76 citations · 156 across the 5 of their papers we have counts for
6 papers
Machine Learning and Factor-Based Portfolio Optimization
Thomas Conlon, John Cotter, Iason Kynigakis
We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used char…
Anatomy of a Bail-In
Thomas Conlon, John Cotter
To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the of bank creditors i…
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
Thomas Conlon, John Cotter
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to cal…
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…