## PD Dr. Rudi Schäfer
EconophysicsRaum: MG 331 Telefon: + 49 (0)203 379 4734 Email: |

**Curriculum Vitae**

**Awards**- Gottschalk-Diederich-Baedecker-Preis 2014

**Research interests**- Econophysics
- Quantum Chaos
- Statistical Physics
- Statistical DNA analysis

**Teaching Experience**- Lecture on Econophysics I+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

R. Schäfer

*Econophysics: Quantitative Studies of Equity and Credit Markets*

Habilitation thesis (2013)

D. Chetalova, M. Wollschläger and R. Schäfer

*Dependence structure of market states*

J. Stat. Mech., P08012 (2015) , preprint: arXiv:1503.09004

Y. Stepanov, P. Rinn, T. Guhr, J. Peinke and R. Schäfer

*Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example*

J. Stat. Mech., P08011 (2015) , preprint: arXiv:1503.00556

M. Wollschläger and R. Schäfer

*Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns*

preprint: arXiv:1506.08054

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

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

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

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

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

*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

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 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

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)