112 citations · 354 across the 10 of their papers we have counts for
3 papers · 1 filter
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…
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…
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…