23 citations · 23 across the 2 of their papers we have counts for
2 papers
q-fin.TR2012★ 23 cited
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Thilo A. Schmitt, Rudi Schäfer, Michael C. Münnix +1
The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large pric…
q-fin.RM2011
A Random Matrix Approach to Credit Risk
Michael C. Münnix, Rudi Schäfer, Thomas Guhr
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We…