30 citations · 76 across the 6 of their papers we have counts for
6 papers
Multivariate Garch with dynamic beta
Matthias Raddant, Friedrich Wagner
We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the condition…
Transitions in the Stock Markets of the US, UK, and Germany
Matthias Raddant, Friedrich Wagner
In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stock…
Phase Transition in the S&P Stock Market
Matthias Raddant, Friedrich Wagner
We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belon…
Application of Zhangs Square Root Law and Herding to Financial Markets
Friedrich Wagner
We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed…
Volatility Cluster and Herding
Friedrich Wagner
Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with…
Stability of money: Phase transitions in an Ising economy
Stefan Bornholdt, Friedrich Wagner
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model t…