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. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small...

The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns. The correlations and...

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 funds portfolio requires a correlation matrix which often has to be estimated using a relatively small sample of...

Empirical research is vital if software engineering technology is to be meaningfully evaluated --- without it only guesses can be made at the competing merits of different approaches. Unfortunately, as this thesis demonstrates, much of existing empirical work contains some kind of weakness...

Central to the responsible development of nanotechnologies is an understanding of the risks they pose to the environment. As with any novel material or emerging technology, a scarcity of data introduces potentially high uncertainty in to the characterisation of risk. Early priorities are the...

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 Discrete Wavelet Transform to calculate correlation matrices over different time–scales and then explore the...

We apply random matrix theory (RMT) to an empirically measured financial correlation matrix, C, and show that this matrix contains a large amount of noise. In order to determine the sensitivity of the spectral properties of a random matrix to noise, we simulate a set of data and add different...

In this article we develop a nonparametric methodology for estimating the mean change for matched samples on a Lie group. We then notice that for k=5, a manifold of projective shapes of k-ads in 3D has the structure of a 3k-15 dimensional Lie group that is equivariantly embedded in a Euclidean...