International Journal of Theoretical and Applied Finance

VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Thomas Lux, Michele Marchesi · 2000 · 706 citations

Business, Economics, Finance +15

CRASHES AS CRITICAL POINTS

Anders Johansen, Olivier Ledoit, Didier Sornette · 2000 · 533 citations

Social Sciences, Economics, Finance +15

AMERICAN OPTIONS WITH REGIME SWITCHING

John Buffington, Robert J. Elliott · 2002 · 521 citations

Business, Finance, Mathematics +17

RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

Laurent Laloux, Pierre Cizeau, Marc Potters et al. · 2000 · 426 citations

Business, Finance, Risk Management +17

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

Alexei Chekhlov, Stan Uryasev, Michael Zabarankin · 2005 · 328 citations

Management, Financial Management, Risk Management +17