91 citations · 779 across the 32 of their papers we have counts for
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q-fin.MF2024★ 3 cited
Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals
Nick James, Max Menzies
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market ca…
q-fin.MF2019★ 79 cited
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…