91 citations · 549 across the 15 of their papers we have counts for
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q-fin.ST2021★ 39 cited
Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19
Nick James
This paper uses new and recently introduced methodologies to study the similarity in the dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 pandemic.…
q-fin.ST2020★ 27 cited
Structural clustering of volatility regimes for dynamic trading strategies
Arjun Prakash, Nick James, Max Menzies +1
We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use chan…
q-fin.ST2019
Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series
Nick James, Roman Marchant, Richard Gerlach +1
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral te…