[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:   

Thilo Schmitt

Doktorand

Raum:    MG 323
Telefon:    + 49 (0)203 379 4729
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:   

Frederik Meudt

Master Student

Raum:    MG 362
Telefon:    + 49 (0)203 379 4737
Email:   

Peter Raiser

Master Student

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

Joachim Sicking

Master Student

Raum:    MG 330
Telefon:    + 49 (0)203 379 4727
Email:   

Daniel Wagner

Master Student

Raum:    MG 362
Telefon:    + 49 (0)203 379 4737
Email:   

Marcel Wollschläger

Bachelor, 2013

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

Dr. Michael C. Münnix

Doktorarbeit, 2008 - 2011

Target Partners GmbH, München
Email:   

Dr. Sachiko Oshima

Postdoc, 2012-2013

Email:   

Publikationen

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
T.A. Schmitt, R. Schäfer, D. Wied and T. Guhr
Spatial Dependence in Stock Returns - Local Normalization and VAR Forecasts
SFB 823 Discussion Paper 18/13 (2013).    Preprint available at: SSRN.com/abstract=2320675
D. Chetalova, T.A. Schmitt, R. Schäfer and T. Guhr
Portfolio return distributions: Sample statistics with non-stationary correlations
preprint: arXiv:1308.3961
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, R. Schäfer and O. Grothe
Estimating correlation and covariance matrices by weighting of market similarity
Quantitative Finance, iFirst, 1 - 9 (2011) ,    preprint: arXiv:1006.5847
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
A Random Matrix Approach to Credit Risk
preprint: arXiv:1102.3900
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