46 citations · 374 across the 23 of their papers we have counts for
7 papers · 1 filter
Nonlinear shifts and dislocations in financial market structure and composition
Nick James, Max Menzies
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Althou…
An exploration of the mathematical structure and behavioural biases of 21st century financial crises
Nick James, Max Menzies
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis…
Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies
Nick James, Max Menzies
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as…
Economic state classification and portfolio optimisation with application to stagflationary environments
Nick James, Max Menzies, Kevin Chin
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariat…
Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities
Nick James
This paper uses new and recently established methodologies to study the evolutionary dynamics of the cryptocurrency market, and compares the findings with that of the equity market…
Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time
Nick James, Max Menzies
This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours…
A new measure between sets of probability distributions with applications to erratic financial behavior
Nick James, Max Menzies
This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual eleme…