Prof. Dr. Henriette Elise Breymann

Projects

• Data Driven Financial Risk and Regulatory Reporting (DaDFiR3) / Project leader / Project ongoing
• Strengthening Swiss Financial SMEs through Applicable Reinforcement Learning / Project co-leader / Project completed
• Towards Explainable Artificial Intelligence and Machine Learning in Credit Risk Management / Project co-leader / Project completed
• ACTUS Risk Demonstrator / Project leader / Project completed
• Large Scale Data-Driven Financial Risk Modelling / Project leader / Project completed
• Mathematics and Fintech: The next revolution in the digital transformation of the finance industry / Project leader / Project completed
• Algorithmic Contract Types Unified Standards / Project leader / Project completed
• RENERG2 - RENewable enERGies in future energy supply / Project leader / Project completed
• Risk- and Finance-Lab / Project leader / Project completed
• Optimized product-service bundle for a new heating system based on fuel cells / Team member / Project completed
• SoE Project MPIG / Team member / Project completed
• Managing Commodity and Carbon Dioxid Risk within an Integrated Risk and Profitability Management System / Project leader / Project completed

Publications

• 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).

  Available from: 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), pp. 39-55.

  Available from: 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), pp. 547-569.

  Available from: 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, pp. 511-522.

  Available from: 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), pp. 1-28.

  Available from: 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), pp. 108-127.

  Available from: 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), pp. 1-14.

  Available from: 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), pp. 357-360.

  Available from: 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), pp. 382-389.

  Available from: 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), pp. 1672-1684.

  Available from: 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), pp. 396-408.

  Available from: https://doi.org/10.1063/1.166322

• Breymann, Wolfgang; Voit, Johannes,

  1998.

  Nobelpreis 1997 für Ökonomie : Transporttheorie für Finanzmärkte.

  Physik Journal.

  54(1), pp. 20.

  Available from: 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), pp. 219-222.

  Available from: 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), pp. 339-340.

  Available from: 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), pp. 2759-2762.

  Available from: 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), pp. 39-45.

  Available from: 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), pp. 1015-1037.

  Available from: 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), pp. 483-489.

  Available from: 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), pp. 131-139.

  Available from: 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), pp. 659-664.

  Available from: 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), pp. 767-770.

  Available from: https://doi.org/10.1038/381767a0

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

  2009.

  Unified financial analysis : the missing links of finance.

  Wiley.

  Wiley finance series.

  ISBN 978-0-470-69715-3.

  Available from: https://doi.org/10.1002/9781119206071

• Breymann, Henriette Elise; Hauf, Patrick; Künzle, Christoph,

  2024.

  Venturing into new ways of regulatory reporting and systemic risk analysis

  .

  In:

  Banking Resilience: New Insights on Corporate Governance, Sustainability and Digital Innovation.

  Singapur:

  World Scientific.

  pp. 417-452.

  Transformations in Banking, Finance and Regulation ; 9.

  Available from: https://doi.org/10.1142/9781800614291_0012

• 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, eds.,

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

  Cham:

  Springer.

  pp. 387-408.

  Available from: https://doi.org/10.1007/978-3-030-11821-1_21

• 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.

  pp. 206-207.

  Available from: https://doi.org/10.1109/BDCAT.2018.00033

• 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.)

  [review of 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), pp. 850-852.

  Available from: 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, eds.,

  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.

  pp. 92-106.

• Breymann, Wolfgang; Elmer, Franz-Josef,

  1997.

  Welches Chaos erforscht die Chaosforschung? [paper].

  In:

  Onori, Piero, ed.,

  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.

  pp. 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., eds.,

  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.

  pp. 167-170.

  Fluid Mechanics and its Applications (FMIA) ; 36.

  Available from: 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, pp. 12.

• 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.

  Available from: 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.

  Available from: https://storage.sg.ethz.ch/workshops/Summerschool05/Talks/Breymann_Risk.pdf

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