112 citations · 354 across the 10 of their papers we have counts for
11 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…
Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System
Guannan Zhao, Mark McDonald, Dan Fenn +2
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attractin…
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…
Dynamical Clustering of Exchange Rates
Daniel J. Fenn, Mason A. Porter, Peter J. Mucha +4
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node rep…