Henriette Elise Breymann | Zurich University of Applied Sciences (original) (raw)

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Papers by Henriette Elise Breymann

Research paper thumbnail of Relaxation in Perturbed Area-Preserving Maps

Zeitschrift für Naturforschung, Jun 1, 1993

Research paper thumbnail of Financial Events and Liquidity

Research paper thumbnail of MPG-Präsident Markl: „Forschung braucht Planungssicherheit”︁/Zweite Teilgenehmigung für den FRM-II/Wissenschaftsrat: Grünes Licht für Adlershof - Weiterbildung Kernaufgabe der Hochschulen/HIS-Studie zur Mobilität/Ein winning team zieht Zwischenbilanz/„Die

Physikalische Blätter, 1998

Research paper thumbnail of A realistic molecular dynamics simulation of the plastic crystalline phase of neopentane. I. The model and its static properties

Journal of Chemical Physics, Sep 1, 1989

A molecular dynamics simulation of a realistic model of neopentane [C(CH3)4] in its plastic phase... more A molecular dynamics simulation of a realistic model of neopentane [C(CH3)4] in its plastic phase has been performed on a sample of 6×6×6 fcc unit cells (i.e., 864 molecules) at 135, 175, and 230 K. The molecules of the simulated sample interact through phenomenological exp-6, atom–atom potentials between all the atoms of nearest neighbor molecules. The orientational probability density function (opdf), the displacement probability density function (dpdf), and its second moment the Debye–Waller factor have been computed. We confirm the very large value and the important thermal variation of the Debye–Waller factor and the strong anisotropy of the opdf deduced from neutron diffraction experiments. The computed opdf is very well reproduced by a mean-field calculation making use only of the microscopic intermolecular potential and of the equilibrium position of the molecular centers of mass, a result in line with the isotropic character of the dpdf, but not valid for other plastic crystals made of molecules with different geometries.

Research paper thumbnail of A prototyping platform for contract based financial simulation and analysis in R

The School of Engineering of Zurich University of Applied Sciences has approved a credit for 2013... more The School of Engineering of Zurich University of Applied Sciences has approved a credit for 2013 for the build-up of a prototype-modeling platform for integrated financial and risk modeling. At the same time the project ACTUS (Algorithmic Contract Types Unified Standard) started, which is financed by the Alfred P. Sloan Foundation and situated at the Stevens Institute of Technology in New York. The aim of this project is the development of a standard language for financial contract modeling and contract-centric analytical framework. At the basis of both projects is the same concept, namely the UFA methodology, which implies a considerable synergy potential. The central element of the model is the financial contract, which is modeled in an environment of market risk factors, counterparties risk factors and behavioral risk factors. The strict separation of financial contracts from risk factors is an important architectural choice. A financial contract is represented as the algorithmic counterpart of the legal rules making up the “real” financial contract. These rules are deterministic, in contrast to the stochastic risk factors. Together, contracts and risk factors make up the input factors. Given a state of all risk factors, contract events can be generated through the CT specific algorithms, from which the cash flow streams are derived. The cash flows are subject to various kind of analysis as to liquidity, value, income, sensitivity, and risk. The separation of contracts and risk factors make it possible to open up the system for third-party contributions of risk factor models while contract modeling can be encapsulated and possibly certified. In the talk an introduction into the methodology as well as an overview of the actual state of the project will be given, including a web-demo

Research paper thumbnail of Strategische Beratung von Privatinvestoren

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

Research paper thumbnail of Analysis - Going-Concern View

Research paper thumbnail of Turbulence and financial markets

Research paper thumbnail of Orientation-translation and orientation-orientation correlations in neopentane plastic crystals. Computer simulation

Molecular Physics, Apr 10, 1996

ABSTRACT The dynamics of orientationally disordered crystals, such as neopentane C(CH3)4, couple ... more ABSTRACT The dynamics of orientationally disordered crystals, such as neopentane C(CH3)4, couple translational and orientational variables in a complex way. From the results of a molecular dynamics simulation of the orientationally disordered phase of neopentane, simple geometrical methods are used to define functions that can be displayed on a two-dimensional surface and yield practical information, and from these are obtained the single-molecule orientation-translation coupling, the coupling between the translation of a molecule and the orientation of one of its neighbours, and the orientation-orientation coupling of two neighbouring molecules. The single-molecule orientation-translation term, although weak, is consistent with experimental results. A distinct orientation-orientation coupling is visible when a C-C bond of one molecule points at a neighbouring molecule, while a bond of that neighbour points away from the former. Isotropy around the connecting vector tends to disqualify pseudospin-type models for neopentane. The most salient feature, however, is the strong two-molecule orientation-translation correlation, which confirms the motion of one molecule when a C-C bond of one of its neighbours points in its direction; up to now this was only inferred from partial experimental data. Predictions are made for the type of information that is likely to be obtained from neutron diffuse scattering.

Research paper thumbnail of Empirical behavior of a world stock index from intra-day to monthly time scales

European Physical Journal B, Oct 1, 2009

Research paper thumbnail of Dynamical-system models of transport: chaos characteristics, the macroscopic limit, and irreversibility

Physica D: Nonlinear Phenomena, 2004

Research paper thumbnail of Computer simulation versus experiment: the structure of orientationally disordered neopentane

Canadian Journal of Chemistry, Apr 1, 1988

A method to confront computer simulations to real nature is reported. "Experimental" re... more A method to confront computer simulations to real nature is reported. "Experimental" results calculated from the simulation are analyzed through the same model as the actual experiments. The same terms are thus used to describe the simulated and the real sample; they can then be compared, with some reliability, to one another and also to the corresponding quantities obtained directly from the microscopic information provided by the simulation. The method is applied to neutron diffraction experiments performed on orientationally disordered neopentane (C(CD3)4) single crystals, a system for which a realistic molecular dynamics simulation has also been performed. Our method turns out to be a severe test both for the simulation and the models used to interpret the experiments.

Research paper thumbnail of Number of metastable states of a chain with competing and anharmonicΦ4−like interactions

Physical review, May 1, 1993

Research paper thumbnail of Chaotic scattering in the presence of an external magnetic field

Physical review, Sep 1, 1994

Research paper thumbnail of Entropy balance in the presence of drift and diffusion currents: An elementary chaotic map approach

Physical review, Aug 1, 1998

Research paper thumbnail of Entropy Production for Open Dynamical Systems

Physical Review Letters, Sep 30, 1996

Research paper thumbnail of Equivalence of Irreversible Entropy Production in Driven Systems: An Elementary Chaotic Map Approach

Physical Review Letters, Oct 13, 1997

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

Research paper thumbnail of The risk and finance lab and the ACTUS project

Research paper thumbnail of Relaxation in Perturbed Area-Preserving Maps

Zeitschrift für Naturforschung, Jun 1, 1993

Research paper thumbnail of Financial Events and Liquidity

Research paper thumbnail of MPG-Präsident Markl: „Forschung braucht Planungssicherheit”︁/Zweite Teilgenehmigung für den FRM-II/Wissenschaftsrat: Grünes Licht für Adlershof - Weiterbildung Kernaufgabe der Hochschulen/HIS-Studie zur Mobilität/Ein winning team zieht Zwischenbilanz/„Die

Physikalische Blätter, 1998

Research paper thumbnail of A realistic molecular dynamics simulation of the plastic crystalline phase of neopentane. I. The model and its static properties

Journal of Chemical Physics, Sep 1, 1989

A molecular dynamics simulation of a realistic model of neopentane [C(CH3)4] in its plastic phase... more A molecular dynamics simulation of a realistic model of neopentane [C(CH3)4] in its plastic phase has been performed on a sample of 6×6×6 fcc unit cells (i.e., 864 molecules) at 135, 175, and 230 K. The molecules of the simulated sample interact through phenomenological exp-6, atom–atom potentials between all the atoms of nearest neighbor molecules. The orientational probability density function (opdf), the displacement probability density function (dpdf), and its second moment the Debye–Waller factor have been computed. We confirm the very large value and the important thermal variation of the Debye–Waller factor and the strong anisotropy of the opdf deduced from neutron diffraction experiments. The computed opdf is very well reproduced by a mean-field calculation making use only of the microscopic intermolecular potential and of the equilibrium position of the molecular centers of mass, a result in line with the isotropic character of the dpdf, but not valid for other plastic crystals made of molecules with different geometries.

Research paper thumbnail of A prototyping platform for contract based financial simulation and analysis in R

The School of Engineering of Zurich University of Applied Sciences has approved a credit for 2013... more The School of Engineering of Zurich University of Applied Sciences has approved a credit for 2013 for the build-up of a prototype-modeling platform for integrated financial and risk modeling. At the same time the project ACTUS (Algorithmic Contract Types Unified Standard) started, which is financed by the Alfred P. Sloan Foundation and situated at the Stevens Institute of Technology in New York. The aim of this project is the development of a standard language for financial contract modeling and contract-centric analytical framework. At the basis of both projects is the same concept, namely the UFA methodology, which implies a considerable synergy potential. The central element of the model is the financial contract, which is modeled in an environment of market risk factors, counterparties risk factors and behavioral risk factors. The strict separation of financial contracts from risk factors is an important architectural choice. A financial contract is represented as the algorithmic counterpart of the legal rules making up the “real” financial contract. These rules are deterministic, in contrast to the stochastic risk factors. Together, contracts and risk factors make up the input factors. Given a state of all risk factors, contract events can be generated through the CT specific algorithms, from which the cash flow streams are derived. The cash flows are subject to various kind of analysis as to liquidity, value, income, sensitivity, and risk. The separation of contracts and risk factors make it possible to open up the system for third-party contributions of risk factor models while contract modeling can be encapsulated and possibly certified. In the talk an introduction into the methodology as well as an overview of the actual state of the project will be given, including a web-demo

Research paper thumbnail of Strategische Beratung von Privatinvestoren

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

Research paper thumbnail of Analysis - Going-Concern View

Research paper thumbnail of Turbulence and financial markets

Research paper thumbnail of Orientation-translation and orientation-orientation correlations in neopentane plastic crystals. Computer simulation

Molecular Physics, Apr 10, 1996

ABSTRACT The dynamics of orientationally disordered crystals, such as neopentane C(CH3)4, couple ... more ABSTRACT The dynamics of orientationally disordered crystals, such as neopentane C(CH3)4, couple translational and orientational variables in a complex way. From the results of a molecular dynamics simulation of the orientationally disordered phase of neopentane, simple geometrical methods are used to define functions that can be displayed on a two-dimensional surface and yield practical information, and from these are obtained the single-molecule orientation-translation coupling, the coupling between the translation of a molecule and the orientation of one of its neighbours, and the orientation-orientation coupling of two neighbouring molecules. The single-molecule orientation-translation term, although weak, is consistent with experimental results. A distinct orientation-orientation coupling is visible when a C-C bond of one molecule points at a neighbouring molecule, while a bond of that neighbour points away from the former. Isotropy around the connecting vector tends to disqualify pseudospin-type models for neopentane. The most salient feature, however, is the strong two-molecule orientation-translation correlation, which confirms the motion of one molecule when a C-C bond of one of its neighbours points in its direction; up to now this was only inferred from partial experimental data. Predictions are made for the type of information that is likely to be obtained from neutron diffuse scattering.

Research paper thumbnail of Empirical behavior of a world stock index from intra-day to monthly time scales

European Physical Journal B, Oct 1, 2009

Research paper thumbnail of Dynamical-system models of transport: chaos characteristics, the macroscopic limit, and irreversibility

Physica D: Nonlinear Phenomena, 2004

Research paper thumbnail of Computer simulation versus experiment: the structure of orientationally disordered neopentane

Canadian Journal of Chemistry, Apr 1, 1988

A method to confront computer simulations to real nature is reported. "Experimental" re... more A method to confront computer simulations to real nature is reported. "Experimental" results calculated from the simulation are analyzed through the same model as the actual experiments. The same terms are thus used to describe the simulated and the real sample; they can then be compared, with some reliability, to one another and also to the corresponding quantities obtained directly from the microscopic information provided by the simulation. The method is applied to neutron diffraction experiments performed on orientationally disordered neopentane (C(CD3)4) single crystals, a system for which a realistic molecular dynamics simulation has also been performed. Our method turns out to be a severe test both for the simulation and the models used to interpret the experiments.

Research paper thumbnail of Number of metastable states of a chain with competing and anharmonicΦ4−like interactions

Physical review, May 1, 1993

Research paper thumbnail of Chaotic scattering in the presence of an external magnetic field

Physical review, Sep 1, 1994

Research paper thumbnail of Entropy balance in the presence of drift and diffusion currents: An elementary chaotic map approach

Physical review, Aug 1, 1998

Research paper thumbnail of Entropy Production for Open Dynamical Systems

Physical Review Letters, Sep 30, 1996

Research paper thumbnail of Equivalence of Irreversible Entropy Production in Driven Systems: An Elementary Chaotic Map Approach

Physical Review Letters, Oct 13, 1997

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

Research paper thumbnail of The risk and finance lab and the ACTUS project

Research paper thumbnail of Chaotische Strukturen in Raum und Zeit

Research paper thumbnail of (co-authored with Petros Kavassalis, Wolfgang Breymann, Keith Saxton, Francis Gross) An innovative RegTech approach to financial risk monitoring and supervisory reporting

The Journal of Risk Finance, 2018

Financial institutions (FIs) are remunerated for managing financial risks attached to project fin... more Financial institutions (FIs) are remunerated for managing financial risks attached to project financing they organize. As a result, they have little interest to share internally generated risk data, or, for that matter, increase the technological capacity to share such data. However, at current levels of interconnectedness this lack of interoperable data further adds to already elevated levels of systemic risk. Against this background, it is all the more critical that supervisors receive data in a timely manner and in an adequate format. In this context, the present RegTech approach to financial risk monitoring and supervisory reporting is the first integration of algorithmic financial data standards with blockchain functionality. The result is a transformation of supervisors' capacity to monitor risk in the financial system based on data, which preserves informational content of financial instruments at the most granular level in combination with a mathematically robust time stamping approach using blockchain technology. At the same time, on the side of regulated FIs, the RegTech approach has the potential to contain operational risk linked to inadequate handling of risk data and to rein in compliance cost of supervisory reporting.