Advertisement

Studies of Credit and Equity Markets with Concepts of Theoretical Physics

  • Authors
  • Michael C. Münnix

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Michael C. Münnix
    Pages 1-23
  3. Michael C. Münnix
    Pages 67-110
  4. Michael C. Münnix
    Pages 111-143
  5. Back Matter
    Pages 145-172

About this book

Introduction

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.

Keywords

Finanzmärkte Kreditrisiko Risiko-Management Statistische Abhängigkeiten Theoretische Physik

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-8348-8328-5
  • Copyright Information Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2011
  • Publisher Name Vieweg+Teubner
  • eBook Packages Physics and Astronomy
  • Print ISBN 978-3-8348-1771-6
  • Online ISBN 978-3-8348-8328-5
  • Buy this book on publisher's site
Industry Sectors
Pharma
Finance, Business & Banking
Electronics
Consumer Packaged Goods