76 citations · 199 across the 8 of their papers we have counts for
4 papers · 1 filter
Analysis of inter-transaction time fluctuations in the cryptocurrency market
Jarosław Kwapień, Marcin Wątorek, Marija Bezbradica +3
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction t…
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…