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 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...

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...

This paper presents a model for heterogeneous traffic at simple X and T-intersections of a single lane and two lane urban roads. Traffic at the intersections is controlled by a set of lights, operated to one of several fixed-time schemes. The heterogeneous traffic consists of both short (e.g....

Researchers have used many different methods to detect the possibility of long-term dependence (long memory) in stock market returns, but evidence is in general mixed. In this paper, three different tests, (namely Rescaled Range (R/S), its modified form, and the semi-parametric method (GPH)), in...

As ‘greening’ of all aspects of human activity becomes mainstream, transportation science is also increasingly focused around sustainability. Modal co-existence between motorised and non-motorised traffic on urban networks is, in this context, of particular interest for traffic flow...

In recent years, considerable research efforts have been directed to micro-array technologies and their role in providing simultaneous information on expression profiles for thousands of genes. These data, when subjected to clustering and classification procedures, can assist in identifying...

We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allows us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those effects propagate through the different scales. The...

The wind-speed at a site can be measured by installing anemometers on top of meteorological (met) towers. In addition to other sources of error, accelerated airflow, or speed-up, around the top of met towers can cause incorrect anemometer measurements. We consider a particular example where an...

In this paper we present a model of immune system development when subjected to repeated infection events. The emergence of a complex network in shape space is outlined, the edges of which are characterised by both direction and weight. Such a network model supports a more comprehensive...