Prof. Dr. Henriette Elise Breymann

ZHAW School of Engineering
Forschungsschwerpunkt Finance, Risk Management and Econometrics
Technikumstrasse 81
8400 Winterthur

+41 (0) 58 934 78 14
henrietteelise.breymann@zhaw.ch

Persönliches Profil

Tätigkeit an der ZHAW

Dozent für Finanzmathematik

Lehrtätigkeit in der Weiterbildung

Projekte

Data Driven Financial Risk and Regulatory Reporting (DaDFiR3) / ProjektleiterIn / Projekt laufend
Strengthening Swiss Financial SMEs through Applicable Reinforcement Learning / Co-ProjektleiterIn / Projekt abgeschlossen
Towards Explainable Artificial Intelligence and Machine Learning in Credit Risk Management / Co-ProjektleiterIn / Projekt abgeschlossen
ACTUS Risk Demonstrator / ProjektleiterIn / Projekt abgeschlossen
Large Scale Data-Driven Financial Risk Modelling / ProjektleiterIn / Projekt abgeschlossen
Mathematics and Fintech: The next revolution in the digital transformation of the finance industry / ProjektleiterIn / Projekt abgeschlossen
Standardisierte algorithmische Darstellung von Finanzkontrakten / ProjektleiterIn / Projekt abgeschlossen
RENERG2 - RENewable enERGies in future energy supply / ProjektleiterIn / Projekt abgeschlossen
Risk- and Finance-Lab / ProjektleiterIn / Projekt abgeschlossen
Optimierte Produkt-Service-Bundle für ein neuartiges Heizungssystem auf Brennstoffzellenbasis. / Teammitglied / Projekt abgeschlossen
SoE Projekt MPIG / Teammitglied / Projekt abgeschlossen
Management von Rohstoff- und CO2-Risiken im Rahmen eines Systems zur ganzheitlichen Ertrags- und Risikosteuerung von Unternehmen / ProjektleiterIn / Projekt abgeschlossen

Publikationen

Beiträge in wissenschaftlicher Zeitschrift, peer-reviewed

Stockinger, Kurt; Bundi, Nils Andri; Heitz, Jonas; Breymann, Wolfgang,

2019.

Scalable architecture for big data financial analytics : user-defined functions vs. SQL.

Journal of Big Data.

6(46).

Verfügbar unter: https://doi.org/10.1186/s40537-019-0209-0
Kavassalis, Petros; Stieber, Harald; Breymann, Wolfgang; Saxton, Keith; Gross, Francis Joseph,

2018.

An innovative RegTech approach to financial risk monitoring and supervisory reporting.

Journal of Risk Finance.

19(1), S. 39-55.

Verfügbar unter: https://doi.org/10.1108/JRF-07-2017-0111
Ajmone-Marsan, Marco; Arrowsmith, David; Breymann, Wolfgang; Fritz, Oliver; Masera, Marcelo; Mengolini, Anna; Carbone, Anna,

2012.

The emerging energy web.

The European Physical Journal Special Topics.

214(1), S. 547-569.

Verfügbar unter: https://doi.org/10.1140/epjst/e2012-01705-1
Breymann, Wolfgang; Lüthi, David; Platen, Eckhard,

2009.

Empirical behavior of a world stock index from intra-day to monthly time scales.

The European Physical Journal B.

71, S. 511-522.

Verfügbar unter: https://doi.org/10.1140/epjb/e2009-00341-x
Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard,

2006.

Intraday empirical analysis and modeling of diversified world stock indices.

Asia-Pacific Financial Markets.

12(1), S. 1-28.

Verfügbar unter: https://doi.org/10.1007/s10690-006-9010-0
Vollmer, Jürgen; Tél, Tamás; Breymann, Wolfgang,

2004.

Dynamical-system models of transport : chaos characteristics, the macroscopic limit, and irreversibility.

Physica D: Nonlinear Phenomena.

187(1-4), S. 108-127.

Verfügbar unter: https://doi.org/10.1016/j.physd.2003.09.005
Breymann, Wolfgang; Dias, Alexandra; Embrechts, Paul,

2003.

Dependence structures for multivariate high-frequency data in finance.

Quantitative Finance.

3(1), S. 1-14.

Verfügbar unter: https://doi.org/10.1080/713666155
Breymann, Wolfgang; Ghashghaie, Shoaleh; Talkner, Peter,

2000.

A stochastic cascade model for FX dynamics.

International Journal of Theoretical and Applied Finance.

3(3), S. 357-360.

Verfügbar unter: https://doi.org/10.1142/S021902490000019X
Eichengrün, Markus; Schirmacher, Walter; Breymann, Wolfgang,

2000.

Quantum chaotic scattering with a mixed phase space : the three-disk billiard in a magnetic field.

Physical Review E.

61(1), S. 382-389.

Verfügbar unter: https://doi.org/10.1103/PhysRevE.61.382
Vollmer, Jürgen; Tél, Tamás; Breymann, Wolfgang,

1998.

Entropy balance in the presence of drift and diffusion currents : an elementary chaotic map approach.

Physical Review E.

58(2), S. 1672-1684.

Verfügbar unter: https://doi.org/10.1103/PhysRevE.58.1672
Breymann, Wolfgang; Tél, Tamás; Vollmer, Jürgen,

1998.

Entropy balance, time reversibility, and mass transport in dynamical systems.

Chaos.

8(2), S. 396-408.

Verfügbar unter: https://doi.org/10.1063/1.166322
Breymann, Wolfgang; Voit, Johannes,

1998.

Nobelpreis 1997 für Ökonomie : Transporttheorie für Finanzmärkte.

Physik Journal.

54(1), S. 20.

Verfügbar unter: https://doi.org/10.1002/phbl.19980540105
Schirmacher, Walter; Eichengrün, Markus; Breymann, Wolfgang,

1998.

Quantum chaotic scattering and resistance fluctuations in mesoscopic junctions.

Physica status solidi B.

205(1), S. 219-222.

Verfügbar unter: https://doi.org/10.1002/(SICI)1521-3951(199801)205:1<219::AID-PSSB219>3.0.CO;2-W
Breymann, Wolfgang; Ghashghaie, Shoaleh; Peinke, Joachim; Talkner, Peter,

1997.

Devisenmärkte und Turbulenz.

Physik Journal.

53(4), S. 339-340.

Verfügbar unter: https://doi.org/10.1002/phbl.19970530411
Vollmer, Jürgen; Tél, Tamás; Breymann, Wolfgang,

1997.

Equivalence of irreversible entropy production in driven systems : an elementary chaotic map approach.

Physical Review Letters.

79(15), S. 2759-2762.

Verfügbar unter: https://doi.org/10.1103/PhysRevLett.79.2759
Regez, Nicolas; Breymann, Wolfgang; Weigert, Stefan; Kaufman, Charles; Müller, Gerhard,

1996.

Hamiltonian chaos IV.

Computers in Physics.

10(1), S. 39-45.

Verfügbar unter: https://doi.org/10.1063/1.168560
Depondt, Philippe; Breymann, Wolfgang,

1996.

Orientation-translation and orientation-orientation correlations in neopentane plastic crystals : computer simulation.

Molecular Physics.

87(5), S. 1015-1037.

Verfügbar unter: https://doi.org/10.1080/00268979600100701
Eichengrün, Markus; Schirmacher, Walter; Breymann, Wolfgang,

1996.

Quantum manifestations of chaotic scattering in the presence of KAM tori.

EPL - A Letters Journal Exploring the Frontiers of Physics.

36(7), S. 483-489.

Verfügbar unter: https://doi.org/10.1209/epl/i1996-00257-1
Schatzer, Laro; Breymann, Wolfgang; Thomas, Harry,

1996.

Quasi-degeneracies in a 2-spin system : symmetry aspects and a perturbational approach to tunnel splitting.

Zeitschrift für Physik B: Condensed Matter.

101(1), S. 131-139.

Verfügbar unter: https://doi.org/10.1007/s002570050190
Tél, Tamás; Vollmer, Jürgen; Breymann, Wolfgang,

1996.

Transient chaos : the origin of transport in driven systems.

EPL - A Letters Journal Exploring the Frontiers of Physics.

35(9), S. 659-664.

Verfügbar unter: https://doi.org/10.1209/epl/i1996-00167-2
Ghashghaie, Shoaleh; Breymann, Wolfgang; Peinke, Joachim; Talkner, Peter; Dodge, Yadolah,

1996.

Turbulent cascades in foreign exchange markets.

Nature.

381(6585), S. 767-770.

Verfügbar unter: https://doi.org/10.1038/381767a0

Bücher und Monographien, peer-reviewed

Brammertz, Willi; Akkizidis, Ioannis; Breymann, Wolfgang; Entin, Rami; Rüstmann, Marco Rainer Johann, Hrsg.,

2009.

Unified financial analysis : the missing links of finance.

Wiley.

Wiley finance series.

ISBN 978-0-470-69715-3.

Verfügbar unter: https://doi.org/10.1002/9781119206071

Buchbeiträge, peer-reviewed

Breymann, Wolfgang; Bundi, Nils; Heitz, Jonas; Micheler, Johannes; Stockinger, Kurt,

2019.

Large-scale data-driven financial risk assessment

.

In:

Braschler, Martin; Stadelmann, Thilo; Stockinger, Kurt, Hrsg.,

Applied data science : lessons learned for the data-driven business.

Cham:

Springer.

S. 387-408.

Verfügbar unter: https://doi.org/10.1007/978-3-030-11821-1_21

Konferenzbeiträge, peer-reviewed

Stockinger, Kurt; Heitz, Jonas; Bundi, Nils Andri; Breymann, Wolfgang,

2018.

Large-scale data-driven financial risk modeling using big data technology [Paper].

In:

2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT).

5th International Conference on Big Data Computing, Applications and Technologies (BDCAT), Zurich, Switzerland, 17-20 December 2018.

IEEE.

S. 206-207.

Verfügbar unter: https://doi.org/10.1109/BDCAT.2018.00033

Weitere Publikationen

Kavassalis, Petros; Stieber, Harald; Breymann, Wolfgang; Saxton, Keith; Gross, Francis; Brammertz, Willi; Bertolo, Stefano; Dragiotis, Antonis,

2016.

DTD powered by ACTUS : an innovative RegTech approach to financial risk reporting.
Breymann, Wolfgang,

2016.

Standard algorithmic representation of financial contracts : concepts, applications, and new developments of ACTUS.
Brammertz, Willi; Breymann, Wolfgang; Khashanah, Khaldoun; Mendelowitz, Allan,

2013.

ACTUS : the regulatory revolution.
Breymann, Wolfgang,

2011.

Strategische Beratung von Privatinvestoren.

Finanz und Wirtschaft.
Breymann, Wolfgang,

2006.

Theory of financial risk and derivative pricing - from statistical physics to risk management (2nd ed.)

[Rezension von Jean-Philippe Bouchaud; Marc Potters: Theory of financial risk and derivative pricing - from statistical physics to risk management (2nd ed.). New York: Cambridge University Press, 2003. 379 Seiten, ISBN 0-521-81916-4.].

Journal of the American Statistical Association.

101(474), S. 850-852.

Verfügbar unter: https://doi.org/10.1198/jasa.2006.s104
Breymann, Wolfgang; Ghashghaie, Shoaleh,

1999.

Hierarchical structures in financial markets : a "turbulent approach" to stochastic volatility [Paper].

In:

Kertész, János; Kondor, Imre, Hrsg.,

Econophysics: an emergent science : proceedings of the 1st workshop on econophysics, Budapest, 1997.

1st International Workshop on Econophysics, Budapest, 21-27 July 1997.

Dordrecht:

Kluwer.

S. 92-106.
Breymann, Wolfgang; Elmer, Franz-Josef,

1997.

Welches Chaos erforscht die Chaosforschung? [Paper].

In:

Onori, Piero, Hrsg.,

Chaos in der Wissenschaft : nichtlineare Dynamik im interdisziplinären Gespräch.

Ringvorlesung Wintersemester - Stiftung Mensch-Gesellschaft-Umwelt (MGU), Basel, 1995-1996.

Liestal:

Verlag des Kantons Basel-Landschaft.

S. 159-168.

Wissenschaftliche-fächerübergreifende Reihe MGU ; 2.
Ghashghaie, Shoaleh; Breymann, Wolfgang; Peinke, Joachim; Talkner, Peter,

1996.

Turbulence and financial markets : a transaction cascade in foreign exchange markets [Paper].

In:

Gavrilakis, Spyros; Machiels, Luc; Monkewitz, Peter A., Hrsg.,

Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996.

Sixth European Turbulence Conference, Lausanne, 2-5 July 1996.

Dordrecht:

Kluwer.

S. 167-170.

Fluid Mechanics and its Applications (FMIA) ; 36.

Verfügbar unter: https://doi.org/10.1007/978-94-009-0297-8_46
Weigert, Stefan; Breymann, Wolfgang; Elmer, Franz-Josef; Thomas, Harry,

1995.

Chaotische Strukturen in Raum und Zeit.

UNI NOVA - Das Wissenschaftsmagazin der Universität Basel.

73, S. 12.

Mündliche Konferenzbeiträge und Abstracts

Breymann, Wolfgang; Kucharczyk, Daniel Adam; Gross, Francis,

2019.

Modelling the economy as a network of contracts : an ACTUS-based demonstrator applied to liquidity.

In:

6th Annual Conference of the Society for Economic Measurement, Frankfurt, 16-18 August 2019.
Breymann, Wolfgang,

2016.

Modelling and identification of financial products : the ACTUS (algorithmic contract types unified standard) approach.

In:

Joint Spring Conference 2016 of E-Finance Lab and IBM: "Identifiers and Identification Management in the Financial World and Beyond – Requests, Solutions, and Applications", Frankfurt, Germany, 16 February 2016.
Breymann, Wolfgang,

2016.

Towards a standardization of stress testing models for banking & insurance.

In:

ETH Risk Day 2016: Mini-Conference on Risk Management in Finance and Insurance, Zurich, 16 September 2016.
Brammertz, Willi; Breymann, Wolfgang; Mendelowitz, Allan,

2015.

ACTUS : a data standard that enables financial analysis based on granular transaction and position data.

In:

Second International Conference of the Society for Economic Measurement (SEM), Paris, France, 22-24 July 2015.
Breymann, Wolfgang; Mendelowitz, Allan,

2015.

ACTUS : a data standard that enables forward-looking analysis for financial instruments?.

In:

Workshop «Setting Global Standards for Granular Data», London, United Kingdom, 15 January 2015.
Breymann, Wolfgang,

2015.

ACTUS, BIRD and CSDB : an attempt to bring things into perspective.

In:

ACTUS, BIRD, CSDB: How Can These Different Initiatives Benefit Each Other?, Frankfurt, Germany, 9 September 2015.
Breymann, Wolfgang,

2015.

The ACTUS project.

In:

Optimising the Usage of Standards: Technical Aspects of Standardisation, Workshop, European Central Bank (ECB), Frankfurt, Germany, 1 October 2015.
Breymann, Wolfgang,

2014.

ACTUS : a mathematically rigorous, technical language to describe all financial contracts?.

In:

Foundational Building Blocks for a 21st Century Financial Data Infrastructure, Frankfurt, Germany, 10 November 2014.
Breymann, Wolfgang; Stockinger, Kurt,

2014.

Data-driven financial system modeling (DatFisMo).

In:

PWC Swiss Data Week 2014, Zurich, 5-9 May 2014.
Breymann, Wolfgang,

2013.

A prototyping platform for contract based financial simulation and analysis in R.

In:

7th R/Rmetrics Meielisalp Workshop & Summer School on «Computational Finance and Financial Engineering», Meielisalp, 30 June-4 July 2013.
Brammertz, Willi; Breymann, Wolfgang; Mendelowitz, Allan,

2013.

ACTUS : the regulatory revolution.

In:

BoE Seminar - Bank of England, London, United Kingdom, 19 November 2013.
Breymann, Wolfgang; Dingerkus, Stefan; Heitz, Christoph,

2013.

Life cycle management of technical systems and integral financial modeling.

In:

World Trends in Maintenance Engineering, Pretoria, South Africa 13-15 August 2013.
Breymann, Wolfgang,

2013.

The risk and finance lab and the ACTUS project.

In:

Swissnex - ZHAW Meeting, Bangalore, India, 22 January 2013.
Breymann, Wolfgang,

2005.

Multifractality in financial markets.

In:

Dynamics of Socio-Economic Systems - Deutsche Physikalische Gesellschaft e. V., Bad Honnef, Deutschland, 18-24 September 2005.

Verfügbar unter: https://storage.sg.ethz.ch/workshops/Summerschool05/PlakatSS05.jpg
Breymann, Wolfgang,

2005.

Quantifying risk.

In:

Dynamics of Socio-Economic Systems - Deutsche Physikalische Gesellschaft e. V., Bad Honnef, Deutschland, 18-24 September 2005.

Verfügbar unter: https://storage.sg.ethz.ch/workshops/Summerschool05/Talks/Breymann_Risk.pdf

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