Search results
- 1.0561398 - ÚTIA 2023 RIV NL eng J - Journal Article
Assaf, A. - Krištoufek, Ladislav - Demir, E. - Mitra, S. M.
Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY. Roč. 71, č. 1 (2021), č. článku 101312. ISSN 1042-4431. E-ISSN 1873-0612
R&D Projects: GA ČR GA20-17295S
Institutional support: RVO:67985556
Keywords : Art markets * Efficient index * Generalized spectral measure * Hurst exponent * Approximate entropy
OECD category: Economic Theory
Impact factor: 4.217, year: 2021
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2022/E/kristoufek-0561398.pdf https://www.sciencedirect.com/science/article/pii/S1042443121000317?via%3Dihub
Permanent Link: https://hdl.handle.net/11104/0334062 - 2.0545604 - ÚI 2022 US eng J - Journal Article
Yamashita Rios de Sousa, Arthur Matsuo - Takayasu, H. - Takayasu, M.
Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data.
PLoS ONE. Roč. 12, č. 5 (2017), č. článku e0177652. ISSN 1932-6203. E-ISSN 1932-6203
Keywords : cross-correlations * hurst exponent * entropy * econophysics * economics * phase * price
Impact factor: 2.766, year: 2017
Permanent Link: http://hdl.handle.net/11104/0322283 - 3.0535241 - ÚVGZ 2021 RIV US eng J - Journal Article
Ludescher, J. - Bunde, A. - Büntgen, Ulf - Schellnhuber, H. J.
Setting the tree-ring record straight.
Climate Dynamics. Roč. 55, č. 11-12 (2020), s. 3017-3024. ISSN 0930-7575. E-ISSN 1432-0894
Institutional support: RVO:86652079
Keywords : past climate * temperature * variability * reconstructions * persistence * Tree-ring * Temperature reconstructions * Harvest dates * Long-term persistence * Hurst exponent
OECD category: Meteorology and atmospheric sciences
Impact factor: 4.375, year: 2020
Method of publishing: Open access
https://link.springer.com/article/10.1007/s00382-020-05433-w
Permanent Link: http://hdl.handle.net/11104/0313324 - 4.0452314 - ÚTIA 2016 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
Physica. A : Statistical Mechanics and its Applications. Roč. 431, č. 1 (2015), s. 124-127. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : Correlations * Power-law cross-correlations * Bivariate Hurst exponent * Spectrum coherence
Subject RIV: AH - Economics
Impact factor: 1.785, year: 2015
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452314.pdf
Permanent Link: http://hdl.handle.net/11104/0253719 - 5.0436818 - ÚTIA 2015 RIV US eng J - Journal Article
Krištoufek, Ladislav
Spectrum-based estimators of the bivariate Hurst exponent.
Physical Review E. Roč. 90, č. 6 (2014), art. 062802. ISSN 1539-3755. E-ISSN 2470-0053
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : bivariate Hurst exponent * power-law cross-correlations * estimation
Subject RIV: AH - Economics
Impact factor: 2.288, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0436818.pdf
Permanent Link: http://hdl.handle.net/11104/0241889 - 6.0381822 - ÚTIA 2013 RIV NL eng J - Journal Article
Krištoufek, Ladislav
How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study.
Physica. A : Statistical Mechanics and its Applications. Roč. 391, č. 17 (2012), s. 4252-4260. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310; SVV(CZ) 261 501
Institutional support: RVO:67985556
Keywords : Rescaled range analysis * Modified rescaled range analysis * Hurst exponent * Long-term memory * Short-term memory
Subject RIV: AH - Economics
Impact factor: 1.676, year: 2012
http://library.utia.cas.cz/separaty/2012/E/kristoufek-how are rescaled range analyses affected by different memory and distributional properties.pdf
Permanent Link: http://hdl.handle.net/11104/0212203 - 7.0377094 - ÚTIA 2013 RIV NL eng J - Journal Article
Baruník, Jozef - Aste, T. - Di Matteo, T. - Liu, R.
Understanding the source of multifractality in financial markets.
Physica. A : Statistical Mechanics and its Applications. Roč. 391, č. 17 (2012), s. 4234-4251. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965
Institutional research plan: CEZ:AV0Z10750506
Keywords : Multifractality * Financial markets * Hurst exponent
Subject RIV: AH - Economics
Impact factor: 1.676, year: 2012
http://www.sciencedirect.com/science/article/pii/S0378437112002890
Permanent Link: http://hdl.handle.net/11104/0209346 - 8.0370121 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Ivanková, Kristýna - Krištoufek, Ladislav - Vošvrda, Miloslav
Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 300-305. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Jánska Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GD402/09/H045
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : isoquantile * Hurst exponent * Efficient Market Hypothesis * stock market index * isobar
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/ivankova-evaluating the efficient market hypothesis by means of isoquantile surfaces and the hurst exponent.pdf
Permanent Link: http://hdl.handle.net/11104/0204015 - 9.0367045 - ÚTIA 2013 RIV NL eng J - Journal Article
Vácha, Lukáš - Baruník, Jozef - Vošvrda, Miloslav
How do skilled traders change the structure of the market.
International Review of Financial Analysis. Roč. 23, č. 1 (2012), s. 66-71. ISSN 1057-5219. E-ISSN 1873-8079
R&D Projects: GA ČR GAP402/10/0956; GA ČR GP402/08/P207; GA ČR GA402/09/0965
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : Heterogeneous agent model * Market structure * Skilled traders * Hurst exponent
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/vacha-how do skilled traders change the structure of the market.pdf
Permanent Link: http://hdl.handle.net/11104/0201836 - 10.0349301 - ÚTIA 2011 RIV CZ eng J - Journal Article
Krištoufek, Ladislav
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals.
AUCO Czech Economic Review. 4/2010, č. 3 (2010), s. 236-250. ISSN 1802-4696
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : rescaled range analysis * detrended fluctuation analysis * Hurst exponent * long-range dependence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-rescaled range analysis and detrended fluctuation analysis finite sample properties and confidence intervals.pdf
Permanent Link: http://hdl.handle.net/11104/0189575