188 citations · 1.1k across the 44 of their papers we have counts for
5 papers · 1 filter
Option pricing with log-stable Lévy processes
Przemysław Repetowicz, Peter Richmond
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\unde…
Risk evaluation with enhaced covariance matrix
Krzysztof Urbanowicz, Peter Richmond, Janusz A. Holyst
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale…
The Evolution of Interdependence in World Equity Markets - Evidence from Minimum Spanning Trees
Ricardo Coelho, Claire G. Gilmore, Brian Lucey +2
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and de…
A Roof over your Head; House Price Peaks in the UK and Ireland
Peter Richmond
We analyse, following recent work of Roehner, changes in house prices for both the UK and Ireland. We conclude that prices in London have reached a tipping point and prices relativ…
Sector analysis for a FTSE portfolio of stocks
R. Coelho, S. Hutzler, P. Repetowicz +1
Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the assoc…