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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 25: Poster session
SOE 25.7: Poster
Thursday, March 14, 2013, 17:15–19:00, Poster C
Correlations of optimized stocks portfolios in different market phases — •Alexander Eckrot1, Jan Jurczyk1, Johannes Schneider2, and Ingo Morgenstern1 — 1Uni Regensburg, Regensburg, Germany — 2Uni Mainz, Mainz, Germany
We investigate the correlations of optimized stocks portfolios in different market phases. These portfolios were created by means of Johannes Schneider's algorithm, maximizing the return and minimizing the risk. The correlations of the stocks portfolios are analyzed using methods of the Random Matrix Theory. We divide the data into three different market phases: A stable market around 2005, before the financial crisis. The climax of the crash at 2008. And this financial crisis' aftermath, we are facing in the very recent years.