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Dr. Rudi SchäferEconophysicsRaum: MG 331 Telefon: + 49 (0)203 379 4734 Email: |
- Research interests
- Econophysics
- Quantum Chaos
- Statistical Physics
- Statistical DNA analysis
- Teaching Experience
- Lecture on Econophysics II
- Lecture on Quantum Chaos
- Exercises on Econophysics
- Supervision of master, diplom and PhD theses in Econophysics
- Computer Exercises on Quantum Mechanics, Electrodynamics and Statistical Physics
- Theoretical exercises on Quantum Mechanics and Statistical Physics
- Advanced practical exercises for physics students
- Practical exercises in physics for medicine and biology students
- Mathematics course for biology students
- Publications
R. Schäfer, A.F.R. Koivusalo and T. Guhr
Credit Portfolio Risk and Diversification
invited contribution in:
Credit Securitisations and Derivatives - Challenges for the Global Markets (The Wiley Finance Series)
D. Rösch and H. Scheule (Eds.)
John Wiley & Sons, New York (April 2013)
ISBN: 978-1119963967
T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
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
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
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
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 T. Guhr
A Random Matrix Approach to Credit Risk
preprint: arXiv:1102.3900
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 O. Grothe
Estimating correlation and covariance matrices by weighting of market similarity
Quantitative Finance, iFirst, 1 - 9 (2011) , preprint: arXiv:1006.5847
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
Impact of the tick-size on financial returns and correlations
Physica A 389, 4828 (2010) , preprint: arXiv:1001.5124
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 on DefaultRisk.com
C. Pineda, R. Schäfer, T. Prosen and T. H. Seligman
Verification of generic fidelity recovery in a dynamical system
Phys. Rev. E 73, 066120 (2006)
R. Schäfer, U. Kuhl and H.-J. Stöckmann
Directed emission from a dielectric microwave billiard with quadrupolar shape
New Journal of Physics 8, 46 (2006)
R. Schäfer, H.-J. Stöckmann, T. Gorin and T. H. Seligman
Experimental verification of fidelity decay: From perturbative to Fermi golden rule regime
Phys. Rev. Lett. 95, 184102 (2005)
R. Schäfer, T. Gorin, T. H. Seligman and H.-J. Stöckmann
Fidelity amplitude of the scattering matrix in microwave cavities
New Journal of Physics 7, 152 (2005)
H.-J. Stöckmann and R. Schäfer
Fidelity Recovery in Chaotic Systems and the Debye-Waller Factor
Phys. Rev. Lett. 94, 244101 (2005)
H.-J. Stöckmann and R. Schäfer
Recovery of the fidelity amplitude for the Gaussian ensembles
New Journal of Physics 6, 199 (2004)
R. Schäfer
Correlation functions and fidelity decay in chaotic systems
Ph. D. thesis (Dec. 2004)
R. Schäfer, T. Gorin, T. H. Seligman and H.-J. Stöckmann
Correlation functions of scattering matrix elements in microwave cavities with strong absorption
Journal of Physics A 36, 3289 (2003)
R. Schäfer, M. Barth, F. Leyvraz, M. Müller, T. H. Seligman and H.-J. Stöckmann
Transition from Gaussian-orthogonal to Gaussian-unitary ensemble in a microwave billiard with threefold symmetry
Phys. Rev. E 66, 016202 (2002)
R. Schäfer, U. Kuhl, M. Barth and H.-J. Stöckmann
Spectra and wavefunctions in a ray-splitting Sinai microwave billiard and their semiclassical interpretation
Foundations of Physics 31, 475 (2001)
