ECONOPHYSICS
Led by Dr. Rudi Schäfer, the research group "Econophysics" is focusing on statistical analysis of financial data and economic modelling.
Research topics
Our current research topics include:- Credit risk modelling
- Correlation analysis of financial time series
- Portfolio optimization
- Agent based modelling
Staff
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PD Dr. Rudi SchäferNachwuchsgruppenleiterRoom: MG 331 Phone: + 49 (0)203 379 4734 Email: |
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Dr. Thilo SchmittPhD, 2011 - 2014Room: MG 323 Phone: + 49 (0)203 379 4729 Email: |
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Desislava ChetalovaPhD studentRoom: MG 332 Phone: + 49 (0)203 379 4735 Email: |
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Yuriy StepanovPhD studentRoom: MG 333 Phone: + 49 (0)203 379 4733 Email: |
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Shanshan WangPhD studentRoom: MG 333 Phone: + 49 (0)203 379 4733 Email: |
Anton Josef HeckensDiplom studentRoom: MG 333 Phone: + 49 (0)203 379 4733 Email: |
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Daniel WagnerMaster, 2014Room: MG 362 Phone: + 49 (0)203 379 4737 Email: |
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Marcel WollschlägerMaster studentRoom: MG 331 Phone: + 49 (0)203 379 4734 Email: |
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Tobias NitschkeBachelor, 2014Room: MG 323 Phone: + 49 (0)203 379 4729 Email: |
Martin TheissenBachelor, 2014Room: MG 362 Phone: + 49 (0)203 379 4737 Email: |
Alumni
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Alexander BeckerDiplom, 2011 - 2012Boston University Email: |
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Lukas GathmannMaster, 2012 - 2013NRW-Bank Email: |
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Stefan HindelDiplom, 2010 - 2011Email: |
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Alexander KoivusaloMaster, 2008 - 2009Danske Capital, Copenhagen Email: |
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Evguenia LioudkoProject Work, 2008Email: |
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Frederik MeudtMaster, 2013 - 2014Email: |
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Dr. Michael C. MünnixPhD, 2008 - 2011Target Partners GmbH, München Email: |
Dr. Sachiko OshimaPostdoc, 2012-2013Email: |
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Peter RaiserMaster, 2013-2014Email: |
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Joachim SickingMaster, 2013 - 2014Email: |
Publications
D. Chetalova, R. Schäfer and T. Guhr
Zooming into market states
J. Stat. Mech., P01029 (2015) , preprint: arXiv:1406.5386
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
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
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
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
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
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
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
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
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
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 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
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