Studies of Credit and Equity Markets with Concepts of Theoretical Physics
Michael Münnix, "Studies of Credit and Equity Markets with Concepts of Theoretical Physics"
English | ISBN: 3834817716 | 2011 | 173 pages | PDF | 4 MB
English | ISBN: 3834817716 | 2011 | 173 pages | PDF | 4 MB
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.