9 citations · 14 across the 2 of their papers we have counts for
2 papers
q-fin.ST2015★ 9 cited
Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
Frederik Meudt, Martin Theissen, Rudi Schäfer +1
In complex systems, crucial parameters are often subject to unpredictable changes in time. Climate, biological evolution and networks provide numerous examples for such non-station…
q-fin.CP2015★ 5 cited
Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
Frederik Meudt, Thilo A. Schmitt, Rudi Schäfer +1
When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order…