Citation Analysis – Real-Time Detection of Local No-Arbitrage Violations

Real-Time Detection of Local No-Arbitrage Violations
Torben G. Andersen, Viktor Todorov, Bo Zhou
https://arxiv.org/abs/2307.10872

Citation mentions

Cited references

Sections

5,639

Words (approx)

References by Citation Intensity

Ordered by composite index (descending). Higher values indicate more intensive citation.

#	Reference	Year	Mentions	Breadth	Sec. Wtd	Share	Composite	Main %
1	Andersen, Torben G and Li, Yingying and Todorov, V... (self)	2021	5	3	8.0	0.057	1.000	100%
2	Todorov, Viktor (self)	2019	4	3	7.0	0.045	0.928	100%
3	Christensen, Kim and Oomen, Roel and Reno	2022	4	2	7.0	0.045	0.811	100%
4	Siegmund, David and Venkatraman, ES	1995	7	3	7.0	0.080	0.754	43%
5	Lai, Tze Leung	1995	3	2	4.0	0.034	0.737	100%
6	Phillips, Peter CB and Wu, Yangru and Yu, Jun	2011	2	2	3.0	0.023	0.644	100%
7	Phillips, Peter CB and Yu, Jun	2011	2	2	3.0	0.023	0.644	100%
8	Phillips, Peter CB and Shi, Shuping and Yu, Jun	2015	2	2	3.0	0.023	0.644	100%
9	Lorden, Gary	1971	2	2	3.0	0.023	0.644	100%
10	Siegmund, David	1988	3	2	3.0	0.034	0.511	33%
11	Lai, TL and Siegmund, D	1979	6	2	3.5	0.068	0.481	17%
12	Ross, Stephen A	1976	1	1	1.0	0.011	0.406	100%
13	Delbaen, Freddy and Schachermayer, Walter	1994	1	1	1.0	0.011	0.406	100%
14	Barndorff-Nielsen, Ole E and Hansen, P Reinhard an...	2009	1	1	1.0	0.011	0.406	100%
15	Christensen, Kim and Oomen, Roel CA and Podolskij,...	2014	1	1	1.0	0.011	0.406	100%
16	Kirilenko, Andrei and Kyle, Albert S and Samadi, M...	2017	1	1	1.0	0.011	0.406	100%
17	Menkveld, Albert J and Yueshen, Bart Zhou (self)	2019	1	1	1.0	0.011	0.406	100%
18	Andrews, Donald WK	1993	1	1	1.0	0.011	0.406	100%
19	Bai, Jushan	1996	1	1	1.0	0.011	0.406	100%
20	Bai, Jushan and Perron, Pierre	1998	1	1	1.0	0.011	0.406	100%
21	Elliott, Graham and Mu	2014	1	1	1.0	0.011	0.406	100%
22	Bu	2017	1	1	1.0	0.011	0.406	100%
23	Evans, Martin	2005	1	1	1.0	0.011	0.406	100%
24	Giannone, Domenico and Reichlin, Lucrezia and Smal...	2008	1	1	1.0	0.011	0.406	100%
25	Andreou, Elena and Ghysels, Eric and Kourtellos, A...	2013	1	1	1.0	0.011	0.406	100%
26	Ba\'n	2013	1	1	1.0	0.011	0.406	100%
27	Diba, Behzad T and Grossman, Herschel I	1988	1	1	1.0	0.011	0.406	100%
28	Phillips, Peter CB and Shi, Shuping and Yu, Jun	2014	1	1	1.0	0.011	0.406	100%
29	Phillips, Peter CB and Shi, Shu-Ping	2018	1	1	1.0	0.011	0.406	100%
30	Phillips, Peter CB and Shi, Shuping and Yu, Jun	2015	1	1	1.0	0.011	0.406	100%
31	Page, Ewan S	1954	1	1	1.0	0.011	0.406	100%
32	Shiryaev, Albert N	1963	1	1	1.0	0.011	0.406	100%
33	Roberts, SW	1966	1	1	1.0	0.011	0.406	100%
34	Moustakides, George V and others	1986	1	1	1.0	0.011	0.406	100%
35	Ritov, Yaacov	1990	1	1	1.0	0.011	0.406	100%
36	Shiryaev, Albert Nikolaevich	1996	1	1	1.0	0.011	0.406	100%
37	Moustakides, George V and others	2004	1	1	1.0	0.011	0.406	100%
38	Srivastava, MS and Wu, Yanhong	1993	1	1	1.0	0.011	0.406	100%
39	Figueroa-Lo	2019	1	1	1.0	0.011	0.406	100%
40	Andreou, Elena and Ghysels, Eric	2006	1	1	1.0	0.011	0.406	100%
41	Andreou, Elena and Ghysels, Eric	2008	1	1	1.0	0.011	0.406	100%
42	Pollak, M and Siegmund, D	1975	1	1	1.0	0.011	0.406	100%
43	Chu, Chia-Shang James and Stinchcombe, Maxwell and...	1996	1	1	1.0	0.011	0.406	100%
44	Leisch, Friedrich and Hornik, Kurt and Kuan, Chung...	2000	1	1	1.0	0.011	0.406	100%
45	Horva	2004	1	1	1.0	0.011	0.406	100%
46	Aue, Alexander and Horva	2004	1	1	1.0	0.011	0.406	100%
47	Aue, Alexander and Horva	2006	1	1	1.0	0.011	0.406	100%
48	Horvath, Lajos and Kokoszka, Piotr and Steinebach,...	2007	1	1	1.0	0.011	0.406	100%
49	Andersen, T.G. and Archakov, I. and Cebiroglu, G. ... (self)	2022	1	1	2.0	0.011	0.406	100%
50	Yao, Qiwei	1993	1	1	2.0	0.011	0.406	100%
51	Lai, Tze Leung and Shan, Jerry Z	1999	2	1	1.0	0.023	0.110	0%
52	Dragalin, VP	1994	2	1	1.0	0.023	0.110	0%
53	Hagwood, Charles and Woodroofe, Michael	1982	2	1	1.0	0.023	0.110	0%
54	Chan, Hock Peng and Lai, Tze Leung	2003	1	1	0.5	0.011	0.087	0%
55	Embrechts, Paul and Klu	2013	1	1	0.5	0.011	0.087	0%
56	Xie, Yao and Siegmund, David	2013	1	1	0.5	0.011	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Andersen, Torben G and Li, Yingying and Todorov, V... (self)

2021

8.0

0.057

1.000

100%

Todorov, Viktor (self)

2019

7.0

0.045

0.928

100%

Christensen, Kim and Oomen, Roel and Reno

2022

7.0

0.045

0.811

100%

Siegmund, David and Venkatraman, ES

1995

7.0

0.080

0.754

43%

Lai, Tze Leung

1995

4.0

0.034

0.737

100%

Phillips, Peter CB and Wu, Yangru and Yu, Jun

2011

3.0

0.023

0.644

100%

Phillips, Peter CB and Yu, Jun

2011

3.0

0.023

0.644

100%

Phillips, Peter CB and Shi, Shuping and Yu, Jun

2015

3.0

0.023

0.644

100%

Lorden, Gary

1971

3.0

0.023

0.644

100%

Siegmund, David

1988

3.0

0.034

0.511

33%

Lai, TL and Siegmund, D

1979

3.5

0.068

0.481

17%

Ross, Stephen A

1976

1.0

0.011

0.406

100%

Delbaen, Freddy and Schachermayer, Walter

1994

1.0

0.011

0.406

100%

Barndorff-Nielsen, Ole E and Hansen, P Reinhard an...

2009

1.0

0.011

0.406

100%

Christensen, Kim and Oomen, Roel CA and Podolskij,...

2014

1.0

0.011

0.406

100%

Kirilenko, Andrei and Kyle, Albert S and Samadi, M...

2017

1.0

0.011

0.406

100%

Menkveld, Albert J and Yueshen, Bart Zhou (self)

2019

1.0

0.011

0.406

100%

Andrews, Donald WK

1993

1.0

0.011

0.406

100%

Bai, Jushan

1996

1.0

0.011

0.406

100%

Bai, Jushan and Perron, Pierre

1998

1.0

0.011

0.406

100%

Elliott, Graham and Mu

2014

1.0

0.011

0.406

100%

2017

1.0

0.011

0.406

100%

Evans, Martin

2005

1.0

0.011

0.406

100%

Giannone, Domenico and Reichlin, Lucrezia and Smal...

2008

1.0

0.011

0.406

100%

Andreou, Elena and Ghysels, Eric and Kourtellos, A...

2013

1.0

0.011

0.406

100%

Ba\'n

2013

1.0

0.011

0.406

100%

Diba, Behzad T and Grossman, Herschel I

1988

1.0

0.011

0.406

100%

Phillips, Peter CB and Shi, Shuping and Yu, Jun

2014

1.0

0.011

0.406

100%

Phillips, Peter CB and Shi, Shu-Ping

2018

1.0

0.011

0.406

100%

Phillips, Peter CB and Shi, Shuping and Yu, Jun

2015

1.0

0.011

0.406

100%

Page, Ewan S

1954

1.0

0.011

0.406

100%

Shiryaev, Albert N

1963

1.0

0.011

0.406

100%

Roberts, SW

1966

1.0

0.011

0.406

100%

Moustakides, George V and others

1986

1.0

0.011

0.406

100%

Ritov, Yaacov

1990

1.0

0.011

0.406

100%

Shiryaev, Albert Nikolaevich

1996

1.0

0.011

0.406

100%

Moustakides, George V and others

2004

1.0

0.011

0.406

100%

Srivastava, MS and Wu, Yanhong

1993

1.0

0.011

0.406

100%

Figueroa-Lo

2019

1.0

0.011

0.406

100%

Andreou, Elena and Ghysels, Eric

2006

1.0

0.011

0.406

100%

Andreou, Elena and Ghysels, Eric

2008

1.0

0.011

0.406

100%

Pollak, M and Siegmund, D

1975

1.0

0.011

0.406

100%

Chu, Chia-Shang James and Stinchcombe, Maxwell and...

1996

1.0

0.011

0.406

100%

Leisch, Friedrich and Hornik, Kurt and Kuan, Chung...

2000

1.0

0.011

0.406

100%

Horva

2004

1.0

0.011

0.406

100%

Aue, Alexander and Horva

2004

1.0

0.011

0.406

100%

Aue, Alexander and Horva

2006

1.0

0.011

0.406

100%

Horvath, Lajos and Kokoszka, Piotr and Steinebach,...

2007

1.0

0.011

0.406

100%

Andersen, T.G. and Archakov, I. and Cebiroglu, G. ... (self)

2022

2.0

0.011

0.406

100%

Yao, Qiwei

1993

2.0

0.011

0.406

100%

Lai, Tze Leung and Shan, Jerry Z

1999

1.0

0.023

0.110

Dragalin, VP

1994

1.0

0.023

0.110

Hagwood, Charles and Woodroofe, Michael

1982

1.0

0.023

0.110

Chan, Hock Peng and Lai, Tze Leung

2003

0.5

0.011

0.087

Embrechts, Paul and Klu

2013

0.5

0.011

0.087

Xie, Yao and Siegmund, David

2013

0.5

0.011

0.087

Measures: Mentions = total in-text citations; Breadth = distinct sections; Sec. Wtd = section-weighted count (body ×2, lit review/appendix ×0.5); Share = mentions / total citations in paper; Composite = geometric mean of normalised count, breadth, and main-text ratio; Main % = fraction of mentions in main text (excl. appendix). (self) = self-citation.