106 citations · 361 across the 21 of their papers we have counts for
3 papers · 1 filter
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…