9 citations · 14 across the 14 of their papers we have counts for
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q-fin.ST2022★ 2 cited
A Clustering Algorithm for Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory
Alejandro Rodriguez Dominguez, David Stynes
We present a geometric version of Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) tests in correlation structures that allows us to include and combine new informa…
q-fin.PM2022★ 9 cited
Portfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers
Alejandro Rodriguez Dominguez
We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. For this framework, we introduce the Commonality Princ…