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Rudi Schäfer
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Identifying states of a financial market
MC Münnix, T Shimada, R Schäfer, F Leyvraz, TH Seligman, T Guhr, ...
Scientific reports 2 (1), 644, 2012
2342012
Non-stationarity in financial time series: Generic features and tail behavior
TA Schmitt, D Chetalova, R Schäfer, T Guhr
Europhysics Letters 103 (5), 58003, 2013
852013
Impact of the tick-size on financial returns and correlations
MC Münnix, R Schäfer, T Guhr
Physica A: Statistical Mechanics and its Applications 389 (21), 4828-4843, 2010
742010
Experimental verification of fidelity decay: from perturbative to Fermi golden rule regime
R Schäfer, HJ Stöckmann, T Gorin, TH Seligman
Physical review letters 95 (18), 184102, 2005
672005
Fidelity amplitude of the scattering matrix in microwave cavities
R Schäfer, T Gorin, TH Seligman, HJ Stöckmann
New Journal of Physics 7 (1), 152, 2005
652005
Correlation functions of scattering matrix elements in microwave cavities with strong absorption
R Schäfer, T Gorin, TH Seligman, HJ Stöckmann
Journal of Physics A: Mathematical and General 36 (12), 3289, 2003
542003
Local normalization: Uncovering correlations in non-stationary financial time series
R Schäfer, T Guhr
Physica A: Statistical Mechanics and its Applications 389 (18), 3856-3865, 2010
442010
Credit risk—A structural model with jumps and correlations
R Schäfer, M Sjölin, A Sundin, M Wolanski, T Guhr
Physica A: Statistical Mechanics and its Applications 383 (2), 533-569, 2007
432007
Recovery of the fidelity amplitude for the Gaussian ensembles
HJ Stöckmann, R Schäfer
New Journal of Physics 6 (1), 199, 2004
422004
Cross-response in correlated financial markets: individual stocks
S Wang, R Schäfer, T Guhr
The European Physical Journal B 89, 1-16, 2016
392016
Power mapping with dynamical adjustment for improved portfolio optimization
R Schäfer, NF Nilsson, T Guhr
Quantitative Finance 10 (1), 107-119, 2010
392010
Fidelity recovery in chaotic systems and the Debye-Waller factor
HJ Stöckmann, R Schäfer
Physical review letters 94 (24), 244101, 2005
372005
Dynamics of quasi-stationary systems: Finance as an example
P Rinn, Y Stepanov, J Peinke, T Guhr, R Schäfer
Europhysics Letters 110 (6), 68003, 2015
332015
A random matrix approach to credit risk
MC Münnix, R Schäfer, T Guhr
PLoS One 9 (5), e98030, 2014
322014
Stability and hierarchy of quasi-stationary states: financial markets as an example
Y Stepanov, P Rinn, T Guhr, J Peinke, R Schäfer
Journal of Statistical Mechanics: Theory and Experiment 2015 (8), P08011, 2015
312015
Average cross-responses in correlated financial markets
S Wang, R Schäfer, T Guhr
The European Physical Journal B 89, 1-13, 2016
292016
Zooming into market states
D Chetalova, R Schäfer, T Guhr
Journal of Statistical Mechanics: Theory and Experiment 2015 (1), P01029, 2015
272015
Estimating correlation and covariance matrices by weighting of market similarity
MC Münnix, R Schäfer, O Grothe
Quantitative Finance 14 (5), 931-939, 2014
262014
Microscopic understanding of heavy-tailed return distributions in an agent-based model
TA Schmitt, R Schäfer, MC Münnix, T Guhr
Europhysics Letters 100 (3), 38005, 2012
262012
Statistical causes for the Epps effect in microstructure noise
MC Münnix, R Schäfer, T Guhr
International Journal of Theoretical and Applied Finance 14 (08), 1231-1246, 2011
252011
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Articles 1–20