Michael Grabchak

482 total citations
42 papers, 288 citations indexed

About

Michael Grabchak is a scholar working on Finance, Artificial Intelligence and Statistics and Probability. According to data from OpenAlex, Michael Grabchak has authored 42 papers receiving a total of 288 indexed citations (citations by other indexed papers that have themselves been cited), including 24 papers in Finance, 12 papers in Artificial Intelligence and 11 papers in Statistics and Probability. Recurrent topics in Michael Grabchak's work include Stochastic processes and financial applications (17 papers), Financial Risk and Volatility Modeling (16 papers) and Bayesian Methods and Mixture Models (9 papers). Michael Grabchak is often cited by papers focused on Stochastic processes and financial applications (17 papers), Financial Risk and Volatility Modeling (16 papers) and Bayesian Methods and Mixture Models (9 papers). Michael Grabchak collaborates with scholars based in United States, France and Finland. Michael Grabchak's co-authors include Zhiyi Zhang, Gennady Samorodnitsky, Lijuan Cao, Éric Marcon, Gabriel Lang, Stanislav Molchanov, Yunfei Xia, Narayan Bhamidipati, Rushi Bhatt and Dinesh Garg and has published in prestigious journals such as PLoS ONE, Neural Computation and Machine Learning.

In The Last Decade

Michael Grabchak

38 papers receiving 271 citations

Peers

Michael Grabchak

FINAN

AI

MSOR

EE

SP

Jem N. Corcoran United States

Jaya P. N. Bishwal United States

Matthias Winkel United Kingdom

Krishanu Maulik India

Luca Pratelli Italy

Martin Jacobsen Denmark

Yashaswini Mittal United States

Dariusz Buraczewski Poland

Larbi Alili United Kingdom

Heather Battey United Kingdom

Jem N. Corcoran United States

Michael Grabchak

121 ×0.9

FINAN

52 ×0.7

AI

72 ×1.2

MSOR

94 ×1.7

EE

95 ×2.1

SP

Citations per year, relative to Michael Grabchak Michael Grabchak (= 1×) peers Jem N. Corcoran

Countries citing papers authored by Michael Grabchak

Since Specialization

Citations

This map shows the geographic impact of Michael Grabchak's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Michael Grabchak with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Michael Grabchak more than expected).

Fields of papers citing papers by Michael Grabchak

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Michael Grabchak. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Michael Grabchak. The network helps show where Michael Grabchak may publish in the future.

Co-authorship network of co-authors of Michael Grabchak

This figure shows the co-authorship network connecting the top 25 collaborators of Michael Grabchak. A scholar is included among the top collaborators of Michael Grabchak based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Michael Grabchak. Michael Grabchak is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

1.

Grabchak, Michael. (2025). On the Self-Similarity of Remainder Processes and the Relationship Between Stable and Dickman Distributions. Mathematics. 13(6). 907–907.

2.

Grabchak, Michael, et al.. (2024). Pricing multi-asset options with tempered stable distributions. Financial Innovation. 10(1).

3.

Grabchak, Michael, et al.. (2023). Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities. Statistics and Computing. 34(1). 2 indexed citations

4.

Grabchak, Michael, et al.. (2022). Efficient simulation of p-tempered $$\alpha $$-stable OU processes. Statistics and Computing. 33(1). 1 indexed citations

5.

Grabchak, Michael, et al.. (2021). A note on calculating expected shortfall for discrete time stochastic volatility models. Financial Innovation. 7(1). 2 indexed citations

6.

Cao, Lijuan & Michael Grabchak. (2019). Interactive Preparatory Work in a Flipped Programming Course. 229–235. 5 indexed citations

7.

Chen, Chen, Michael Grabchak, Ann Stewart, Jialin Zhang, & Zhiyi Zhang. (2018). Normal Laws for Two Entropy Estimators on Infinite Alphabets. Entropy. 20(5). 371–371. 5 indexed citations

8.

Grabchak, Michael. (2018). Domains of attraction for positive and discrete tempered stable distributions. Journal of Applied Probability. 55(1). 30–42. 5 indexed citations

9.

Grabchak, Michael, Éric Marcon, Gabriel Lang, & Zhiyi Zhang. (2017). The generalized Simpson’s entropy is a measure of biodiversity. PLoS ONE. 12(3). e0173305–e0173305. 29 indexed citations

10.

Grabchak, Michael & Zhiyi Zhang. (2017). Asymptotic properties of Turing’s formula in relative error. Machine Learning. 106(11). 1771–1785. 6 indexed citations

11.

Grabchak, Michael, Lijuan Cao, & Zhiyi Zhang. (2017). Authorship Attribution Using Diversity Profiles. Journal of Quantitative Linguistics. 25(2). 142–155. 1 indexed citations

12.

Grabchak, Michael. (2016). Tempered Stable Distributions. 25 indexed citations

13.

Grabchak, Michael, et al.. (2015). On the performance of Turing's formula: A simulation study. Communications in Statistics - Simulation and Computation. 46(6). 4199–4209. 2 indexed citations

14.

Grabchak, Michael & Stanislav Molchanov. (2015). Limit Theorems and Phase Transitions for Two Models of Summation of Independent Identically Distributed Random Variables with a Parameter. Theory of Probability and Its Applications. 59(2). 222–243. 5 indexed citations

15.

Grabchak, Michael & Stanislav Molchanov. (2014). Limit theorems and phase transitions for two models of summation of i.i.d. random variables with a parameter. Теория вероятностей и ее применения. 59(2). 340–364. 3 indexed citations

16.

Zhang, Zhiyi & Michael Grabchak. (2014). Nonparametric Estimation of Küllback-Leibler Divergence. Neural Computation. 26(11). 2570–2593. 15 indexed citations

17.

Grabchak, Michael. (2014). Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?. Annals of Finance. 10(4). 553–568. 2 indexed citations

18.

Grabchak, Michael & Stanislav Molchanov. (2013). Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters. Doklady Mathematics. 88(1). 431–434. 3 indexed citations

19.

Grabchak, Michael, et al.. (2013). Authorship Attribution Using Entropy. Journal of Quantitative Linguistics. 20(4). 301–313. 13 indexed citations

20.

Grabchak, Michael. (2012). On a new Class of Tempered Stable Distributions: Moments and Regular Variation. Journal of Applied Probability. 49(4). 1015–1035. 2 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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