

Erratum: A contrastive deep learning framework for measuring central bank monetary policy scores pp. 1-3

Daqing Tian, Zhongjian Feng and Ran Jiang

Financial performance measurement of commercial bank in Bangladesh: An application of DuPont analysis pp. 1-23

Md. Rostam Ali and Afsana Sima

Return and volatility connectedness across China, Japan, and Korea stock markets: Evidence from the R2 decomposed connectedness approach pp. 1-23

Wenhao Xie

Machine learning lumber price forecasts pp. 1-33

Bingzi Jin and Xiaojie Xu

Dynamic risk contagion and portfolio management between China’s energy-chemical and carbon markets: A TVP-VAR-DY-based framework pp. 1-24

Xin Sui, Qi Zhang, Yinwu Liu and Liqi Shen

A high-frequency test of the risk-return trade-off on macroeconomic announcement days pp. 1-40

Fei Mao and Sibo Yan

Bibliometric analysis on green finance and sustainable investment pp. 1-34

Mahesh Kumar Bagarti and Shreya Pahwa

Optimal consumption with intolerance for declining standard of living under nonlinear expectations pp. 1-34

Hanwu Li and Mengshuo Li

Study on the application of basis trade with option in Chinese maize contract farming using the BAW model pp. 1-18

Jingyi Gao, Emma Li, George Xianzhi Yuan, Yunhong Li, Zhongao Qin and Yue Gu

Valuation of non-life insurance under Kramer–Lundberg risk model equipped with regime-switching factor pp. 1-25

Eman Hasan, Farshid Mehrdoust and Idin Noorani

Multidimensional forecasting in option markets pp. 1-15

Dilip Madan and King Wang

Unlocking success in tech reward crowdfunding: A hybrid probit-machine learning approach with SHAP-driven feature analysis pp. 1-43

Jabeur Salhi, Ichrak Dridi and Oussama Gafrej

Volume 12, issue 04, 2025

Common institutional ownership and corporate excess leverage: Evidence from China pp. 1-31

Zhoujie Weng and Yimai Dong

Advanced statistical arbitrage with reinforcement learning pp. 1-24

Boming Ning and Kiseop Lee

The performance of excess volatility strategy under tail risk controls pp. 1-24

Dongfeng Chang, Wei Li, Xin Wang and Xinxin Zhao

Forecasts of share prices for China with machine learning pp. 1-36

Bingzi Jin and Xiaojie Xu

Modeling credit cycle index for loan loss forecasting under macro-economic scenarios pp. 1-26

Steven Zhu

Bitcoin price sentiment analysis and forecasting: Integrating VADER and LSTM models pp. 1-17

Anshul Agrawal, Sanjeev Kadam, Vibhanshu Jha and Ved Prakash

Do share trading volumes conform to Benford’s law? pp. 1-17

Abinash Kumar Behera and Suprava Sahu

Minimal shortfall strategies for liquidation of a basket of stocks using reinforcement learning pp. 1-17

Moustapha Pemy and Na Zhang

Contract sentence-level evaluation (Con-SEN): A sentence-level semantic engine for accurate recognition of financial contract clauses pp. 1-35

Zelin Li, Zhiyong Li, Tao Bai, Yin Huang and Shaolei Chen

Stock price forecasting based on mathematical morphology and differential inverted Transformer pp. 1-32

Jianmin Zhang, Chunling Li, Shilei Wang and Weiming Ou

Cryptocurrency Market Efficiency Revisited: A Bibliometric Analysis pp. 1-37

Islam Abdeljawad, Ahmad Tina, M. Kabir Hassan and Mamunur Rashid

Behavior of discount rates in present value calculation pp. 1-43

Denis M. Becker

Interest rate derivatives in a CTMC setting: Pricing, replication and Ross recovery pp. 1-14

Tim Leung and Matthew Lorig

Volume 12, issue 03, 2025

China commodity price index (CCPI) forecasting via the neural network pp. 1-27

Bingzi Jin and Xiaojie Xu

Enhancing the explainability of the default probability model using the logic learning machine: A comparison between native “white boxes†machine learning techniques pp. 1-37

Pier Giuseppe Giribone, Serena Berretta, Michelangelo Fusaro, Marco Muselli, Federico Tropiano and Damiano Verda

A lognormal/normal regime-switching commodity pricing model pp. 1-30

Zhushun Yuan and Roy H. Kwon

Comparison of numerical solutions of option pricing under two mixed Black–Scholes models pp. 1-26

Hossein Sahebi Fard and Elham Dastranj

A contrastive deep learning framework for measuring central bank monetary policy scores pp. 1-20

Daqing Tian, Zhongjian Feng and Ran Jiang

Application of machine learning with asymptotic expansion to unconstrained optimal portfolio pp. 1-28

Makoto Naito and Kohta Takehara

A novel hybrid model combining dimensionality reduction techniques and classification algorithms for credit scoring pp. 1-51

Mohammad Khanbabaei and Parastoo Kabi-Nejad

Optimal asset allocation using visual programming techniques: A quantitative analysis based on an ESG portfolio pp. 1-34

Pier Giuseppe Giribone, Damiano Verda, Francesco Mantovani, Federico Milanesio and Alessio Tissone

An empirical analysis of the effect of COVID-19 on the Indian mutual funds industry pp. 1-21

Rupsa Mahapatra, Kishore Kumar Das, Shahnawaz Ali and Pradeepta Banerjee

Commodity futures basis prediction based on the VMD–DBO–BiGRU model pp. 1-24

Yuanmeng Liu, Fuguo Liu, Yufeng Shi, Yuxue Zhang and Yijia Liu

Corporate tax avoidance and cash holdings: The role of institutional investors’ investment horizons pp. 1-24

Afef Slama

Jump-diffusion option pricing with non-IID jumps pp. 1-46

Lin Zou, António Câmara and Weiping Li

Bank size and efficiency in Pakistan: Interdependency of market power and economies of scale pp. 1-25

Mariya Ahmad Qureshi and Syed Faizan Iftikhar

Income diversity, ownership concentration and credit risk in commercial banks: Does bank growth matters? pp. 1-25

Haroon Hussain, Malik Waqar Ahmed, Hammad Hassan Mirza, Hira Irshad and Rana Yassir Hussain

Volume 12, issue 02, 2025

Unveiling market dynamics: Assessing the impact of derivatives contract redesign on market quality pp. 1-28

Rahul Kumar and Prasenjit Chakrabarti

Interest rate options in one-factor mixed modified fractional Vasicek model pp. 1-39

Eric Djeutcha, Jules Sadefo Kamdem and Louis Aimé Fono

Portfolio risk allocation through Shapley value pp. 1-18

Patrick S. Hagan, Andrew Lesniewski, Georgios E. Skoufis and Diana E. Woodward

An examination of impact of gold and oil prices on the stock markets indices during COVID-19 pp. 1-18

Samreen Fatima, Fouzia Sohail and Yumna Sajid

Assessing the risk impact of COVID-19 on China’s FinTech industry: A multi-dimensional analysis pp. 1-42

Li Zeng and Wee Yeap Lau

Methodological framework to define and measure “digital†financial inclusion pp. 1-23

N. P. Abdul Azeez, Mohammad Imdadul Haque, S. M. Jawed Akhtar and M. Nasira Banu

Predictable forward utility processes under ambiguity pp. 1-16

Jiale Du, Shuo Li, Fuguo Liu and Yufeng Shi

Tax avoidance and earnings management: Evidence from French firms pp. 1-20

Khawla Hlel

Optimal strategy in CIR model and modified constant elasticity of variance pp. 1-26

Arezou Karimi, Farshid Mehrdoust and Maziar Salahi

Does financial inclusion catalyze trade pp. 1-17

Syeda Zuimah Wasim, Khurram Iftikhar and Syed Zia Abbas Rizvi

Prediction of default probability of family farm based on TOPSIS-Logistic model pp. 1-22

Wenluhan Fu and Zhanjiang Li

Volume 12, issue 01, 2025

Option pricing for Barndorff–Nielsen and Shephard model by supervised deep learning pp. 1-16

Takuji Arai and Yuto Imai

Information transparency and stock sentiment beta: Evidence from China pp. 1-38

Jian Wang, Jiatuo Xu, Xiaoting Wang, Ting Liu and Jun Yang

Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China pp. 1-33

Dongfeng Chang, Tong Fu and Weiping Zhang

Predicting crude oil prices using SARIMA-X method: An empirical study pp. 1-12

Anshul Agrawal, Sanjeev Kadam, Pooja A. Kapoor and Mohammed Rashid

Decoding financial choices: Investigating factors influencing the investment dynamics of the working women pp. 1-25

K. Sushmitha and A. Jayabal

Does the COVID-19 outbreak affect dynamic co-movement among the stock markets of China, Japan, and the USA? pp. 1-18

Haoyu Li

Dynamic optimal hedging with futures in portfolio context pp. 1-18

Moustapha Pemy and Jules Sadefo Kamdem

Derivation of discrete analog of Breeden–Litzenberger relation for risk-neutral density pp. 1-8

Abhimanyu Kumar

Regression analysis of factors impacting interest rates pp. 1-20

Guizhou Wang and Kjell Hausken

Research on dynamic behavior hedging of corn price risk based on the LA-DCC-GARCH model under COVID-19 pp. 1-20

Sijie Li, Wenjing Guo and Min Zhu