91 citations · 779 across the 32 of their papers we have counts for
8 papers · 1 filter
COVID-19 second wave mortality in Europe and the United States
Nick James, Max Menzies, Peter Radchenko
This paper introduces new methods to analyze the changing progression of COVID-19 cases to deaths in different waves of the pandemic. First, an algorithmic approach partitions each…
COVID-19 in the United States: Trajectories and second surge behavior
Nick James, Max Menzies
This paper introduces a mathematical framework for determining second surge behavior of COVID-19 cases in the United States. Within this framework, a flexible algorithmic approach…
Association between COVID-19 cases and international equity indices
Nick James, Max Menzies
This paper analyzes the impact of COVID-19 on the populations and equity markets of 92 countries. We compare country-by-country equity market dynamics to cumulative COVID-19 case a…
Cluster-based dual evolution for multivariate time series: analyzing COVID-19
Nick James, Max Menzies
This paper proposes a cluster-based method to analyze the evolution of multivariate time series and applies this to the COVID-19 pandemic. On each day, we partition countries into…
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…
Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes
Nick James, Max Menzies
This article improves on existing methods to estimate the spectral density of stationary and nonstationary time series assuming a Gaussian process prior. By optimising an appropria…
Equivalence relations and distances between time series with application to the Black Summer Australian bushfires
Nick James, Max Menzies
This paper introduces a new framework of algebraic equivalence relations between time series and new distance metrics between them, then applies these to investigate the Australian…
Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
Nick James, Max Menzies, Jennifer Chan
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an altern…