112 citations · 291 across the 9 of their papers we have counts for
10 papers
Robust Portfolio Optimisation with Specified Competitors
Gonçalo Simões, Mark McDonald, Stacy Williams +2
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of compu…
Community detection in temporal multilayer networks, with an application to correlation networks
Marya Bazzi, Mason A. Porter, Stacy Williams +3
Networks are a convenient way to represent complex systems of interacting entities. Many networks contain "communities" of nodes that are more densely connected to each other than…
Limit Order Books
Martin D. Gould, Mason A. Porter, Stacy Williams +3
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empir…
Temporal Evolution of Financial Market Correlations
Daniel J. Fenn, Mason A. Porter, Stacy Williams +3
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of as…
Taxonomies of Networks
Jukka-Pekka Onnela, Daniel J. Fenn, Stephen Reid +4
The study of networks has grown into a substantial interdisciplinary endeavour that encompasses myriad disciplines in the natural, social, and information sciences. Here we introdu…
Common group dynamic drives modern epidemics across social, financial and biological domains
Zhenyuan Zhao, Juan Pablo Calderón, Chen Xu +5
We show that qualitatively different epidemic-like processes from distinct societal domains (finance, social and commercial blockbusters, epidemiology) can be quantitatively unders…