106 citations · 361 across the 21 of their papers we have counts for
21 papers
Efficient Multi-Change Point Analysis to decode Economic Crisis Information from the S&P500 Mean Market Correlation
Martin Heßler, Tobias Wand, Oliver Kamps
Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-s…
Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation
Tobias Wand, Martin Heßler, Oliver Kamps
The analysis of market correlations is crucial for optimal portfolio selection of correlated assets, but their memory effects have often been neglected. In this work, we analyse th…
Non-linear, bivariate stochastic modelling of power-grid frequency applied to islands
Ulrich Oberhofer, Leonardo Rydin Gorjão, G. Cigdem Yalcin +3
Mitigating climate change requires a transition away from fossil fuels towards renewable energy. As a result, power generation becomes more volatile and options for microgrids and…
Identifying Dominant Industrial Sectors in Market States of the S&P 500 Financial Data
Tobias Wand, Martin Heßler, Oliver Kamps
Understanding and forecasting changing market conditions in complex economic systems like the financial market is of great importance to various stakeholders such as financial inst…
Efficient Bayesian estimation of a non-Markovian Langevin model driven by correlated noise
Clemens Willers, Oliver Kamps
Data-driven modeling of non-Markovian dynamics is a recent topic of research with applications in many fields such as climate research, molecular dynamics, biophysics, or wind powe…
Quantifying resilience and the risk of regime shifts under strong correlated noise
Martin Heßler, Oliver Kamps
Early warning indicators often suffer from the shortness and coarse-graining of real-world time series. Furthermore, the typically strong and correlated noise contributions in real…