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Volume 19, Issue 5

Quantitative Finance

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Quantitative Finance, Volume 19, Issue 5 (2019)

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Quantitative Finance, Volume 19, Issue 5 (2019)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Volume 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Features

Article

Economic and political effects on currency clustering dynamics

M. Kremer, A. P. Becker, I. Vodenska, H. E. Stanley & R. Schäfer

Pages: 705-716

Published online: 13 Dec 2018

AbstractforEconomic and political effects on currency clustering dynamics | Full Text | References | PDF (1.4 MB) | EPUB

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Book review

Book Review

Optimization Methods in Finance

Giorgio Consigli

Pages: 717-719

Published online: 17 Apr 2019

First Page PreviewforOptimization Methods in Finance | Full Text | References | PDF (348.3 KB) | EPUB

991 Views
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Free Access

Invited Paper

Functional Itô calculus

Bruno Dupire

Pages: 721-729

Published online: 17 Apr 2019

AbstractforFunctional Itô calculus | Full Text | References | PDF (393.2 KB) | EPUB

1050 Views
3 CrossRef citations
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Calendar

Page: 731

Published online: 17 Apr 2019

CitationforCalendar | Full Text | PDF (757.2 KB) | EPUB

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Research Papers

Article

Price signatures

Roel Oomen

Pages: 733-761

Published online: 13 Nov 2018

AbstractforPrice signatures | Full Text | References | PDF (5.4 MB) | EPUB

627 Views
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Article

Leveraging a call-put ratio as a trading signal

Patrick Houlihan & Germán G. Creamer

Pages: 763-777

Published online: 13 Nov 2018

AbstractforLeveraging a call-put ratio as a trading signal | Full Text | References | PDF (604.7 KB) | EPUB

653 Views
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Article

Short-time near-the-money skew in rough fractional volatility models

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

Pages: 779-798

Published online: 13 Nov 2018

AbstractforShort-time near-the-money skew in rough fractional volatility models | Full Text | References | PDF (463 KB) | EPUB

2578 Views
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Open Access

Article

Backtesting extreme value theory models of expected shortfall

Alfonso Novales & Laura Garcia-Jorcano

Pages: 799-825

Published online: 13 Nov 2018

842 Views
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Article

A financially justifiable and practically implementable approach to coherent stress testing

Riccardo Rebonato

Pages: 827-842

Published online: 14 Nov 2018

AbstractforA financially justifiable and practically implementable approach to coherent stress testing | Full Text | References | PDF (2.1 MB) | EPUB

209 Views
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Article

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

Riza Demirer, Guilherme Demos, Rangan Gupta & Didier Sornette

Pages: 843-858

Published online: 14 Nov 2018

AbstractforOn the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators | Full Text | References | PDF (1.7 MB) | EPUB

688 Views
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Article

The impact of a partial borrowing limit on financial decisions

Byung Hwa Lim & Minsuk Kwak

Pages: 859-883

Published online: 13 Nov 2018

AbstractforThe impact of a partial borrowing limit on financial decisions | Full Text | References | PDF (1.5 MB) | EPUB

214 Views
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