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Citation Analysis

Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
https://arxiv.org/abs/2602.10925
144
Citation mentions
85
Cited references
9
Sections
8,823
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 S. S. Lee and P. A. Mykland 2008 15 2 28.5 0.104 0.854 93%
2 B. Eraker and M. Johannes and N. Polson 2003 4 3 4.5 0.028 0.843 75%
3 Y. A\"i 2009 3 3 5.0 0.021 0.843 100%
4 J. Jacod and Y. Li and P. A. Mykland and M. Podols... (self) 2009 3 3 5.0 0.021 0.843 100%
5 K. Christensen and R. C. A. Oomen and M. Podolskij (self) 2013 3 3 5.0 0.021 0.843 100%
6 M. Podolskij and M. Vetter (self) 2009 7 4 7.0 0.049 0.754 43%
7 T. G. Andersen and L. Benzoni and J. Lund 2002 3 2 4.0 0.021 0.737 100%
8 O. E. Barndorff-Nielsen and N. Shephard 2004 3 2 4.0 0.021 0.737 100%
9 X. Huang and G. Tauchen 2005 3 2 4.0 0.021 0.737 100%
10 Y. A\"i 2009 3 2 4.0 0.021 0.737 100%
11 S. J. Press 1967 5 1 5.0 0.035 0.693 100%
12 V. Niederhoffer and M. F. M. Osborne 1966 2 2 3.0 0.014 0.644 100%
13 D. Duffie and J. Pan and K. J. Singleton 2000 2 2 3.0 0.014 0.644 100%
14 C. Mancini 2004 2 2 3.0 0.014 0.644 100%
15 C. Mancini 2009 2 2 3.0 0.014 0.644 100%
16 O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu... 2009 2 2 4.0 0.014 0.644 100%
17 F. Corsi and D. E. Pirino and R. Ren\`o 2010 2 2 4.0 0.014 0.644 100%
18 R. C. A. Oomen (self) 2006 2 2 4.0 0.014 0.644 100%
19 R. C. Merton 1976 3 1 3.0 0.021 0.585 100%
20 P. Jorion 1988 2 1 2.0 0.014 0.511 100%
21 D. S. Bates 1996 2 1 2.0 0.014 0.511 100%
22 J. Pan 2002 2 1 2.0 0.014 0.511 100%
23 O. E. Barndorff-Nielsen and N. Shephard 2006 2 1 2.0 0.014 0.511 100%
24 T. G. Andersen and T. Bollerslev and F. X. Diebold 2007 2 1 2.0 0.014 0.511 100%
25 A. A. Christie 1982 2 2 2.5 0.014 0.511 50%
26 R. Roll 1984 2 1 4.0 0.014 0.511 100%
27 O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu... 2008 2 1 4.0 0.014 0.511 100%
28 S. L. Heston 1993 2 1 4.0 0.014 0.511 100%
29 E. F. Fama 1965 1 1 1.0 0.007 0.406 100%
30 B. B. Mandelbrot 1963 1 1 1.0 0.007 0.406 100%
31 F. Black 1976 1 1 1.0 0.007 0.406 100%
32 S. Beckers 1981 1 1 1.0 0.007 0.406 100%
33 C. A. Ball and W. N. Torous 1983 1 1 1.0 0.007 0.406 100%
34 C. A. Ball and W. N. Torous 1985 1 1 1.0 0.007 0.406 100%
35 G. S. Bakshi and C. Cao and Z. Chen 1997 1 1 1.0 0.007 0.406 100%
36 D. S. Bates 2000 1 1 1.0 0.007 0.406 100%
37 T. Bollerslev and H. Zhou 2002 1 1 1.0 0.007 0.406 100%
38 B. Eraker 2004 1 1 1.0 0.007 0.406 100%
39 M. Johannes 2004 1 1 1.0 0.007 0.406 100%
40 J. M. Maheu and T. H. McCurdy 2004 1 1 1.0 0.007 0.406 100%
41 D. S. Bates 2006 1 1 1.0 0.007 0.406 100%
42 T. Bollerslev and T. H. Law and G. Tauchen 2008 1 1 1.0 0.007 0.406 100%
43 G. J. Jiang and R. C. A. Oomen (self) 2007 1 1 1.0 0.007 0.406 100%
44 V. Todorov 2009 1 1 1.0 0.007 0.406 100%
45 G. E. Tauchen and H. Zhou 2011 1 1 1.0 0.007 0.406 100%
46 T. G. Andersen and T. Bollerslev and X. Huang 2011 1 1 1.0 0.007 0.406 100%
47 D. S. Bates 2012 1 1 1.0 0.007 0.406 100%
48 F. Corsi and R. Ren\`o 2012 1 1 1.0 0.007 0.406 100%
49 A. J. Patton and K. Sheppard 2015 1 1 1.0 0.007 0.406 100%
50 Y. A\"i 2004 1 1 1.0 0.007 0.406 100%
51 J. C. Cox and S. A. Ross 1976 1 1 1.0 0.007 0.406 100%
52 D. Duffie and J. Pan 2001 1 1 1.0 0.007 0.406 100%
53 G. S. Bakshi and G. Panayotov 2010 1 1 1.0 0.007 0.406 100%
54 R. A. Jarrow and E. R. Rosenfeld 1984 1 1 1.0 0.007 0.406 100%
55 J. Liu and F. Longstaff and J. Pan 2003 1 1 1.0 0.007 0.406 100%
56 O. E. Barndorff-Nielsen and N. Shephard and M. Win... 2006 1 1 1.0 0.007 0.406 100%
57 D. Easley and M. M. L. de Prado and M. O'Hara 2011 1 1 1.0 0.007 0.406 100%
58 A. Kirilenko and A. S. Kyle and M. Samadi and T. T... 2017 1 1 1.0 0.007 0.406 100%
59 K. Back 1991 1 1 2.0 0.007 0.406 100%
60 F. Delbaen and W. Schachermayer 1994 1 1 2.0 0.007 0.406 100%
61 S. Alizadeh and M. W. Brandt and F. X. Diebold 2002 1 1 2.0 0.007 0.406 100%
62 F. Black 1986 1 1 2.0 0.007 0.406 100%
63 T. G. Andersen and T. Bollerslev and F. X. Diebold 2010 1 1 2.0 0.007 0.406 100%
64 O. E. Barndorff-Nielsen and N. Shephard 2007 1 1 2.0 0.007 0.406 100%
65 P. R. Hansen and A. Lunde 2006 1 1 2.0 0.007 0.406 100%
66 F. X. Diebold and G. H. Strasser 2013 1 1 2.0 0.007 0.406 100%
67 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2001 1 1 2.0 0.007 0.406 100%
68 P. E. Protter 2004 1 1 2.0 0.007 0.406 100%
69 K. Christensen and R. C. A. Oomen and M. Podolskij (self) 2010 1 1 2.0 0.007 0.406 100%
70 T. G. Andersen and D. Dobrev and E. Schaumburg 2012 1 1 2.0 0.007 0.406 100%
71 P. A. Mykland and N. Shephard and K. Sheppard 2012 1 1 2.0 0.007 0.406 100%
72 M. Podolskij and M. Vetter (self) 2009 1 1 2.0 0.007 0.406 100%
73 L. Zhang and P. A. Mykland and Y. A\"i 2005 1 1 2.0 0.007 0.406 100%
74 L. Zhang 2006 1 1 2.0 0.007 0.406 100%
75 J. Gatheral and R. C. A. Oomen (self) 2010 1 1 2.0 0.007 0.406 100%
76 A. Gloter and J. Jacod 2001 1 1 2.0 0.007 0.406 100%
77 A. Gloter and J. Jacod 2001 1 1 2.0 0.007 0.406 100%
78 G. S. Bakshi and N. Ju and H. Ou-Yang 2006 1 1 2.0 0.007 0.406 100%
79 M. Chernov and A. R. Gallant and E. Ghysels and G.... 2003 1 1 2.0 0.007 0.406 100%
80 T. Ane and H. Geman 2000 1 1 2.0 0.007 0.406 100%
81 N. Hautsch and M. Podolskij (self) 2013 1 1 2.0 0.007 0.406 100%
82 G. J. Jiang and I. Lo and A. Verdelhan 2011 1 1 2.0 0.007 0.406 100%
83 M. O'Hara 2010 1 1 2.0 0.007 0.406 100%
84 O. E. Barndorff-Nielsen and S. E. Graversen and J.... (self) 2006 1 1 0.5 0.007 0.087 0%
85 C. M. C. Lee and M. J. Ready 1991 1 1 0.5 0.007 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.