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What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and categorization by topic)

I went to ArXiv and found this: http://arxiv.org/archive/q-fin, which is a good start, but I imagine that there are many other venues.

For example, in other disciplines such as machine learning, optimization, NLP, computer vision, we have various well-established journals and conferences that researchers and people in academia follow and where we publish our work, e.g.: NIPS, CVPR, ICCV, PAMI, STOC, ICML, etc.

Aré there any equivalent journals or conferences that cover applications of machine learning and optimization (i.e. mathematical programming) to finance?

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  • $\begingroup$ Here's something (ERA rankings in Australia) but not exactly what you want. lamp.infosys.deakin.edu.au/era/?page=fordet10&selfor=1502 $\endgroup$
    – Jase
    Dec 17, 2012 at 1:45
  • $\begingroup$ link , viXra.org $\endgroup$
    – montyhall
    Dec 20, 2012 at 5:27
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    $\begingroup$ @montyhall is there a difference to arxiv.org? $\endgroup$
    – vanguard2k
    Dec 20, 2012 at 8:50
  • $\begingroup$ a conference list would be really nice, we should make a community wiki answer $\endgroup$
    – pyCthon
    Dec 22, 2012 at 18:06
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    $\begingroup$ FYI vixra.org is considered a "crackpot site" when it comes to the physics and mathematics articles. It is mostly filled with articles that didn't make it onto arxiv.org. So beware.. $\endgroup$
    – Olaf
    May 13, 2013 at 12:53

8 Answers 8

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Though it is not an extensive list , this is what I know of. Other may add more. Journals

  • Journal of Financial and Quantitative Analysis (JFQA)
  • Risk

Papers

Conferences

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  • $\begingroup$ In conferences, you can add 'Global Derivatives'. $\endgroup$
    – BlueTrin
    May 15, 2013 at 9:05
  • $\begingroup$ Mathematical finance, finance and stochastics, quantative finance...all good too but more on the mathside $\endgroup$
    – ABIM
    Aug 16, 2019 at 10:24
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Papers for Quantitative Finance I recommend you: Arxiv, SSRN and Science Direct.

Conferences: Quant Princeton Conference, Market MicroStructure Confronting Many Viewpoints; an eponym book has been extracted from the 2010 issue of the conference.

I think Arxiv.org is an excellent tool, maybe you don't find an specific paper, but all the preprints include good references that help you understand all about QF.

[EDIT in March 2021] It is a conflicted advice, but if you are interested in market microstructure, you should follow this journal:

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Finance Journal Rankings: Check this out: http://www.ubc.ca/okanagan/management/__shared/assets/ASA_Financial_Rankings19547.pdf

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  • $\begingroup$ The link is broken. $\endgroup$ Oct 27, 2023 at 15:45
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For conference we have Global derivatives

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    $\begingroup$ Could you give a summary of what's in this conference? $\endgroup$ Jan 8, 2013 at 14:46
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Q Group holds some of the better conferences.

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Mathematical Finance is a good journal.

There are also some interesting mathematical finance articles in the Journal of Mathematical Economics though clearly the journal covers many other topics as well.

I would also recommend reading some math journals as many times articles are published in these journals where the primary applications are intended for mathematical finance. For instance the article "Changes of Numeraire, Changes of Measure, and Option Pricing" by Nicole El Karoui, Helyette Geman, and Jean-Charles Rochet was published in the Journal of Applied Probability and "A General Version of the Fundamental Theorem of Asset Pricing" by Freddy Delbaen and Walter Schachermayer was published in Mathematische Annalen. These are of course just two examples.

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This question is now more than 10 years old and the answers have not been refreshed in a while. While the journal landscape has probably not changed much in this timeframe, it is possible industry and academic conferences are quite different from what they used to be.

I disclaim that my area of expertise is derivative pricing. While most of the journals and conferences I mention below do include research on topics such as investment allocation, algorithmic trading or market microstructure, there might be resources specific to these sub-topics I am not aware of.

Journals

Industry

For practitioners, the magazine Risk remains the main publication for both industry news (including both business and regulatory aspects) as well as for industrial research through their "Cutting Edge" section which showcases two distinct categories, sell-side and buy-side.

Wilmott Magazine is another reference which is probably halfway between industrial and academic research but veering towards the side of applied research (for example this is where the SABR model was published). The publisher behind Risk has also a line-up of several research journals such as the Journal of Computational Finance or the Journal of Credit Risk.

Yet bear in mind that practitioners very often release their research fast into open source repositories such as SSRN or ArXiV. Their papers might later on be submitted and published in some journal, or maybe it stays in an open repository forever: for example I am not aware of Andreasen's "Stochastic Volatility for Real" (dx.doi.org/10.2139/ssrn.898701) having ever been published in a journal, despite being a pretty influential paper among rate quants working in investment banks in my opinion.

Academia

On the academic side, there are a number of journals which are focused on quantitative finance as a subject. Below is a list of those I come across more often when looking for some article, together with their SCImago Journal Rank (or SJR, you can find more details in Wikipedia or this answer in Academia Stack Exchange) as well as their Impact Factor (extracted from Clarivate's Journal Citation Reports). I display both values for year 2022 in parenthesis:

  • Mathematical Finance (SJR 1.84, IF 1.6)
  • Finance and Stochastics (SJR 1.35, IF 1.7)
  • SIAM Journal on Financial Mathematics (SJR 0.80, IF 1.0)
  • Quantitative Finance (SJR 0.72, IF 1.3)
  • International Journal of Theoretical and Applied Finance (SJR 0.42, IF 0.5)
  • Journal of Derivatives (SJR 0.31, IF 0.7)
  • Journal of Computational Finance (SJR 0.29, IF 0.9)
  • Journal of Credit Risk (SJR 0.16, IF 0.3)

Some of the above are already listed in this 2014 answer from the QuantNet forum.

From my personal experience, Mathematical Finance as well as Finance and Stochastics are more theoretical and biased in favour of highly academic research; the rest have a more practical bias and give greater weight to modelling research. Other journals specialized in quantitative finance which I am less familiar with but which I have come across occasionally are Journal of Futures Markets (SJR 0.72, IF 1.9), Applied Mathematical Finance (SJR 0.54, IF n/a), or Review of Derivatives Research (SJR 0.25, IF 0.8).

As mentioned by @GAM, there is also research in quantitative finance that gets published in more matsy journals. Some that come to mind are the Annals of Probability (SJR 3.10, IF 2.3), Mathematische Annalen (SJR 2.11, IF 1.4), or Annals of Applied Probability (SJR 1.97, IF 1.8). Generally speaking, there are plenty of applied math journals in probabilities and statistics; numerical analysis; optimization, and other topics which might publish finance-related research.

Obviously another place to look is journals on finance, economics or actuarial science $-$ for example Black & Scholes published their original research in the Journal of Political Economy (SJR 20.64, IF 8.2). A couple that come to mind are the Review of Financial Studies (SJR 12.24, IF 8.2), the Journal of Banking and Finance (SJR 1.72, IF 3.7) or the Financial Review (SJR 1.03, IF 3.2).

Conferences

"Global Derivatives" used to be the main industrial conference for derivative research in the 90s and 00s, however I believe it no longer exists (I am not sure whether it has simply changed names). My impression is that:

  • "QuantMinds" has been the leading industry conference for a couple of years now;
  • "Quant Summit" by Risk Magazine (taking place in US and Europe) should also be quite well established by now, given the high profile of people publishing in magazine as well as the visibility of their Quant of the Year award.

However I am less familiar with conferences in particular academic ones. This website mentions conferences from Princeton, the MIT, Wharton or the Certificate in Quantitative Finance (CQF) Institute in 2023. Organizations like the Bachelier Finance Society or Imperial College's department of Mathematics probably organize conferences, events or seminars related to quantitative finance all year round.

Any input from other participants in the exchange is welcomed.

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Another good collection of papers for Quantitative Finance: IDEAS.REPEC.ORG

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