​​PD Dr. Rudi Schäfer

Econophysics

Office:    MG 331   
Phone:    + 49 (0)203 379 4734  
E-mail

• Awards
  
  
  • Gottschalk-Diederich-Baedecker-Preis 2014
  
   
• Research interests
  
  
  • Econophysics
  • Quantum Chaos
  • Statistical Physics
  • Statistical DNA analysis
  
   
• Teaching Experience
  
  
  • Lecture on Econophysics I+II
  • Lecture on Quantum Chaos
  • Exercises on Econophysics
  • Supervision of master, diplom and PhD theses in Econophysics
  • Computer Exercises on Quantum Mechanics, Electrodynamics and Statistical Physics
  • Theoretical exercises on Quantum Mechanics and Statistical Physics
  • Advanced practical exercises for physics students
  • Practical exercises in physics for medicine and biology students
  • Mathematics course for biology students
  
   
• Publications

   

  ​
  
  ​​R. Schäfer, A.F.R. Koivusalo and T. Guhr
  Credit Portfolio Risk and Diversification

  invited contribution in:

  Credit Securitisations and Derivatives - Challenges for the Global Markets(The Wiley Finance Series)
  D. Rösch and H. Scheule (Eds.)
  John Wiley & Sons, New York (April 2013)
  ISBN: 978-1119963967

   

   

  • R. Schäfer
    Econophysics: Quantitative Studies of Equity and Credit Markets
    Habilitation thesis (2013) 

  • D. Chetalova, M. Wollschläger and R. Schäfer
    Dependence structure of market states
    J. Stat. Mech., P08012 (2015) ,    preprint: arXiv:1503.09004 

  • Y. Stepanov, P. Rinn, T. Guhr, J. Peinke and R. Schäfer
    Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
    J. Stat. Mech., P08011 (2015) ,    preprint:  arXiv:1503.00556 

  • M. Wollschläger and R. Schäfer
    Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
    preprint: arXiv:1506.08054 

  • P. Rinn, Y. Stepanov, J. Peinke, T. Guhr and R. Schäfer
    Dynamics of quasi-stationary systems: Finance as an example
    Europhysics Letters 110, 68003 (2015) ,    preprint: arXiv:1502.07522 

  • T.A. Schmitt, R. Schäfer and T. Guhr
    Credit risk: taking fluctuating asset correlations into account
    accepted for publication in Journal of Credit Risk 

  • T.A. Schmitt, R. Schäfer, H. Dette and T. Guhr
    Quantile correlations: Uncovering temporal dependencies in financial time series
    accepted for publication in IJTAF 

  • D. Chetalova, T.A. Schmitt, R. Schäfer and T. Guhr
    Portfolio return distributions: Sample statistics with stochastic correlations
    International Journal of Theoretical and Applied Finance 18, 1550012 (2015)  
    preprint: arXiv:1308.3961 

  • R. Schäfer, S. Barkhofen, T. Guhr, H.-J. Stöckmann and U. Kuhl
    Compounding approach for univariate time series with non-stationary variances
    preprint: arXiv:1503.02177 

  • F. Meudt, M. Theissen, R. Schäfer and T. Guhr
    Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
    preprint: arXiv:1503.01584 

  • F. Meudt, T.A. Schmitt, R. Schäfer and T. Guhr
    Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
    preprint: arXiv:1502.01125 

  • D. Chetalova, R. Schäfer and T. Guhr
    Zooming into market states
    J. Stat. Mech., P01029 (2015) ,    preprint: arXiv:1406.5386 

  • D.C. Wagner, T.A. Schmitt, R. Schäfer, T. Guhr, D.E. Wolf
    Analysis of a decision model in the context of equilibrium pricing and order book pricing
    Physica A 415, 347-353 (2014) ,    preprint: arXiv:1404.7356 

  • M.C. Münnix, R. Schäfer and T. Guhr
    A Random Matrix Approach to Credit Risk
    PLOS ONE, 9, e98030 (2014) ,    preprint: arXiv:1102.3900 

  • T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
    Credit risk and the instability of the financial system: An ensemble approach
    Europhysics Letters 105, 38004 (2014) ,    preprint: arXiv:1309.5245 

  • M.C. Münnix, R. Schäfer and O. Grothe
    Estimating correlation and covariance matrices by weighting of market similarity
    Quantitative Finance, 14, 931-939 (2014) ,    preprint: arXiv:1006.5847 

  • T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
    Non-Stationarity in Financial Time Series and Generic Features
    Europhysics Letters 103, 58003 (2013) ,    preprint: arXiv:1304.5130 

  • Vinayak, R. Schäfer and T.H. Seligman
    Emerging spectra of singular correlation matrices under small power-map deformations
    Phys. Rev. E 88, 032115 (2013) ,    preprint: arXiv:1304.4982 

  • T.A. Schmitt, R. Schäfer, D. Wied and T. Guhr
    Spatial Dependence in Stock Returns - Local Normalization and VAR Forecasts
    SFB 823 Discussion Paper 18/13 (2013).    Preprint available at: SSRN.com/abstract=2320675 

  • R. Schäfer and A.F.R. Koivusalo
    Dependence of defaults and recoveries in structural credit risk models
    Economic Modelling 30, 1-9 (2013) ,    preprint: arXiv:1102.3150 

  • M.C. Münnix, T. Shimada, R. Schäfer, F. Leyvraz, T.H. Seligman, T. Guhr and H.E. Stanley
    Identifying States of a Financial Market
    Scientific Reports 2 : 644 (2012) ,    preprint: arXiv:1202.1623 

  • A.F.R. Koivusalo and R. Schäfer
    Calibration of structural and reduced-form recovery models
    Journal of Credit Risk 8(4), 31-51 (2012) ,    preprint: arXiv:1102.4864 

  • T.A. Schmitt, R. Schäfer, M.C. Münnix and T. Guhr
    Microscopic understanding of heavy-tailed return distributions in an agent-based model
    Europhysics Letters 100, 38005 (2012) ,    preprint: arXiv:1207.2946 

  • A. Becker, A.F.R. Koivusalo and R. Schäfer
    Empirical Evidence for the Structural Recovery Model
    preprint on DefaultRisk.com 

  • M.C. Münnix and R. Schäfer
    A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
    Physica A 390, 4251 (2011) ,    preprint: arXiv:1102.1099 

  • M.C. Münnix, R. Schäfer and T. Guhr
    Statistical causes for the Epps effect in microstructure noise
    International Journal of Theoretical and Applied Finance 14, 1231-1246 (2011)  
    preprint: arXiv:1009.6157 

  • R. Schäfer and T. Guhr
    Local normalization: Uncovering correlations in non-stationary financial time series
    Physica A 389, 3856 (2010) 

  • M.C. Münnix, R. Schäfer and T. Guhr
    Impact of the tick-size on financial returns and correlations
    Physica A 389, 4828 (2010) ,    preprint: arXiv:1001.5124 

  • M.C. Münnix, R. Schäfer and T. Guhr
    Compensating asynchrony effects in the calculation of financial correlations
    Physica A 389, 767 (2010) ,    preprint: arXiv:0910.2909 

  • R. Schäfer, N. F. Nilsson and T. Guhr
    Power mapping with dynamical adjustment for improved portfolio optimization
    Quantitative Finance 10, 107 - 119 (2010) 

  • R. Schäfer, M. Sjölin, A. Sundin, M. Wolanski and T. Guhr
    Credit risk - A structural model with jumps and correlations
    Physica A 383, 533 (2007) , preprint on DefaultRisk.com 

  • C. Pineda, R. Schäfer, T. Prosen and T. H. Seligman
    Verification of generic fidelity recovery in a dynamical system
    Phys. Rev. E 73, 066120 (2006) 

  • R. Schäfer, U. Kuhl and H.-J. Stöckmann
    Directed emission from a dielectric microwave billiard with quadrupolar shape
    New Journal of Physics 8, 46 (2006) 

  • R. Schäfer, H.-J. Stöckmann, T. Gorin and T. H. Seligman
    Experimental verification of fidelity decay: From perturbative to Fermi golden rule regime
    Phys. Rev. Lett. 95, 184102 (2005) 

  • R. Schäfer, T. Gorin, T. H. Seligman and H.-J. Stöckmann
    Fidelity amplitude of the scattering matrix in microwave cavities
    New Journal of Physics 7, 152 (2005) 

  • H.-J. Stöckmann and R. Schäfer
    Fidelity Recovery in Chaotic Systems and the Debye-Waller Factor
    Phys. Rev. Lett. 94, 244101 (2005) 

  • H.-J. Stöckmann and R. Schäfer
    Recovery of the fidelity amplitude for the Gaussian ensembles
    New Journal of Physics 6, 199 (2004) 

  • R. Schäfer 
    Correlation functions and fidelity decay in chaotic systems
    Ph. D. thesis (Dec. 2004) 

  • R. Schäfer, T. Gorin, T. H. Seligman and H.-J. Stöckmann
    Correlation functions of scattering matrix elements in microwave cavities with strong absorption
    Journal of Physics A  36, 3289 (2003) 

  • R. Schäfer, M. Barth, F. Leyvraz, M. Müller, T. H. Seligman and H.-J. Stöckmann
    Transition from Gaussian-orthogonal to Gaussian-unitary ensemble in a microwave billiard with threefold symmetry
    Phys. Rev. E 66, 016202 (2002) 

  • R. Schäfer, U. Kuhl, M. Barth and H.-J. Stöckmann
    Spectra and wavefunctions in a ray-splitting Sinai microwave billiard and their semiclassical interpretation
    Foundations of Physics 31, 475 (2001)