91 citations · 549 across the 15 of their papers we have counts for
3 papers · 1 filter
Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
Nick James, Max Menzies, Jennifer Chan
This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cry…
Novel semi-metrics for multivariate change point analysis and anomaly detection
Nick James, Max Menzies, Lamiae Azizi +1
This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by m…
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…