Prof. Dr. Henriette Elise Breymann
Prof. Dr. Henriette Elise Breymann
ZHAW
School of Engineering
Forschungsschwerpunkt Finance, Risk Management and Econometrics
Technikumstrasse 81
8400 Winterthur
Network
Membership of networks
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
- 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
- SoE Project MPIG / Team member / Project completed
Publications
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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).
Available from: 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), pp. 39-55.
Available from: 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), pp. 547-569.
Available from: 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, pp. 511-522.
Available from: 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), pp. 1-28.
Available from: 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), pp. 108-127.
Available from: 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), pp. 1-14.
Available from: 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), pp. 357-360.
Available from: 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), pp. 382-389.
Available from: 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), pp. 1672-1684.
Available from: 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), pp. 396-408.
Available from: 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), pp. 20.
Available from: 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), pp. 219-222.
Available from: 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), pp. 339-340.
Available from: https://doi.org/10.1002/phbl.19970530411
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Vollmer, Jürgen; Tél, Tamás; Breymann, Wolfgang,
1997.
Physical Review Letters.
79(15), pp. 2759-2762.
Available from: 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), pp. 39-45.
Available from: https://doi.org/10.1063/1.168560
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Depondt, Philippe; Breymann, Wolfgang,
1996.
Molecular Physics.
87(5), pp. 1015-1037.
Available from: 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), pp. 483-489.
Available from: 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), pp. 131-139.
Available from: 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), pp. 659-664.
Available from: 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), pp. 767-770.
Available from: https://doi.org/10.1038/381767a0
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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
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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
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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, 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
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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.
pp. 206-207.
Available from: 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.
[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
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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, 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.
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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.
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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., 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
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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, pp. 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.
Available from: 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.
Available from: https://storage.sg.ethz.ch/workshops/Summerschool05/Talks/Breymann_Risk.pdf