112 citations
- University of OxfordGB7 papers
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3 papers · 1 filter
q-fin.ST2012★ 5 cited
Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System
Guannan Zhao, Mark McDonald, Dan Fenn +2
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attractin…
q-fin.ST2010★ 112 cited
Temporal Evolution of Financial Market Correlations
Daniel J. Fenn, Mason A. Porter, Stacy Williams +3
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of as…
q-fin.ST2008★ 24 cited
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
Daniel J. Fenn, Sam D. Howison, Mark McDonald +2
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but th…