Thomas Guhr

University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

SCHOLARLY PAPERS

13

DOWNLOADS

586

CITATIONS

7

Scholarly Papers (13)

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
University of Duisburg-Essen, University of Duisburg-Essen, University of Cologne and University of Duisburg-Essen
Downloads 125 (224,658)

Abstract:

Loading...

2.

Regularities and Irregularities in Order Flow Data

Number of pages: 10 Posted: 15 Feb 2017
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 92 (278,198)

Abstract:

Loading...

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 60 (354,572)
Citation 3

Abstract:

Loading...

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

4.

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 59 (357,515)

Abstract:

Loading...

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

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 54 (373,087)

Abstract:

Loading...

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

6.

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 49 (389,406)

Abstract:

Loading...

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

7.

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 39 (425,919)

Abstract:

Loading...

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

8.

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

Number of pages: 13 Posted: 26 Jul 2017
University of Duisburg-Essen, University of Duisburg-Essen, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 32 (455,282)

Abstract:

Loading...

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

9.

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 27 (479,620)

Abstract:

Loading...

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

10.

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
Faculty of Physics, University of Duisburg-Essen, Deutsche Börse AG and University of Duisburg-Essen
Downloads 20 (518,835)

Abstract:

Loading...

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

11.

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
Faculty of Physics, University of Duisburg-Essen, Deutsche Börse AG and University of Duisburg-Essen
Downloads 15 (548,013)

Abstract:

Loading...

market impact, liquidity, singular value decomposition, statistical properties

12.

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 14 (554,081)

Abstract:

Loading...

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

13.

Credit Risk: Taking Fluctuating Asset Correlations into Account

Journal of Credit Risk, Vol. 11, No. 3, 2015
Number of pages: 22 Posted: 16 Jun 2016
Thilo Schmitt, Rudi Schäfer and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 0 (666,172)
  • Add to Cart

Abstract:

Loading...

nonstationarity, random matrix theory, Merton model, value-at-risk