Prof. Dr. Henriette Elise Breymann

Prof. Dr. Henriette Elise Breymann
ZHAW
School of Engineering
Forschungsschwerpunkt Finance, Risk Management and Econometrics
Technikumstrasse 81
8400 Winterthur
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
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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
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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
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Ajmone-Marsan, Marco; Arrowsmith, David; Breymann, Wolfgang; Fritz, Oliver; Masera, Marcelo; Mengolini, Anna; Carbone, Anna,
2012.
The European Physical Journal Special Topics.
214(1), S. 547-569.
Verfügbar unter: https://doi.org/10.1140/epjst/e2012-01705-1
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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
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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
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Vollmer, Jürgen; Tél, Tamás; Breymann, Wolfgang,
2004.
Physica D: Nonlinear Phenomena.
187(1-4), S. 108-127.
Verfügbar unter: https://doi.org/10.1016/j.physd.2003.09.005
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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
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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
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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
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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
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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
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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
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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
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Breymann, Wolfgang; Ghashghaie, Shoaleh; Peinke, Joachim; Talkner, Peter,
1997.
Physik Journal.
53(4), S. 339-340.
Verfügbar unter: https://doi.org/10.1002/phbl.19970530411
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Vollmer, Jürgen; Tél, Tamás; Breymann, Wolfgang,
1997.
Physical Review Letters.
79(15), S. 2759-2762.
Verfügbar unter: https://doi.org/10.1103/PhysRevLett.79.2759
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Regez, Nicolas; Breymann, Wolfgang; Weigert, Stefan; Kaufman, Charles; Müller, Gerhard,
1996.
Computers in Physics.
10(1), S. 39-45.
Verfügbar unter: https://doi.org/10.1063/1.168560
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Depondt, Philippe; Breymann, Wolfgang,
1996.
Molecular Physics.
87(5), S. 1015-1037.
Verfügbar unter: https://doi.org/10.1080/00268979600100701
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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
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Schatzer, Laro; Breymann, Wolfgang; Thomas, Harry,
1996.
Zeitschrift für Physik B: Condensed Matter.
101(1), S. 131-139.
Verfügbar unter: https://doi.org/10.1007/s002570050190
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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
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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
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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
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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
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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
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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.
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Breymann, Wolfgang,
2016.
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Brammertz, Willi; Breymann, Wolfgang; Khashanah, Khaldoun; Mendelowitz, Allan,
2013.
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Breymann, Wolfgang,
2011.
Strategische Beratung von Privatinvestoren.
Finanz und Wirtschaft.
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Breymann, Wolfgang,
2006.
[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
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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.
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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.
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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
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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.
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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.
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Breymann, Wolfgang,
2016.
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.
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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.
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Brammertz, Willi; Breymann, Wolfgang; Mendelowitz, Allan,
2015.
In:
Second International Conference of the Society for Economic Measurement (SEM), Paris, France, 22-24 July 2015.
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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.
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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.
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Breymann, Wolfgang,
2015.
In:
Optimising the Usage of Standards: Technical Aspects of Standardisation, Workshop, European Central Bank (ECB), Frankfurt, Germany, 1 October 2015.
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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.
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Breymann, Wolfgang; Stockinger, Kurt,
2014.
Data-driven financial system modeling (DatFisMo).
In:
PWC Swiss Data Week 2014, Zurich, 5-9 May 2014.
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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.
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Brammertz, Willi; Breymann, Wolfgang; Mendelowitz, Allan,
2013.
ACTUS : the regulatory revolution.
In:
BoE Seminar - Bank of England, London, United Kingdom, 19 November 2013.
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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.
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Breymann, Wolfgang,
2013.
The risk and finance lab and the ACTUS project.
In:
Swissnex - ZHAW Meeting, Bangalore, India, 22 January 2013.
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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
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Breymann, Wolfgang,
2005.
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