9 citations · 27 across the 7 of their papers we have counts for
7 papers
Causal Hierarchy in the Financial Market Network -- Uncovered by the Helmholtz-Hodge-Kodaira Decomposition
Tobias Wand, Oliver Kamps, Hiroshi Iyetomi
Granger causality can uncover the cause and effect relationships in financial networks. However, such networks can be convoluted and difficult to interpret, but the Helmholtz-Hodge…
Cooperation in a non-Ergodic World on a Network -- Insurance and Beyond
Tobias Wand, Oliver Kamps, Benjamin Skjold
Cooperation between individuals is emergent in all parts of society, yet mechanistic reasons for this emergence is ill understood in the literature. A specific example of this is i…
Estimating Stable Fixed Points and Langevin Potentials for Financial Dynamics
Tobias Wand, Timo Wiedemann, Jan Harren +1
The Geometric Brownian Motion (GBM) is a standard model in quantitative finance, but the potential function of its stochastic differential equation (SDE) cannot include stable nonz…
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…
The Characteristic Time Scale of Cultural Evolution
Tobias Wand, Dan Hoyer
Numerous researchers from various disciplines have explored commonalities and divergences in the evolution of complex social formations. Here, we explore whether there is a 'charac…
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…