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Citation Analysis

Warp Speed Price Moves: \\ Jumps after Earnings Announcements
Kim Christensen, Allan Timmermann, Bezirgen Veliyev
https://arxiv.org/abs/2601.08962
224
Citation mentions
104
Cited references
19
Sections
11,892
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 Gr\'egoire and Martineau 2022 11 5 19.0 0.049 1.000 100%
2 Savor and Wilson 2016 6 4 10.0 0.027 1.000 100%
3 Patell and Wolfson 1984 5 3 7.5 0.022 0.928 80%
4 Andersen, Bollerslev, Diebold, and Vega 2003 4 3 7.0 0.018 0.928 100%
5 Barndorff-Nielsen and Shephard 2006 11 7 14.0 0.049 0.860 64%
6 Christensen, Oomen, and Podolskij (self) 2014 8 7 10.5 0.036 0.855 62%
7 Jiang, Likitapiwat, and McInish 2012 4 4 5.5 0.018 0.843 75%
8 Lyle, Stephan, and Yohn 2021 3 3 5.0 0.013 0.843 100%
9 Patton and Verardo 2012 3 3 5.0 0.013 0.843 100%
10 Jacod, Li, and Zheng 2019 4 3 6.5 0.018 0.843 75%
11 A\"it-Sahalia, Jacod, and Li 2012 14 4 14.0 0.062 0.754 43%
12 Podolskij and Vetter 2009 3 3 3.5 0.013 0.737 67%
13 Ball and Brown 1968 3 2 4.0 0.013 0.737 100%
14 Ederington and Lee 1993 3 2 5.0 0.013 0.737 100%
15 Barclay and Hendershott 2003 3 3 3.5 0.013 0.737 67%
16 Wang and Zajac 2007 3 3 3.5 0.013 0.737 67%
17 Jacod, Li, Mykland, Podolskij, and Vetter 2009 7 4 5.5 0.031 0.659 29%
18 Christensen, Podolskij, Thamrongrat, and Veliyev (self) 2017 7 6 4.5 0.031 0.659 29%
19 Michaely, Rubin, and Vedrashko 2013 2 2 3.0 0.009 0.644 100%
20 Caporin, Kolokolov, and Ren\`o 2017 2 2 3.0 0.009 0.644 100%
21 Corsi, Pirino, and Ren\`o 2010 2 2 3.0 0.009 0.644 100%
22 Lee and Mykland 2012 2 2 3.0 0.009 0.644 100%
23 Hirshleifer, Lim, and Teoh 2009 2 2 3.0 0.009 0.644 100%
24 Beaver 1968 2 2 3.0 0.009 0.644 100%
25 Bernard and Thomas 1989 2 2 3.0 0.009 0.644 100%
26 Bernard and Thomas 1990 2 2 3.0 0.009 0.644 100%
27 Martineau 2022 2 2 3.0 0.009 0.644 100%
28 Dubinsky, Johannes, Kaeck, and Seeger 2019 2 2 3.0 0.009 0.644 100%
29 Ai and Bansal 2018 2 2 4.0 0.009 0.644 100%
30 Christensen, Hounyo, and Podolskij (self) 2018 2 2 4.0 0.009 0.644 100%
31 Lee and Mykland 2008 4 2 5.0 0.018 0.644 50%
32 Podolskij and Vetter 2009 9 7 6.5 0.040 0.606 22%
33 Jacod and Protter 2012 5 4 4.0 0.022 0.585 20%
34 Hasbrouck 1995 2 2 2.5 0.009 0.511 50%
35 Barndorff-Nielsen, Hansen, Lunde, and Shephard 2009 2 1 4.0 0.009 0.511 100%
36 Bandi, Kolokolov, Pirino, and Ren\`o 2023 2 1 4.0 0.009 0.511 100%
37 Li, Todorov, and Tauchen 2017 2 2 2.5 0.009 0.511 50%
38 A\"it-Sahalia and Jacod 2009 1 1 1.0 0.004 0.406 100%
39 Andersen, Bollerslev, and Dobrev 2007 1 1 1.0 0.004 0.406 100%
40 Jiang and Oomen 2008 1 1 1.0 0.004 0.406 100%
41 Chordia, Green, and Kottimukkalur 2018 1 1 1.0 0.004 0.406 100%
42 Brogaard, Hendershott, and Riordan 2014 1 1 1.0 0.004 0.406 100%
43 Fink 2021 1 1 1.0 0.004 0.406 100%
44 Chan and Marsh 2024 1 1 1.0 0.004 0.406 100%
45 Jeon, McCurdy, and Zhao 2022 1 1 1.0 0.004 0.406 100%
46 A\"it-Sahalia, Li, and Li 2024 1 1 1.0 0.004 0.406 100%
47 Bandi, Fusari, and Ren\`o 2022 1 1 1.0 0.004 0.406 100%
48 Todorov and Zhang 2023 1 1 1.0 0.004 0.406 100%
49 Bollerslev, Li, and Todorov 2016 1 1 1.0 0.004 0.406 100%
50 Lou, Polk, and Skouras 2019 1 1 1.0 0.004 0.406 100%
51 Hasbrouck 1991 1 1 2.0 0.004 0.406 100%
52 Biais, Hillion, and Spatt 1999 1 1 2.0 0.004 0.406 100%
53 Vives 1995 1 1 2.0 0.004 0.406 100%
54 Glosten and Milgrom 1985 1 1 2.0 0.004 0.406 100%
55 Kyle 1985 1 1 2.0 0.004 0.406 100%
56 Hansen 2021 1 1 2.0 0.004 0.406 100%
57 Epstein and Zin 1989 1 1 2.0 0.004 0.406 100%
58 Grossman and Stiglitz 1980 1 1 2.0 0.004 0.406 100%
59 Pedersen 2015 1 1 2.0 0.004 0.406 100%
60 Jensen 1978 1 1 2.0 0.004 0.406 100%
61 Chambers and Penman 1984 1 1 2.0 0.004 0.406 100%
62 Delbaen and Schachermayer 1994 1 1 2.0 0.004 0.406 100%
63 Griffin and Oomen 2008 1 1 2.0 0.004 0.406 100%
64 Kolokolov and Ren\`o 2024 1 1 2.0 0.004 0.406 100%
65 Mykland and Zhang 2016 1 1 2.0 0.004 0.406 100%
66 Kolokolov, Livieri, and Pirino 2022 1 1 2.0 0.004 0.406 100%
67 Li, Mykland, Renault, Zhang, and Zheng 2014 1 1 2.0 0.004 0.406 100%
68 Berkman and Truong 2009 1 1 2.0 0.004 0.406 100%
69 Dellavigna and Pollet 2009 1 1 2.0 0.004 0.406 100%
70 Hartzmark and Shue 2018 1 1 2.0 0.004 0.406 100%
71 Bajgrowicz, Scaillet, and Treccani 2016 1 1 2.0 0.004 0.406 100%
72 Bollerslev, Law, and Tauchen 2008 1 1 2.0 0.004 0.406 100%
73 Chakrabarty, Pascual, and Shkilko 2015 1 1 2.0 0.004 0.406 100%
74 Baldauf and Mollner 2022 1 1 2.0 0.004 0.406 100%
75 Hendershott and Jones 2003 1 1 2.0 0.004 0.406 100%
76 Brogaard and Pan 2021 1 1 2.0 0.004 0.406 100%
77 Flood, Huisman, Koedijk, and Mahieu 1999 1 1 2.0 0.004 0.406 100%
78 Barclay and Warner 1993 3 1 1.5 0.013 0.126 0%
79 Heston 1993 2 1 1.0 0.009 0.110 0%
80 Fama and French 2015 2 1 1.0 0.009 0.110 0%
81 Carhart 1997 2 1 1.0 0.009 0.110 0%
82 Blumenthal and Getoor 1961 1 1 0.5 0.004 0.087 0%
83 A\"it-Sahalia and Jacod 2009 1 1 0.5 0.004 0.087 0%
84 Barndorff-Nielsen, Graversen, Jacod, Podolskij, an... 2006 1 1 0.5 0.004 0.087 0%
85 Hautsch and Podolskij 2013 1 1 0.5 0.004 0.087 0%
86 Lahiri 2003 1 1 0.5 0.004 0.087 0%
87 G\"otze and Hipp 1983 1 1 0.5 0.004 0.087 0%
88 Jacod and Shiryaev 2003 1 1 0.5 0.004 0.087 0%
89 Politis, Romano, and Wolf 1999 1 1 0.5 0.004 0.087 0%
90 Kalnina 2011 1 1 0.5 0.004 0.087 0%
91 Mykland and Zhang 2017 1 1 0.5 0.004 0.087 0%
92 Mancini 2009 1 1 0.5 0.004 0.087 0%
93 Christensen, Oomen, and Ren\`o (self) 2022 1 1 0.5 0.004 0.087 0%
94 Cox, Ingersoll, and Ross 1985 1 1 0.5 0.004 0.087 0%
95 A\"it-Sahalia and Kimmel 2007 1 1 0.5 0.004 0.087 0%
96 Bollerslev and Todorov 2011 1 1 0.5 0.004 0.087 0%
97 Andersen 2008 1 1 0.5 0.004 0.087 0%
98 Todorov, Tauchen, and Grynkiv 2014 1 1 0.5 0.004 0.087 0%
99 Baeumer and Meerschaert 2010 1 1 0.5 0.004 0.087 0%
100 Bandi and Russell 2008 1 1 0.5 0.004 0.087 0%
101 Kalnina and Linton 2008 1 1 0.5 0.004 0.087 0%
102 Oomen 2006 1 1 0.5 0.004 0.087 0%
103 Christensen, Kinnebrock, and Podolskij (self) 2010 1 1 0.5 0.004 0.087 0%
104 Santosh 2019 1 1 0.5 0.004 0.087 0%
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.

Citation intensity data generated from LaTeX source analysis.