57 citations · 80 across the 4 of their papers we have counts for
4 papers
Identifying States of a Financial Market
Michael C. Münnix, Takashi Shimada, Rudi Schäfer +3
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental result…
Estimating correlation and covariance matrices by weighting of market similarity
Michael C. Münnix, Rudi Schäfer, Oliver Grothe
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of…
Impact of the tick-size on financial returns and correlations
Michael C. Münnix, Rudi Schäfer, Thomas Guhr
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it ca…
Compensating asynchrony effects in the calculation of financial correlations
Michael C. Münnix, Rudi Schäfer, Thomas Guhr
We present a method to compensate statistical errors in the calculation of correlations on asynchronous time series. The method is based on the assumption of an underlying time ser…