112 citations · 291 across the 9 of their papers we have counts for
3 papers · 1 filter
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…