76 citations · 158 across the 5 of their papers we have counts for
5 papers
Random Matrix Theory and Fund of Funds Portfolio Optimisation
Thomas Conlon, Heather J. Ruskin, Martin Crane
The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge…
Cross-Correlation Dynamics in Financial Time Series
Thomas Conlon, Heather J. Ruskin, Martin Crane
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empir…
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Thomas Conlon, Heather J. Ruskin, Martin Crane
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap D…
Correlation of worldwide markets' entropies: time-scale approach
J. A. O. Matos, S. M. A. Gama, H. J. Ruskin +2
We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allow us to recover the major events affecting worldwide markets (such as the S…
Long-term memory in the Irish market (ISEQ): evidence from wavelet analysis
Adel Sharkasi, Heather J. Ruskin, Martin Crane
Researchers have used many different methods to detect the possibility of long-term dependence (long memory) in stock market returns, but evidence is in general mixed. In this pape…