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Found 21 papers, 0 papers with code
Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals
We apply this to study the market capitalization exposure and spread of optimal portfolios chosen by a Sharpe optimization procedure.
Nonlinear shifts and dislocations in financial market structure and composition
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors.
Portfolio diversification with varying investor abilities
We introduce new mathematical methods to study the optimal portfolio size of investment portfolios over time, considering investors with varying skill levels.
An exploration of the mathematical structure and behavioural biases of 21st century financial crises
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19.
Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies
Our focus is on collective dynamics and portfolio diversification in the cryptocurrency market, and examining whether previously established results in the equity market hold in the cryptocurrency market, and to what extent.
Economic state classification and portfolio optimisation with application to stagflationary environments
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI), economic growth (GDP) and equity index behaviours.
On financial market correlation structures and diversification benefits across and within equity sectors
Using the degree of collectivity as a proxy for the benefit of diversification, we perform an extensive sampling of equity portfolios to confirm the old financial adage that 30-40 stocks provide sufficient diversification.
Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities
This paper uses new and recently established methodologies to study the evolutionary dynamics of the cryptocurrency market, and compares the findings with that of the equity market.
On the systemic nature of global inflation, its association with equity markets and financial portfolio implications
This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation.
Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time
We then explore the time-varying consistency of the relationships between cryptocurrencies' size and their returns and volatility.
A new measure between sets of probability distributions with applications to erratic financial behavior
This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements.
Trends in COVID-19 prevalence and mortality: a year in review
This paper introduces new methods to study the changing dynamics of COVID-19 cases and deaths among the 50 worst-affected countries throughout 2020.
Physics and Society Populations and Evolution
Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19
This paper uses new and recently introduced methodologies to study the similarity in the dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 pandemic.
COVID-19 second wave mortality in Europe and the United States
Finally, our paper identifies similarities in the trajectories of cases and deaths for European countries and U. S. states.
Time Series Analysis
Physics and Society
Populations and Evolution
Structural clustering of volatility regimes for dynamic trading strategies
We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure.
Optimally adaptive Bayesian spectral density estimation for stationary and nonstationary processes
This article improves on existing methods to estimate the spectral density of stationary and nonstationary time series assuming a Gaussian process prior.
Equivalence relations and $L^p$ distances between time series with application to the Black Summer Australian bushfires
This paper introduces a new framework of algebraic equivalence relations between time series and new distance metrics between them, then applies these to investigate the Australian ``Black Summer'' bushfire season of 2019-2020.
Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets.
Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance.
Novel semi-metrics for multivariate change point analysis and anomaly detection
This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by measuring distances between structural breaks within such a collection.
Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series.
