Berlin 2018 – 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, 12. März 2018, 10:00–10:15, MA 001

Identifying Market States by Methods of Portfolio Management — •Jan Jurczyk and Alexander Eckrot — Universität Regensburg

The world is still thinking about the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We study the SP 500 and DJIA which cover almost all aspects of the US economy and show that monitoring the investor's behaviour approximated by portfolio management mehtods can be used to quantify times of market transition. A method is shown which identifies financial market states and we present evidence of the sharpe transition of 2008.