Contact
Prof. Dr. Holger Dette
Stochastik
Faculty of Mathematics
Phone: 0234/32-28284, -23284
E-Mail: holger.dette@rub.de
Funded since 2009
Link
Statistics of Nonlinear Dynamic Processes
SFB 823 - Participation (Coordination: TU Dortmund)
The centre of the "Statistics of Nonlinear Dynamic Processes" collaborative research centre is formed by time-variable dynamic processes in economic and engineering sciences. The differing variables and complex processes with sometimes incomprehensible dependences cannot be described with conventional methods. For example, almost all economic methods have failed in diagnosis and prognosis in the current financial crisis. Whereas the share markets showed various developments and trends in 2007 in calm stock exchange times, the crisis pulled almost all of them into a minus in 2008 with practically identical percentage losses. Why do international capital market dependences drastically increase in economic depression phases? And how does one explain the fact that the markets in question do not show these simultaneous price changes in recovery periods?
Finding and quantifying the abrupt and/or gradual changes – the so-called structure breaks – is the most important objective of the scientists in the new collaborative research centre. On the Dortmund side, scientists from economic and social sciences, mechanical engineering, physics and statistics are working on the subsidised project. On the Bochum side, research is being done in the new collaborative research centre by scientists from the mathematics, economics and electrical engineering and information technology faculties, and they are involved in a total of seven of the 12 projects. The DFG is subsidising the new collaborative research centre with around 7.6 million Euro for four years to start with.
