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:- Modellierung von Kreditrisiko
- Korrelationsanalyse von Finanzzeitreihen
- Portfolio Optimierung
- Agentenbasierte Modelle
Mitarbeiter
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Dr. Rudi SchäferNachwuchsgruppenleiterRaum: MG 331 Telefon: + 49 (0)203 379 4734 Email: |
Dr. Sachiko OshimaPostdocRaum: MG 331 Telefon: + 49 (0)203 379 4734 Email: |
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Thilo SchmittDoktorandRaum: MG 323 Telefon: + 49 (0)203 379 4729 Email: |
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Desislava ChetalovaDoktorandinRaum: MG 362 Telefon: + 49 (0)203 379 4737 Email: |
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Yuriy StepanovDoktorandRaum: MG 333 Telefon: + 49 (0)203 379 4733 Email: |
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Lukas GathmannMaster StudentRaum: MG 330 Telefon: + 49 (0)203 379 4727 Email: |
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Peter RaiserMaster StudentRaum: MG 323 Telefon: + 49 (0)203 379 4729 Email: |
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Marcel WollschlägerBachelor StudentEmail: |
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Alexander BeckerDiplom (2012)Email: |
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Frederik MeudtBachelor (2012)Email: |
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Daniel WagnerBachelor (2012)Email: |
Ehemalige Mitarbeiter
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Stefan HindelEmail: |
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Alexander KoivusaloDanske CapitalCopenhagen, Denmark Email: |
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Evguenia LioudkoEmail: |
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Dr. Michael C. MünnixTarget Partners GmbH, MünchenEmail: |
Publikationen
T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Non-Stationarity in Financial Time Series and Generic Features
preprint: arXiv:1304.5130
Non-Stationarity in Financial Time Series and Generic Features
preprint: arXiv:1304.5130
Vinayak, R. Schäfer and T.H. Seligman
Emerging spectra of singular correlation matrices under small power-map deformations
preprint: arXiv:1304.4982
Emerging spectra of singular correlation matrices under small power-map deformations
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
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
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
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
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
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
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
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
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
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
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
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)
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
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)
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
Credit risk - A structural model with jumps and correlations
Physica A 383, 533 (2007) , preprint: arXiv:0707.3478