1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.RM2015★ 1 cited
Measuring switching processes in financial markets with the Mean-Variance spin glass approach
Jan Jurczyk
In this article we use the Mean-Variance Model in order to measure the current market state. In our study we take the approach of detecting the overall alignment of portfolios in t…
q-fin.ST2015★ 1 cited
Cross correlations in European government bonds and EuroStoxx
Jan Jurczyk, Alexander Eckrot
We use principle component analysis (PCA) of cross correlations in European government bonds and European stocks to investigate the systemic risk contained in the European economy.…