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TUT: Tutorien

TUT 2: Dynamics of Economic and Financial Systems (joint session SOE/TUT)

TUT 2.1: Tutorial

Sunday, March 17, 2024, 16:00–16:45, H 1012

Non-Stationary Dynamics of Correlations in Financial Markets — •Anton J. Heckens — Universität Duisburg-Essen, Lotharstr. 1, 47048 Duisburg

Financial markets are strongly correlated complex systems. The internal processes in the markets constantly change, and the external effects on the markets do change as well. This implies that there is no form of equilibrium whatsoever, rather, the financial markets are highly non-stationary. This has a large impact also on the correlations of stock prices. Here, I focus on the non-stationarity of the correlation structure that the market as a whole shows. Obviously, systemic risk and its management are severely affected. However, the non-stationarity itself has a structure because quasi-stationary states emerge, disappear, reemerge. They are the different operational modes of the market, reflecting various changes and restructurings. I will give an overview of data-driven research in this field of econophysics for a general audience interested in complex systems, not exclusively for experts.

Keywords: Complex Systems; Financial Markets; Correlations; Non-Stationarity; Data Analysis