Studies of Credit and Equity Markets with Concepts of Theoretical Physics

With a foreword by Prof. Dr. Thomas Guhr
ISBN: 978-3-8348-1771-6
Verlag: Vieweg+Teubner Verlag

Buch, Englisch, 173 Seiten, Format (B × H): 148 mm x 210 mm, Gewicht: 286 g

Financial markets are becoming increasingly complex. The financial crisis of 2008 to 2009 has demonstrated that an improved understanding of the mechanisms embedded in the market is a key requirement for the estimation of financial risk. Recently, concepts of theoretical physics, in particular concepts of complex systems, have proven to be very useful in this regard.

Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.

Zielgruppe

Researchers and students interested in financial markets and theoretical physics or mathematics
professionals in quantitative finance and risk management.

Autoren/Hrsg.

Münnix, Michael

Fachgebiete

• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

Dynamics of Statistical Dependencies; Market Similarity; Copulae; The Epps Effect, Credit Risk

Über Autor(innen)

Münnix, Michael
Dr. Michael C. Münnix completed his dissertation under the supervision of Prof. Dr. Thomas Guhr at the University of Duisburg-Essen after conducting his research at Boston University where he collaborated with Prof. H. Eugene Stanley.