[AG Guhr] [Uni Duisburg-Essen]

WIRTSCHAFTSPHYSIK


Die Nachwuchsgruppe "Wirtschaftsphysik" unter Leitung von Dr. Rudi Schäfer beschäftigt sich mit der statistischen Analyse und Modellierung von Finanz- und Wirtschaftsdaten.

Forschungsthemen

Unsere aktuellen Forschungsschwerpunkte sind:

Mitarbeiter

PD Dr. Rudi Schäfer

Nachwuchsgruppenleiter

Raum:    MG 331
Telefon:    + 49 (0)203 379 4734
Email:   

Desislava Chetalova

Doktorandin

Raum:    MG 332
Telefon:    + 49 (0)203 379 4735
Email:   

Yuriy Stepanov

Doktorand

Raum:    MG 333
Telefon:    + 49 (0)203 379 4733
Email:   

Shanshan Wang

Doktorandin

Raum:    MG 333
Telefon:    + 49 (0)203 379 4733
Email:   

Anton Josef Heckens

Diplomand

Raum:    MG 333
Telefon:    + 49 (0)203 379 4733
Email:   

Marcel Wollschläger

Master Student

Raum:    MG 331
Telefon:    + 49 (0)203 379 4734
Email:   

Tobias Braun

Bachelor Student

Email:   

Jonas Fiegen

Bachelor Student

Email:   

Stephan Grimm

Bachelor Student

Email:   

Ehemalige Mitarbeiter

Alexander Becker

Diplomarbeit, 2011 - 2012

Boston University
Email:   

Lukas Gathmann

Master-Arbeit, 2012 - 2013

NRW-Bank
Email:   

Stefan Hindel

Diplomarbeit, 2010 - 2011

Email:   

Alexander Koivusalo

Master-Arbeit, 2008 - 2009

Danske Capital, Copenhagen
Email:   

Evguenia Lioudko

Projektarbeit, 2008

Email:   

Frederik Meudt

Master-Arbeit, 2013 - 2014

Email:   

Dr. Michael C. Münnix

Doktorarbeit, 2008 - 2011

Target Partners GmbH, München
Email:   

Tobias Nitschke

Bachelor-Arbeit, 2014

Email:   

Dr. Sachiko Oshima

Postdoc, 2012-2013

Email:   

Peter Raiser

Master, 2013-2014

Email:   

Dr. Thilo Schmitt

Doktorarbeit, 2011 - 2014

Email:   

Joachim Sicking

Master-Arbeit, 2013 - 2014

Email:   

Martin Theissen

Bachelor-Arbeit, 2014

Email:   

Daniel Wagner

Master-Arbeit, 2014

Email:   

Publikationen

P. Rinn, Y. Stepanov, J. Peinke, T. Guhr and R. Schäfer
Dynamics of quasi-stationary systems: Finance as an example
Europhysics Letters 110, 68003 (2015) ,    preprint: arXiv:1502.07522
T.A. Schmitt, R. Schäfer and T. Guhr
Credit risk: taking fluctuating asset correlations into account
accepted for publication in Journal of Credit Risk
T.A. Schmitt, R. Schäfer, H. Dette and T. Guhr
Quantile correlations: Uncovering temporal dependencies in financial time series
accepted for publication in IJTAF
M. Wollschläger and R. Schäfer
Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
preprint: arXiv:1506.08054
T.A. Schmitt, R. Schäfer, D. Wied and T. Guhr
Spatial Dependence in Stock Returns - Local Normalization and VAR Forecasts
Empirical Economics, DOI 10.1007/s00181-015-0947-6 (2015)
preprint: SSRN.com/abstract=2320675
D. Chetalova and R. Schäfer
Dependence structure of market states
preprint: arXiv:1503.09004
D. Chetalova, T.A. Schmitt, R. Schäfer and T. Guhr
Portfolio return distributions: Sample statistics with stochastic correlations
International Journal of Theoretical and Applied Finance 18, 1550012 (2015)
preprint: arXiv:1308.3961
R. Schäfer, S. Barkhofen, T. Guhr, H.-J. Stöckmann and U. Kuhl
Compounding approach for univariate time series with non-stationary variances
preprint: arXiv:1503.02177
F. Meudt, M. Theissen, R. Schäfer and T. Guhr
Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
preprint: arXiv:1503.01584
Y. Stepanov, P. Rinn, T. Guhr, J. Peinke and R. Schäfer
Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
preprint: arXiv:1503.00556
F. Meudt, T.A. Schmitt, R. Schäfer and T. Guhr
Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
preprint: arXiv:1502.01125
D. Chetalova, R. Schäfer and T. Guhr
Zooming into market states
J. Stat. Mech., P01029 (2015) ,    preprint: arXiv:1406.5386
D.C. Wagner, T.A. Schmitt, R. Schäfer, T. Guhr, D.E. Wolf
Analysis of a decision model in the context of equilibrium pricing and order book pricing
Physica A 415, 347-353 (2014) ,    preprint: arXiv:1404.7356
M.C. Münnix, R. Schäfer and T. Guhr
A Random Matrix Approach to Credit Risk
PLOS ONE, 9, e98030 (2014) ,    preprint: arXiv:1102.3900
M.C. Münnix, R. Schäfer and O. Grothe
Estimating correlation and covariance matrices by weighting of market similarity
Quantitative Finance, 14, 931-939 (2014) ,    preprint: arXiv:1006.5847
T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Credit risk and the instability of the financial system: An ensemble approach
Europhysics Letters 105, 38004 (2014) ,    preprint: arXiv:1309.5245
T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Non-Stationarity in Financial Time Series and Generic Features
Europhysics Letters 103, 58003 (2013) ,    preprint: arXiv:1304.5130
Vinayak, R. Schäfer and T.H. Seligman
Emerging spectra of singular correlation matrices under small power-map deformations
Phys. Rev. E 88, 032115 (2013) ,    preprint: arXiv:1304.4982
A.F.R. Koivusalo and R. Schäfer
Calibration of structural and reduced-form recovery models
Journal of Credit Risk 8(4), 31-51 (2012) ,    preprint: arXiv:1102.4864
T.A. Schmitt, R. Schäfer, M.C. Münnix and T. Guhr
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Europhysics Letters 100, 38005 (2012) ,    preprint: arXiv:1207.2946
R. Schäfer and A.F.R. Koivusalo
Dependence of defaults and recoveries in structural credit risk models
Economic Modelling 30, 1-9 (2013) ,    preprint: arXiv:1102.3150
M.C. Münnix, T. Shimada, R. Schäfer, F. Leyvraz, T.H. Seligman, T. Guhr and H.E. Stanley
Identifying States of a Financial Market
Scientific Reports 2 : 644 (2012) ,    preprint: arXiv:1202.1623
R. Schäfer, A.F.R. Koivusalo and T. Guhr
Credit Portfolio Risk and Diversification
invited contribution in:
Credit Securities and Derivatives - Challenges for the Global Markets
D. Rösch and H. Scheule (Eds.)
John Wiley & Sons, New York (April, 2013)
ISBN: 978-1119963967
A. Becker, A.F.R. Koivusalo and R. Schäfer
Empirical Evidence for the Structural Recovery Model
preprint on DefaultRisk.com
M.C. Münnix and R. Schäfer
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Physica A 390, 4251 (2011) ,    preprint: arXiv:1102.1099
M.C. Münnix, R. Schäfer and T. Guhr
Statistical causes for the Epps effect in microstructure noise
International Journal of Theoretical and Applied Finance 14, 1231-1246 (2011)
preprint: arXiv:1009.6157
M.C. Münnix, R. Schäfer and T. Guhr
Impact of the tick-size on financial returns and correlations
Physica A 389, 4828 (2010) ,    preprint: arXiv:1001.5124
R. Schäfer and T. Guhr
Local normalization: Uncovering correlations in non-stationary financial time series
Physica A 389, 3856 (2010)
M.C. Münnix, R. Schäfer and T. Guhr
Compensating asynchrony effects in the calculation of financial correlations
Physica A 389, 767 (2010) ,    preprint: arXiv:0910.2909
R. Schäfer, N. F. Nilsson and T. Guhr
Power mapping with dynamical adjustment for improved portfolio optimization
Quantitative Finance 10, 107 - 119 (2010)
R. Schäfer, M. Sjölin, A. Sundin, M. Wolanski and T. Guhr
Credit risk - A structural model with jumps and correlations
Physica A 383, 533 (2007) ,    preprint: arXiv:0707.3478