Studies of Credit and Equity Markets with Concepts of Theoretical Physics

Authors: Münnix, Michael

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-8348-8328-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-8348-1771-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
About this book

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.

About the authors

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.

Table of contents (4 chapters)

  • Introduction

    Münnix, Michael C.

    Pages 1-23

  • Dynamics of Statistical Dependencies in Financial Markets

    Münnix, Michael C.

    Pages 25-65

  • Distorted Financial Correlations: The Epps Effect

    Münnix, Michael C.

    Pages 67-110

  • Credit Risk

    Münnix, Michael C.

    Pages 111-143

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-8348-8328-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-8348-1771-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Studies of Credit and Equity Markets with Concepts of Theoretical Physics
Authors
Copyright
2011
Publisher
Vieweg+Teubner Verlag
Copyright Holder
Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden
eBook ISBN
978-3-8348-8328-5
DOI
10.1007/978-3-8348-8328-5
Softcover ISBN
978-3-8348-1771-6
Edition Number
1
Number of Pages
XVII, 173
Topics