Vogl Markus
University of Applied Sciences Aschaffenburg, Würzburger Straße 45, 63743 Aschaffenburg, Germany.
Executive Management, Markus Vogl {Business & Data Science}, https://vogl-datascience.de/en/.
SN Bus Econ. 2022;2(12):183. doi: 10.1007/s43546-022-00359-3. Epub 2022 Nov 9.
This study provides a holistic and quantitative overview of over 800 mathematical methods (e.g., financial and risk models, statistical tests, statistics and advanced algorithms) taken out of sampled scientific literature on quantitative modelling, particularly, from financial and risk modelling by applying a bibliometric approach from 2008 to 2019 and a citation network analysis. This is done to elaborate on the influence in the field after the Financial Crisis 2008. We present a content analysis of journals, main topics, applied data sets and frontiers within quantitative modelling and highlight details about quantitative features such as implemented models, algorithms and aggregated model-family combinations. Moreover, we describe explications and ties to empirical stylised facts (e.g., asymmetry or nonlinearity). Finally, we discuss insights such as our main finding, namely, the non-existence of a "single-best"-approach as well as the future prospects.
The online version contains supplementary material available at 10.1007/s43546-022-00359-3.
本研究通过应用文献计量方法并进行引文网络分析，对2008年至2019年从抽样的定量建模科学文献中提取的800多种数学方法（如金融和风险模型、统计检验、统计学和高级算法）进行了全面且定量的概述，特别是来自金融和风险建模领域的文献。这样做是为了阐述2008年金融危机后该领域的影响。我们对定量建模中的期刊、主要主题、应用数据集和前沿进行了内容分析，并突出了诸如实施的模型、算法和聚合模型家族组合等定量特征的细节。此外，我们描述了与经验性典型事实（如不对称性或非线性）的解释和联系。最后，我们讨论了一些见解，如我们的主要发现，即不存在“单一最佳”方法以及未来前景。
在线版本包含可在10.1007/s43546-022-00359-3获取的补充材料。
