Studies of Credit and Equity Markets with Concepts of Theoretical Physics
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Beschreibung
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. von Münnix, Michael
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Über den Autor
: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.
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