Regensburg 2016 – wissenschaftliches Programm
SOE 14.2: Vortrag
Mittwoch, 9. März 2016, 11:30–11:45, H36
Stability and hierarchy of quasi-stationary states: financial markets as an example — •Yuriy Stepanov1, Rudi Schäfer1, Thomas Guhr1, Joachim Peinke2, and Philip Rinn2 — 1Fakultät für Physik, Universität Duisburg-Essen, Lotharstr. 1, 47048 Duisburg — 2Institute of Physics and ForWind, Carl-von-Ossietzky University Oldenburg, Oldenburg, Germany
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure. We identify the dominating variable and extract its explicit stochastic model. This allows us to establish a connection between its time evolution and known historical events on the market. We discuss the dynamics, the stability and the hierarchy of the recently proposed quasistationary market states.
 YS, Rinn P, Guhr T, Peinke J and and Schäfer R, J. Stat. Mech. 2015 (2015) P08011