T. Guhr

Publications190
h-index27
Citations4,626
Highly Influential Citations147
Claim Author Page
Author pages are created from data sourced from our academic publisher partnerships and public sources.

Recommended Authors

  • H. Stanley
  • 1,597 Publications • 137,061 Citations
  • J. Bouchaud
  • 572 Publications • 27,445 Citations
  • F. Haake
  • 186 Publications • 9,020 Citations
  • Rudi Schafer
  • 21 Publications • 325 Citations
  • Publications
  • Influence
Random matrix approach to cross correlations in financial data.
TLDR
A analysis of cross correlations between price fluctuations of different stocks using methods of random matrix theory finds that the largest eigenvalue corresponds to an influence common to all stocks, and discusses applications to the construction of portfolios of stocks that have a stable ratio of risk to return.
View on PubMed
RANDOM-MATRIX THEORIES IN QUANTUM PHYSICS : COMMON CONCEPTS
View PDF on arXiv
Statistical causes for the Epps effect in microstructure noise
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a…
View PDF on arXiv
Transitions toward Quantum Chaos: With Supersymmetry from Poisson to Gauss
Abstract The transition from arbitrary to chaotic fluctuation properties in quantum systems is studied in a random matrix model. It is assumed that the Hamiltonian can be written as the sum of an…
View PDF on arXiv
Impact of the tick-size on financial returns and correlations
View PDF on arXiv
Local normalization: Uncovering correlations in non-stationary financial time series
View via Publisher
Spin-Orbit Coupling in Semiclassical Approximation
Abstract The spin-orbit coupling in a deformed system is studied by approximating the Schrodinger equation semiclassically. The discrete character of spin is preserved and WKB techniques are used for…
View via Publisher
Microscopic spectrum of the QCD Dirac operator with finite quark masses
We compute the microscopic spectrum of the QCD Dirac operator in the presence of dynamical fermions in the framework of random-matrix theory for the chiral Gaussian unitary ensemble. We obtain…
View PDF on arXiv
Strain in semiconductor core-shell nanowires
We compute strain distributions in core-shell nanowires of zinc blende structure. We use both continuum elasticity theory and an atomistic model, and consider both finite and infinite wires. The…
View PDF on arXiv
A New Method to Estimate the Noise in Financial Correlation Matrices
TLDR
A power mapping of the elements in the correlation matrix which suppresses the noise and thereby effectively 'prolongs' the time series and can be applied to all systems in which time series are measured.
View PDF on arXiv
...
...