Deutsch Intern
  • Mathematical formulas
  • Graphic Stochastics
  • Daten eines Limit-Orderbuchs
Applied Stochastics


Overview of various collaboration in our area of research. Please click on the respective link to get more information.

The interdisciplinary cooperation with Nikolaus Hautsch started in the CRC 649 in Berlin. We currently work on optimal test and estimation methods for price jumps based on high-frequency limit order book data from LOBSTER.

To top

We develop a statistical analysis of path properties of latent volatility processes in models for high-frequency data with microstructure noise. In particular, we consider the regularity of the volatility which allows to decide about suitable volatility models. The cooperation includes DFG project 403176476.

To top

Research Areas

  • Extreme value theory
  • Spatial data analyses
  • Estimation methods for complex models based on Bayesian and likelihood approaches

Cooperation with Prof. Dr. Michael Falk

Website Prof. Dr. Simone Padoan

Alexander Schnurr and Markus Bibinger are both participants of the DynStoch meetings and work on an analysis of ordinal patterns for high-frequency observations of continuous-time stochastic processes. This is supported by Alexander Schnurr's DFG-project 320834150

Website of Prof. Dr. Alexander Schnurr

To top

Mathias Trabs and Markus Bibinger work on statistics for stochastic partial differential equations (SPDEs) based on discrete observations of a solution.

To top

Lars Winkelmann and Markus Bibinger cooperate since 2012 in interdisciplinary projects. The first joint project on an evaluation of ECB-communication based on high-frequency EUREX-prices of government bonds was supported within the CRC 649 "Economic risk". We focus on econometric methods to determine price and volatility jumps and on analyzing their economic implications. Currently we work on approaches to analyze high-dimensional high-frequency financial data.

To top

Guest visits

Research visits of guests at our chair since 2021:

  • Prof. Dr. Lars Winkelmann (FU Berlin) is visiting our group from Novemver 23-26, 2021.