Search results
- 1.0314142 - ÚTIA 2009 CZ eng V - Research Report
Baruník, Jozef - Vošvrda, Miloslav
Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling.
Praha: ÚTIA AV ČR, 2008. 9 s. Research Report, 2223.
R&D Projects: GA ČR(CZ) GA402/06/1417; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : cusp catastrophe * bifurcations * singularity
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0164750 - 2.0314138 - ÚTIA 2009 CZ eng V - Research Report
Vácha, Lukáš - Baruník, Jozef
Wavelet Neural Networks Prediction of Central European Stock Markets.
Praha: ÚTIA AV ČR, 2008. 7 s. Research Reports, 2225.
R&D Projects: GA ČR GP402/08/P207; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : neural networks * hard threshold denoising * time series prediction
Subject RIV: BC - Control Systems Theory
Permanent Link: http://hdl.handle.net/11104/0164746 - 3.0305506 - ÚTIA 2008 CZ eng V - Research Report
Šmíd, Martin
Probabilistic Properties of the Continuous Double Auction - Uniform Case.
[Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ.]
Praha: ÚTIA AV ČR, 2008. 10 s. Research Report, 2216.
R&D Projects: GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * distribution
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0158771 - 4.0098139 - ÚTIA 2008 CZ eng V - Research Report
Kaňková, Vlasta
Empirical Estimates via Stability in Stochastic Programming.
[Empirické odhady a stabilita ve stochastickém programování.]
Praha: ÚTIA AV ČR, 2007. 25 s. Research Report, 2192.
R&D Projects: GA ČR(CZ) GA402/06/1417; GA ČR GA402/05/0115; GA ČR GA402/07/1113
Institutional research plan: CEZ:AV0Z10750506
Keywords : Stochastic programming * stability * Wasserstein metric * empirical estimates * convergence rate * problems with penalty and recourse * integer simple recourse case * resk funkcionals
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0157128 - 5.0086426 - ÚTIA 2008 CZ eng V - Research Report
Šmíd, Martin
Reduction of the Smith /& Farmers' Model.
[Zjednodušení modelu Smitha a Farmera.]
Praha: ÚTIA AV ČR, 2007. 24 s. Research Report, 2188.
R&D Projects: GA ČR GD402/03/H057; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order markets * zero intelligence models * conditional distribution
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0148697 - 6.0079785 - ÚTIA 2008 CZ eng V - Research Report
Šmíd, Martin
Dynamic Behavior of a Rational Agent at a Limit Order Market.
[Dynamické chování racionálního inestora na trhu s limitními objednávkami.]
Praha: ÚTIA AV ČR, 2006. 8 s. Research Report, 2177.
R&D Projects: GA ČR GD402/03/H057; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order market * portfolio selection problem
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0144354 - 7.0042159 - ÚTIA 2007 CZ eng V - Research Report
Vácha, Lukáš - Vošvrda, Miloslav
An Energy Decomposition of the Financial Market.
Praha: ÚTIA AV ČR, 2006. 17 s. Research Report, 2171.
R&D Projects: GA ČR GA402/04/1026; GA ČR GA402/06/1417
Grant - others:GA UK(CZ) 454/2004/A-EK FSV
Institutional research plan: CEZ:AV0Z10750506
Keywords : agents' trading strategies * heterogenous agents model with stochastic memory * worst out algorithm * wavelet
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0135457 - 8.0031205 - ÚTIA 2007 CZ eng V - Research Report
Šmíd, Martin
Behavior a Risk Averse EMH-beliver at a Limit Order Market.
Praha: ÚTIA AV ČR, 2006. 6 s. Research Report, 2159.
R&D Projects: GA ČR(CZ) GA402/06/1417; GA ČR(CZ) GA402/04/1294; GA ČR GD402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : risk averse investors * limit order market * efficient market hypothesis
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131957