Berlin 2012 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 15: Poster Session

SOE 15.5: Poster

Wednesday, March 28, 2012, 16:50–17:50, Poster F

Stochastic analysis of coupling between stock prices — •Alex Neumüller, Matthias Wächter, and Joachim Peinke — ForWind - Center for Wind Energy Research, Institute of Physics, University of Oldenburg

Portfolio optimization is a large and important area of economic science. Commonly portfolios are selected by comparing and evaluating the correlations between different shares. This approach nevertheless neglects the time dependence and mutual influences of the shares. In extension to this, we aim at obtaining a functional relation between different share prices in terms of separate stochastic and deterministic contributions by reconstructing a multi-dimensional Langevin equation from non-equidistant time series of stock prices. In this way we aim to obtain a dynamical correlation of different shares.