112 citations · 291 across the 9 of their papers we have counts for
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q-fin.ST2010★ 112 cited
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…
q-fin.ST2008★ 24 cited
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
Daniel J. Fenn, Sam D. Howison, Mark McDonald +2
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but th…