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Quantitative Finance
H-index 14

Quantitative Finance

1469-7688

Published by: Taylor & Francis

https://www.tandfonline.com/loi/rquf20

Ranking & Metrics

Discipline name Position Best Scientists Publications D-Index
Economics and Finance 169 35 60 12

Additional Metrics

Number of Best Scientists*: 66
Documents by Best Scientists*: 97
Top 100 Ranked Scientists*: 4
SCIMAGO H-index: 89
SCIMAGO SJR: 0.695
Impact Factor: 1.4

Overview

Top Research Topics at Quantitative Finance?

Quantitative Finance mostly deals with topics like Econometrics, Financial economics, Volatility (finance), Portfolio and Mathematical optimization. Topics in Econometrics were tackled in line with various other fields like Statistics and Actuarial science. While work presented in Quantitative Finance provided substantial information on Financial economics, it also covered topics in Market liquidity, Financial market and Stock market.

Portfolio optimization is a major topic of Portfolio research. The work tackled in the journal goes beyond the discipline of Mathematical optimization as it also encompasses Monte Carlo method. Stochastic volatility and Applied mathematics are closely related fields of research discussed in Quantitative Finance.

The Implied volatility study featured in the journal draws connections with the study of Volatility smile. Quantitative Finance investigates Volatility smile research which frequently intersects with Volatility swap.

  • Econometrics (41.59%)
  • Financial economics (22.06%)
  • Volatility (finance) (12.86%)

What are the most cited papers published in the journal?

  • Empirical properties of asset returns: stylized facts and statistical issues (2154 citations)
  • Network topology of the interbank market (568 citations)
  • What good is a volatility model (519 citations)

Research areas of the most cited articles at Quantitative Finance:

The journal publications are organized to address concerns in the fields of Econometrics, Financial economics, Volatility (finance), Stochastic volatility and Financial market. The most cited articles explore research in Econometrics alongside concepts in Actuarial science and other areas of study in Portfolio. The published papers explore research in Implied volatility and overlapping concepts in Volatility smile to expand the discourse in Stochastic volatility.

What topics the last edition of the journal is best known for?

  • Statistics
  • Finance
  • Mathematical analysis

The previous edition focused in particular on these issues:

Econometrics, Portfolio, Volatility (finance), Applied mathematics and Mathematical optimization are among the topics commonly tackled in Quantitative Finance. The journal is focused mainly on Econometrics, particularly Stochastic volatility. Quantitative Finance connects the study in Portfolio with the closely related area of Selection (genetic algorithm).

The journal focuses on Applied mathematics as well as the interrelated topic of Valuation of options. The study on Mathematical optimization presented in Quantitative Finance intersects with the topics under Portfolio optimization. The journal focused on Expected shortfall research but expanded to cover Value at risk.

The most cited articles from the last journal are:

  • Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (18 citations)
  • Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (10 citations)
  • Volatility has to be rough (8 citations)

Papers citation over time

A key indicator for each journal is its effectiveness in reaching other researchers with the papers published at that venue.

The chart below presents the interquartile range (first quartile 25%, median 50% and third quartile 75%) of the number of citations of articles over time.

The top authors publishing in Quantitative Finance (based on the number of publications) are:

  • Didier Sornette (29 papers) published 3 papers at the last edition,
  • Fabrizio Lillo (25 papers) published 1 paper at the last edition, 2 less than at the previous edition,
  • Gilles Zumbach (16 papers) published 1 paper at the last edition,
  • Riccardo Rebonato (16 papers) absent at the last edition,
  • Michael A. H. Dempster (14 papers) absent at the last edition.

The overall trend for top authors publishing in this journal is outlined below. The chart shows the number of publications at each edition of the journal for top authors.

Only papers with recognized affiliations are considered

The top affiliations publishing in Quantitative Finance (based on the number of publications) are:

  • Imperial College London (47 papers) published 7 papers at the last edition, 4 more than at the previous edition,
  • The Chinese University of Hong Kong (32 papers) published 2 papers at the last edition the same number as at the previous edition,
  • University of Oxford (28 papers) published 1 paper at the last edition,
  • Swiss Finance Institute (28 papers) published 1 paper at the last edition,
  • University of Cambridge (27 papers) absent at the last edition.

The overall trend for top affiliations publishing in this journal is outlined below. The chart shows the number of publications at each edition of the journal for top affiliations.

Publication chance based on affiliation

The publication chance index shows the ratio of articles published by the best research institutions in the journal edition to all articles published within that journal. The best research institutions were selected based on the largest number of articles published during all editions of the journal.

The chart below presents the percentage ratio of articles from top institutions (based on their ranking of total papers).Top affiliations were grouped by their rank into the following tiers: top 1-10, top 11-20, top 21-50, and top 51+. Only articles with a recognized affiliation are considered.

During the most recent 2021 edition, 4.29% of publications had an unrecognized affiliation. Out of the publications with recognized affiliations, 14.18% were posted by at least one author from the top 10 institutions publishing in the journal. Another 10.45% included authors affiliated with research institutions from the top 11-20 affiliations. Institutions from the 21-50 range included 18.66% of all publications and 56.72% were from other institutions.

Returning Authors Index

A very common phenomenon observed among researchers publishing scientific articles is the intentional selection of journals they have already attended in the past. In particular, it is worth analyzing the case when the authors participate in the same journal from year to year.

The Returning Authors Index presented below illustrates the ratio of authors who participated in both a given as well as the previous edition of the journal in relation to all participants in a given year.

Returning Institution Index

The graph below shows the Returning Institution Index, illustrating the ratio of institutions that participated in both a given and the previous edition of the conference in relation to all affiliations present in a given year.

The experience to innovation index

Our experience to innovation index was created to show a cross-section of the experience level of authors publishing in a journal. The index includes the authors publishing at the last edition of a journal, grouped by total number of publications throughout their academic career (P) and the total number of citations of these publications ever received (C).

The group intervals were selected empirically to best show the diversity of the authors' experiences, their labels were selected as a convenience, not as judgment. The authors were divided into the following groups:

  • Novice - P < 5 or C < 25 (the number of publications less than 5 or the number of citations less than 25),
  • Competent - P < 10 or C < 100 (the number of publications less than 10 or the number of citations less than 100),
  • Experienced - P < 25 or C < 625 (the number of publications less than 25 or the number of citations less than 625),
  • Master - P < 50 or C < 2500 (the number of publications less than 50 or the number of citations less than 2500),
  • Star - P ≥ 50 and C ≥ 2500 (both the number of publications greater than 50 and the number of citations greater than 2500).

The chart below illustrates experience levels of first authors in cases of publications with multiple authors.

Career Pathways in Quantitative Finance

One potential career pathway within the field of Quantitative Finance is becoming a Certified Public Accountant (CPA). The skills and knowledge learned within the depth of study in Quantitative Finance translate well into the role, making it a competitive career choice for many individuals in the field. As a CPA, you will utilize much of the knowledge taught in Quantitative Finance in day-to-day tasks such as auditing, financial reporting, and tax preparation, among others. In this role, attention to detail, problem-solving skills, and a strong grasp of econometrics, finance, and mathematical optimization are highly advantageous. Becoming a CPA requires passing a comprehensive exam and meeting additional state licensure requirements. For instance, in Washington, it involves completing a total of at least 150 semester hours of college education, and acquiring specific job experience. Find out more about the pathway to becoming a CPA in Washington, including the best accounting schools in the state on this link: how to be a cpa in washington. Despite the challenging journey, the reward of a career as a CPA ensures security, satisfaction, and opportunities for growth. For quantitatively finance-minded people, it might be a career worth considering.

Top Publications

  • A critical investigation of cryptocurrency data and analysis

    C. Alexander;M. Dakos

    (2020)
    176 Citations
  • Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies

    Alla Petukhina;Simon Trimborn;Wolfgang Karl Härdle;Hermann Elendner

    (2021)
    75 Citations
  • Multilayer information spillover networks: measuring interconnectedness of financial institutions

    Gang-Jin Wang;Shuyue Yi;Chi Xie;H. Eugene Stanley

    (2021)
    69 Citations
  • A neural network approach to understanding implied volatility movements

    Jay Cao;Jacky Chen;John Hull

    (2020)
    39 Citations
  • Jumps and oil futures volatility forecasting: a new insight

    Feng Ma;Chao Liang;Qing Zeng;Haibo Li

    (2021)
    35 Citations

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Best Scientists Contributing to This Journal