61 citations · 61 across the 1 of their papers we have counts for
2 papers
q-fin.ST2010★ 61 cited
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…
q-fin.ST2010★ 76 cited
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…