Eldorado - Repositorium der TU Dortmund

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Bei diesem Service handelt es sich um das Institutionelle Repositorium der Technischen Universität Dortmund. Hier werden Ressourcen aus und für Lehre, Studium und Forschung gespeichert, erschlossen und der Öffentlichkeit zugänglich gemacht.

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Aktuellste Veröffentlichungen

Fast Factor Extraction for Mixed Type Financial Data
(2026) Schmidt, Fabian; Demetrescu, Matei
Empirical research has access to ever larger datasets of mixed data types. The sheer amount of available data may often lead to the use of techniques such as dimensionality reduction or shrinkage. To reduce dimensionality, it is not uncommon to assume that the data are driven by a small number of common factors. For metric, or continuous, data, factor extraction may be conducted by means of standard principal component analysis [PCA]. PCA is, however, not directly applicable to count or binary data. Mixed data types may be dealt with via generalized linear models driven analogously by latent factors, and we discuss fast implementations of maximum likelihood estimators based on specific alternating least squares regressions. We demonstrate their practical applicability in simulations and in an application to factor-based forecasts of excess returns.
Real-Time Monitoring for Stock Return Predictability in Nonstationary Volatility Environments
(2025) Demetrescu, Matei; Schmidt, Fabian; Taylor, A.M. Robert
Stock return predictability, should it exist, is likely to be episodic in nature. In order to exploit such pockets of predictability it is essential that they are rapidly detected, in real-time, as the nascent predictive regime emerges. This will typically entail the repeated (sequential) application of one-shot end-of-sample predictability statistics, updated as new data become available. Consequently, in addition to dealing with the usual inference problems caused by unknown regressor persistence and predictive regression endogeneity, one must also account for the multiple testing issues inherent in such monitoring procedures. In addition, stock returns and/or the predictors commonly used typically exhibit time-varying volatility and it is known that ignoring such data features can result in the spurious detection of predictability. We propose real-time monitoring procedures which take account of these issues. Our preferred monitoring strategy uses a CUSUM-type procedure based on a specific moment condition related to the predictive power of the putative predictor. We implement nonparametric adjustment methods to allow for the possibility of time varying volatility which do not require the practitioner to assume any particular parametric model for volatility. Monte Carlo simulations confirm that our proposed detection procedures display well controlled false positive rate across a range of feasible volatility paths coupled with good power to rapidly detect an emerging predictive episode. The empirical relevance of our proposed monitoring strategy is illustrated in a pseudo real-time monitoring exercise using a well-known dataset of S&P 500 returns.
Der Kapitalmarkt als Finanzierungsalternative - Eigen- und Fremdfinanzierungsmöglichkeiten an den Börsenplätzen für den deutschen Mittelstand
(2026) Requardt, André; Polt, Christian; Hoffjan, Andreas
Die vorliegende Dissertation untersucht den Kapitalmarkt als potenzielle Finanzierungsalternative für den deutschen Mittelstand und analysiert die Ursachen für die bislang geringe Nutzung kapitalmarktbasierter Finanzierungsformen durch mittelständische Unternehmen. Trotz der hohen volkswirtschaftlichen Bedeutung des Mittelstands und zunehmender regulatorischer Bestrebungen zur Förderung kapitalmarktorientierter Finanzierungen dominieren in Deutschland weiterhin klassische Finanzierungsformen wie Eigenmittel und Bankkredite. Ziel der Arbeit ist es daher, die zentralen Treiber und Verweigerungsgründe mittelständischer Unternehmen gegenüber Kapitalmarktfinanzierungen zu identifizieren und daraus Handlungsempfehlungen für Unternehmen, Kapitalmarktakteure, Intermediäre und regulatorische Institutionen abzuleiten. Methodisch basiert die Arbeit auf einer Kombination aus strukturierter Literaturrecherche und qualitativer Interviewstudie. Zur theoretischen Fundierung werden insbesondere Ansätze der Neuen Institutionenökonomik sowie die Stewardship-Theorie herangezogen. Im empirischen Teil wurden leitfadengestützte Interviews mit geschäftsführenden Gesellschaftern, kaufmännischen Entscheidern mittelständischer Unternehmen sowie Intermediären durchgeführt und systematisch ausgewertet. Die Ergebnisse zeigen, dass die geringe Nutzung kapitalmarktbasierter Finanzierungsformen nicht ausschließlich auf Kosten, regulatorische Anforderungen oder Komplexität zurückzuführen ist. Vielmehr spielen kulturelle und wahrnehmungsbezogene Faktoren eine entscheidende Rolle. Insbesondere die Sorge vor Kontrollverlust, die starke Identifikation mit mittelständischen Werten sowie die Wahrnehmung kapitalmarktorientierter Unternehmen als kurzfristig und renditegetrieben wirken hemmend auf eine Öffnung gegenüber dem Kapitalmarkt. Gleichzeitig zeigt sich, dass Unwissenheit über konkrete Ausgestaltungsmöglichkeiten kapitalmarktbasierter Finanzierungen die Zurückhaltung zusätzlich verstärkt. Die Arbeit leistet damit einen Beitrag zur Erweiterung der bestehenden Forschung, indem sie ökonomische, kulturelle und verhaltensbezogene Einflussfaktoren integriert betrachtet und die Bedeutung subjektiver Wahrnehmungen im Kontext mittelständischer Finanzierungsentscheidungen hervorhebt.
Curative N-1 security restoration of transmission systems
(2026) Lindner, Martin Matthias; Rehtanz, Christian; Westermann, Dirk
Congestion management is a key task of grid operators to ensure N-1-secure operation through remedial actions such as redispatch. Curative remedial actions, applied after the occurrence of a contingency, can increase the base loading of grid assets and thereby reduce the need for preventive remedial actions. The selection of suitable remedial actions is typically supported by numerical optimization models that aim to minimize congestion management costs. This work presents a preventive-curative-restorative congestion management strategy that incorporates the restoration of N-1 security into optimization programs used in operational planning. The resulting grid state is curatively N-1-1-secure. The model is based on a graph-based approach that enables an intuitive coupling of multiple preventive and curative grid states within a mixed-integer linear program. To reduce computational complexity, methods were developed to decrease the number of grid states that must be considered. Particular emphasis is placed on the integrated representation of the thermal reserves of overhead line conductors across two consecutive curative time windows within the optimization model.
Spin wave excitations and their interactions in two-dimensional antiferromagnets
(2026) Hering, Dag Björn; Uhrig, Götz S.; Schmidt, Kai P.
This thesis investigates two-dimensional quantum antiferromagnets, with a focus on the spin-$\frac{1}{2}$ antiferromagnetic easy-axis XXZ model on a square and a honeycomb lattice. Describing the excitations and interactions of magnons in these models is of substantial interest, as magnons are the fundamental quasiparticles and can thus explain experimental observations. Already for the paradigmatic antiferromagnetic spin-$\frac{1}{2}$ Heisenberg model on the square lattice, high-energy features of the magnon dispersion are understood via strong magnon-magnon interactions. Besides that, interesting high-energy features were recently observed in the honeycomb lattice, including a possible decay of the single-magnon mode. The goal of this thesis is to obtain effective descriptions of the aforementioned systems that capture the relevant features of the magnon excitations and their interactions. To study these features, this thesis employs continuous similarity transformations (CSTs), which enables a systematic derivation of an effective quasiparticle picture via so-called flow equations. The approach enables decoupling different magnon sectors and thus for investigating ground-state properties, single-magnon excitations, and multi-magnon bound states. The magnon description is derived from the non-Hermitian Dyson-Maleev representation, which describes fluctuations around a long-range magnetically ordered ground state. The flow equations are set up in momentum space, truncated by the scaling dimension, retaining only operators up to scaling dimension of two, and solved numerically. For the square lattice, a magnon-conserving effective Hamiltonian is obtained across the full anisotropy range by interpolating between the Ising limit and the Heisenberg limit. The ground-state energy, staggered magnetization, dispersion, and critical exponents are in excellent agreement with the literature, supporting the validity of CST also for gapped phases. Two-magnon excitations in the $S^z=0$ subspace comprise four bound states, which are tracked across the anisotropy range. Their successive decay into the two-magnon continuum is determined by using the inverse participation ratio. For the honeycomb lattice, the magnon-conserving CST is reliable only up to $\lambda ≲ 0.57$; an adapted CST scheme that decouples only the ground state while preserving couplings between different higher-magnon sectors yields effective descriptions for all $\lambda$ and confirms stable long-range order. The low-energy properties determined in this way match the literature values. However, in the Heisenberg limit, the adapted approach fails to capture high-energy features, such as the experimentally observed decay into the multi-particle continuum at corners of the Brillouin zone. A termination of the magnon-conserving flow equations at a finite flow parameter before the divergence reveals a single-magnon decay at high energies, which is connected to a crossing of a two-magnon bound state with the single-magnon mode. The observed energy dip qualitatively agrees with Quantum Monte Carlo results, but magnon–magnon interactions are overestimated, hindering a fully quantitative characterization of the single-magnon dispersion. Analyzing multi-magnon bound states over the anisotropy range unveils that the crossing of a three-magnon bound state with the single-magnon mode accounts for the breakdown of the magnon-conserving CST at higher $\lambda$. This work demonstrates that CST with scaling-dimension truncation provides a powerful framework for studying two-dimensional quantum magnets, capturing low-energy properties and bound states. Nevertheless, challenges remain in accurately describing high-energy features arising from a persistent overlap of magnon sectors due to strong binding effects.