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Regensburg 2007 – scientific programme

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 14: Financial Markets and Risk Management III

Thursday, March 29, 2007, 14:00–17:45, H8

14:00 AKSOE 14.1 Noise Reduction by Power Mapping for Improved Portfolio Optimization — •Rudi Schäfer, Nils Fredrik Nilsson, and Thomas Guhr
14:30 AKSOE 14.2 Downside Risk metrics for Hedge Funds: an empirical and a theoretical approach — •Josep Perelló
15:00 AKSOE 14.3 An evolving Potts model of financial markets with threefold imput agents — •Georges Harras and Didier Sornette
15:30 AKSOE 14.4 Endogenous drawdown outliers in the limit-order-book — •Gilles Daniel and Didier Sornette
  16:00 15 min. break
16:15 AKSOE 14.5 Scaling behavior of Student-Lévy processes — •Oliver Grothe and Rafael Schmidt
16:45 AKSOE 14.6 Correlation matrices of synthetic continuous time random walks — •Daniel Fulger, Enrico Scalas, and Guido Germano
17:15 AKSOE 14.7 Theoretical predictions and empirical observations of eigenvalue spectra of time-lagged correlation matrices — •Christoly Biely and Stefan Thurner
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