Dresden 2009 – wissenschaftliches Programm

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AGSOE: Arbeitsgruppe Physik sozio-ökonomischer Systeme

AGSOE 4: Financial Markets and Risk Management III

AGSOE 4.4: Vortrag

Montag, 23. März 2009, 15:30–15:45, BAR 205

Time-dependent correlations in financial markets — •Michael Münnix, Rudi Schäfer, and Thomas Guhr — Fachbereich Physik, Universität Duisburg-Essen, Germany

Correlations between different financial assets are the crucial input for risk assessment and portfolio optimization. However, these correlations change with time. We show empirical results for the dynamics of the correlation structure in the S&P 500 stocks. Further, we use Monte-Carlo simulations to investigate how noise reduction techniques can help to identify changes in the correlation structure.