6 papers
Extreme Value Analysis for Finite, Multivariate and Correlated Systems with Finance as an Example
Benjamin Köhler, Anton J. Heckens, Thomas Guhr
Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accou…
Ultrafast Extreme Events: Empirical Analysis of Mechanisms and Recovery in a Historical Perspective
Luca Henrichs, Anton J. Heckens, Thomas Guhr
To understand the emergence of Ultrafast Extreme Events (UEEs), the influence of algorithmic trading or high-frequency traders is of major interest as they make it extremely diffic…
A New Traders' Game? -- Empirical Analysis of Response Functions in a Historical Perspective
Cedric Schuhmann, Benjamin Köhler, Anton J. Heckens +1
Traders on financial markets generate non-Markovian effects in various ways, particularly through their competition with one another which can be interpreted as a game between diff…
Multivariate Distributions in Non-Stationary Complex Systems II: Empirical Results for Correlated Stock Markets
Anton J. Heckens, Efstratios Manolakis, Cedric Schuhmann +1
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariat…
Multivariate Distributions in Non-Stationary Complex Systems I: Random Matrix Model and Formulae for Data Analysis
Efstratios Manolakis, Anton J. Heckens, Benjamin Köhler +1
Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy…
Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion
Anton J. Heckens, Sebastian M. Krause, Thomas Guhr
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary pa…