Write in a clean editor, then format for International Journal of Theoretical and Applied Finance in one click — DocuGuru applies the official World Scientific template with superscript references and exports a submission-ready PDF plus the editable LaTeX source. Free to start.
International Journal of Theoretical and Applied Finance is a peer-reviewed journal published by World Scientific, covering Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies.
| Publisher | World Scientific |
|---|---|
| Reference style | Superscript numbered (World Scientific) Superscript — small raised numerals in the text 1. Smith, A., Jones, B. & Lee, C. A representative article title. International Journal of Theoretical and Applied Finance 12, 45–58 (2023).
Formats any DOI in the closest standard style — International Journal of Theoretical and Applied Finance has no published style definition, so this is an approximation. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis Economic theories and models |
| ISSN | 0219-0249 |
| Citation impact (2-yr) | 0.61 |
| h-index | 63 |
| i10-index | 489 |
| Total citations | 21,047 |
| Top institutions publishing here | Centre National de la Recherche Scientifique |
| Journal website | www.worldscinet.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
The finding of clustered volatility and ARCH effects is ubiquitous in financial data. This paper presents a possible explanation for this phenomenon within a multi-agent framework of speculative activity. In the model, both chartist and fundamentalist strategies are considered with agents switching between both behavioural variants according to observed differences in pay-offs. Price changes are…
We study a rational expectation model of bubbles and crashes. The model has two components: (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise traders. If the tendency for noise traders to imitate their nearest neighbors increases up to a certain point called the "critical" point, all…
A Black-Scholes market is considered in which the underlying economy, as modeled by the parameters and volatility of the processes, switches between a finite number of states. The switching is modeled by a hidden Markov chain. European options are priced and a Black-Scholes equation obtained. The approximate valuation of American options due to Barone-Adesi and…
We show that results from the theory of random matrices are potentially of great interest when trying to understand the statistical structure of the empirical correlation matrices appearing in the study of multivariate financial time series. We find a remarkable agreement between the theoretical prediction (based on the assumption that the correlation matrix is random)…
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of…
