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Thomas Conlon

  1. An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition.

    Mon, 03/28/2011 - 15:01 — SomNambul
    Authors: Thomas Conlon, John Cotter
    Subjects: Risk Management
    Abstract

    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 calculate the appropriate dynamic minimum-variance
    hedge ratio for various hedging horizons for a number of assets.

  2. Cross-Correlation Dynamics in Financial Time Series.

    Tue, 02/02/2010 - 16:02 — SomNambul
    Authors: Thomas Conlon, Heather J. Ruskin, Martin Crane
    Subjects: Statistical Finance
    Abstract

    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 eigenvalues of the
    cross-correlation matrix, over these time windows, oppose those of the largest
    eigenvalue. This behaviour is shown to be independent of the size of the time
    window and the number of stocks examined.

  3. Multiscaled Cross-Correlation Dynamics in Financial Time-Series.

    Tue, 01/05/2010 - 16:02 — SomNambul
    Authors: Thomas Conlon, Heather J. Ruskin, Martin Crane
    Subjects: Statistical Finance
    Abstract

    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 timescales and then explore the eigenvalue spectrum
    over sliding time windows. The dynamics of the eigenvalue spectrum at different
    times and scales provides insight into the interactions between the numerous
    constituents involved.

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