Citation Analysis – A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages

A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
Kasper Johansson, Thomas Schmelzer, Stephen Boyd
https://arxiv.org/abs/2412.02660

Citation mentions

Cited references

Sections

3,866

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	K. Johansson and T. Schmelzer and S. Boyd (self)	2023	7	5	11.5	0.184	1.000	100%
2	S. Boyd and K. Johansson and R. Kahn and P. Schiel... (self)	2023	4	2	8.0	0.105	0.811	100%
3	K. Johansson and M. Ogut and M. Pelger and T. Schm... (self)	2023	4	2	8.0	0.105	0.811	100%
4	Grinold, R. and Kahn, R.	2000	3	2	6.0	0.079	0.737	100%
5	Pole, A.	2011	1	1	0.5	0.026	0.406	100%
6	Gatev, E. and Goetzmann, W. and Rouwenhorst, G.	2006	1	1	0.5	0.026	0.406	100%
7	Avellaneda, M. and Lee, J.	2010	1	1	0.5	0.026	0.406	100%
8	Nakajima, T.	2019	1	1	0.5	0.026	0.406	100%
9	Vaitonis, M. and Masteika, S.	2017	1	1	0.5	0.026	0.406	100%
10	Fischer, T. and Krauss, C. and Deinert, A.	2019	1	1	0.5	0.026	0.406	100%
11	Krauss, C.	2017	1	1	0.5	0.026	0.406	100%
12	Bollinger, J.	1992	1	1	0.5	0.026	0.406	100%
13	Bollinger, J.	2002	1	1	0.5	0.026	0.406	100%
14	Yamada, Y. and Primbs, J.	2012	1	1	0.5	0.026	0.406	100%
15	Primbs, J. and Yamada, Y.	2018	1	1	0.5	0.026	0.406	100%
16	Yamada, Y. and Primbs, J.	2018	1	1	0.5	0.026	0.406	100%
17	Yamada, Y. and Primbs, J.	2012	1	1	0.5	0.026	0.406	100%
18	Markowitz, H.	1952	1	1	2.0	0.026	0.406	100%
19	Markowitz, H.	1959	1	1	2.0	0.026	0.406	100%
20	Boyd, S. and Vandenberghe, L. (self)	2004	1	1	2.0	0.026	0.406	100%
21	Barratt, S. and Boyd, S. (self)	2022	1	1	2.0	0.026	0.406	100%
22	WRDS		1	1	2.0	0.026	0.406	100%
23	Engle, R.	2002	1	1	2.0	0.026	0.406	100%
24	Guijarro-Ordonez, J. and Pelger, M. and Zanotti, G...	2021	1	1	2.0	0.026	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

K. Johansson and T. Schmelzer and S. Boyd (self)

2023

11.5

0.184

1.000

100%

S. Boyd and K. Johansson and R. Kahn and P. Schiel... (self)

2023

8.0

0.105

0.811

100%

K. Johansson and M. Ogut and M. Pelger and T. Schm... (self)

2023

8.0

0.105

0.811

100%

Grinold, R. and Kahn, R.

2000

6.0

0.079

0.737

100%

Pole, A.

2011

0.5

0.026

0.406

100%

Gatev, E. and Goetzmann, W. and Rouwenhorst, G.

2006

0.5

0.026

0.406

100%

Avellaneda, M. and Lee, J.

2010

0.5

0.026

0.406

100%

Nakajima, T.

2019

0.5

0.026

0.406

100%

Vaitonis, M. and Masteika, S.

2017

0.5

0.026

0.406

100%

Fischer, T. and Krauss, C. and Deinert, A.

2019

0.5

0.026

0.406

100%

Krauss, C.

2017

0.5

0.026

0.406

100%

Bollinger, J.

1992

0.5

0.026

0.406

100%

Bollinger, J.

2002

0.5

0.026

0.406

100%

Yamada, Y. and Primbs, J.

2012

0.5

0.026

0.406

100%

Primbs, J. and Yamada, Y.

2018

0.5

0.026

0.406

100%

Yamada, Y. and Primbs, J.

2018

0.5

0.026

0.406

100%

Yamada, Y. and Primbs, J.

2012

0.5

0.026

0.406

100%

Markowitz, H.

1952

2.0

0.026

0.406

100%

Markowitz, H.

1959

2.0

0.026

0.406

100%

Boyd, S. and Vandenberghe, L. (self)

2004

2.0

0.026

0.406

100%

Barratt, S. and Boyd, S. (self)

2022

2.0

0.026

0.406

100%

WRDS

2.0

0.026

0.406

100%

Engle, R.

2002

2.0

0.026

0.406

100%

Guijarro-Ordonez, J. and Pelger, M. and Zanotti, G...

2021

2.0

0.026

0.406

100%

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.