Regensburg 2013 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 2: Financial Markets and Risk Management I

SOE 2.3: Vortrag

Montag, 11. März 2013, 10:30–10:45, H37

Indications of an upcoming financial breakdown — •Jan Jurczyk¹, Johannes Schneider², and Ingo Morgenstern¹ — ¹Faculty of Physics, University of Regensburg, 93040 Regensburg, Germany — ²Department of Physics, Mathematics, and Computer Science, Johannes Gutenberg University of Mainz, 55099 Mainz, Germany

The financial crisis in 2008 showed the weakness of traditional risk evaluation for private investors. In the beginning of 2008 well known financial newspapers and rating firms underestimated the growing risks within the stock market. Therefore the private investor was made to believe that there is no risk within such a system. But the similarities between the spin glass behaviour of the portfolio selection problem, already shown by Markowitz, reveal that the risk is an important observable for recognizing a financial breakdown.

The physical formulation of the portfolio selection problem makes it easier to unveil the risk for a private investor by introducing a simple indicator, which is derived from the idea that ground states of the optimization problem are very sensitive to changes in the solution space and suggests a phase transition.