Non-stationarity in financial markets: dynamics of market states versus generic features

DOI10.5506/APHYSPOLB.46.1625MaRDI QIDQ5360101zbMATH OpenFDO

Authors Thomas Guhr

Publication date 27 September 2017

Published in Acta Physica Polonica B (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

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(10)

• Forecasting market states
• Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
• Transitions between quasi-stationary states in traffic systems: cologne orbital motorways as an example
• Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example
• Analysis of non-stationary dynamics in the financial system
• Estimating phenomenological parameters in multi-assets markets
• Uncovering the dynamics of correlation structures relative to the collective market motion
• On the non-stationarity of financial time series: impact on optimal portfolio selection
• A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures
• Stability and hierarchy of quasi-stationary states: financial markets as an example

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