Thomas Guhr

University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

  • University of Duisburg-Essen

SCHOLARLY PAPERS

13

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1,098

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14

CROSSREF CITATIONS

8

Scholarly Papers (13)

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1.

Spatial Dependence in Stock Returns - Local Normalization and VaR Forecasts

Forthcoming in Empirical Economics
Number of pages: 20 Posted: 06 Sep 2013 Last Revised: 31 Jan 2015
Thilo Schmitt, Rudi Schäfer, Dominik Wied and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen, University of Cologne and University of Duisburg-Essen
Downloads 166 (342,308)

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2.

Regularities and Irregularities in Order Flow Data

Number of pages: 10 Posted: 15 Feb 2017
Martin Theissen, Sebastian Krause and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 151 (370,526)

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Financial Markets, Order Book, Market Microstructure

3.

Microscopic Understanding of Cross-Responses between Stocks: A Two-Component Price Impact Model

Market Microstructure and Liquidity (2017) 3:1850009 , DOI: 10.1142/S2382626618500090
Number of pages: 28 Posted: 05 Jan 2017 Last Revised: 23 Apr 2019
Shanshan Wang and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 102 (499,192)
Citation 3

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

4.

Analysis of Aggregated Return Distributions for Stock Markets

Number of pages: 36 Posted: 09 Jun 2023
Efstratios Manolakis, Anton J. Heckens and Thomas Guhr
Universität Duisburg-Essen, University Duisburg-Essen and University of Duisburg-Essen
Downloads 96 (519,772)

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Complex systems, Econophysics, Financial markets, Non-stationarity, Time Series

5.

Cross-Response in Correlated Financial Markets: Individual Stocks

Eur. Phys. J. B (2016) 89: 105
Number of pages: 17 Posted: 05 Jan 2017 Last Revised: 07 Jan 2017
Shanshan Wang, Rudi Schäfer and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 87 (553,237)
Citation 5

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

6.

Extreme Portfolio Loss Correlations in Credit Risk

Number of pages: 25 Posted: 30 Jun 2017
Andreas Mühlbacher and Thomas Guhr
University of Duisburg-Essen - Faculty of Physics and University of Duisburg-Essen
Downloads 84 (565,230)

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Credit Risk, Non-Stationarity, Statistical Analysis, Complex Systems, Econophysics, Random Matrix Approach

7.

Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations

Number of pages: 32 Posted: 04 Mar 2018
Andreas Mühlbacher and Thomas Guhr
University of Duisburg-Essen - Faculty of Physics and University of Duisburg-Essen
Downloads 82 (573,329)
Citation 1

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Credit Risk, Financial Markets, Non-Stationarity, Random Matrices, Structural Models, Wishart Model

8.

Average Cross-Responses in Correlated Financial Market

The European Physical Journal, 2016, 89:207, doi./10.1140/epjb/e2016-70137-0
Number of pages: 13 Posted: 05 Jan 2017
Shanshan Wang, Rudi Schäfer and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 73 (612,334)
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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

9.

Impact and Recovery Process of Mini Flash Crashes: An Empirical Study

Number of pages: 13 Posted: 26 Jul 2017
Tobias Braun, Jonas Fiegen, Daniel Wagner, Sebastian Krause and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 63 (661,484)
Citation 3

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Econophysics, Ultrafast Extreme Event, Flash Crash, High Frequency Trading, Recovery Rate

10.

Emergence of Stylized Facts During the Opening of Stock Markets

Number of pages: 8 Posted: 03 Jan 2019
Sebastian Krause, Jonas Fiegen and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 57 (693,800)
Citation 1

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Market Microstructure, Financial Markets, Stylized Facts, Seasonalities, Non-Stationarity

11.

Grasping Asymmetric Information in Market Impacts

Eur. Phys. J. B (2018) 91: 266, DOI: 10.1140/epjb/e2018-80599-5
Number of pages: 23 Posted: 23 Oct 2017 Last Revised: 23 Apr 2019
Shanshan Wang, Sebastian Neusüß and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, Deutsche Börse AG and University of Duisburg-Essen
Downloads 52 (723,101)
Citation 1

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Market Impact, Asymmetric Information, Eigenvalue Spectra, Entropy, Network

12.

Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula Analysis

J. Stat. Mech. (2018) 033407; doi. 10.1088/1742-5468/aab01c
Number of pages: 20 Posted: 28 Jun 2017 Last Revised: 20 Apr 2018
Shanshan Wang and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 44 (775,165)

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copula density, volume imbalance, local fluctuations, two-phase behavior

13.

Statistical Properties of Market Collective Responses

Eur. Phys. J. B 91: 191, 2018, DOI: 10.1140/epjb/e2018-80665-0
Number of pages: 17 Posted: 20 Nov 2017 Last Revised: 21 Sep 2018
Shanshan Wang, Sebastian Neusüß and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, Deutsche Börse AG and University of Duisburg-Essen
Downloads 41 (796,563)

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market impact, liquidity, singular value decomposition, statistical properties