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- 1.0346165 - ÚTIA 2011 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Empirical Estimates in Stochastic Optimization via Distribution Tails.
Kybernetika. Roč. 46, č. 3 (2010), s. 459-471. ISSN 0023-5954.
[International Conference on Mathematical Methods in Economy and Industry. České Budějovice, 15.06.2009-18.06.2009]
R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/08/0107; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : Stochastic programming problems * Stability * Wasserstein metric * L_1 norm * Lipschitz property * Empirical estimates * Convergence rate * Exponential tails * Heavy tails * Pareto distribution * Risk functional * Empirical quantiles
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.461, year: 2010
Permanent Link: http://hdl.handle.net/11104/0187260File Download Size Commentary Version Access 0346165.pdf 1 171.9 KB Publisher’s postprint open-access - 2.0325504 - ÚTIA 2010 RIV CZ eng J - Journal Article
Vácha, Lukáš - Baruník, Jozef - Vošvrda, Miloslav
Smart Agents and Sentiment in the Heterogeneous Agent Model.
[Pohotoví agenti a sentiment v modelu heterogennich agentů.]
Prague Economic Papers. Roč. 18, č. 3 (2009), s. 209-219. ISSN 1210-0455. E-ISSN 2336-730X
R&D Projects: GA MŠMT(CZ) LC06075; GA ČR GP402/08/P207; GA ČR(CZ) GA402/09/0965
Institutional research plan: CEZ:AV0Z10750506
Keywords : heterogeneous agent model * market structure * smart traders * Hurst exponent
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2009/E/vacha-smart agents and sentiment in the heterogeneous agent model.pdf
Permanent Link: http://hdl.handle.net/11104/0172888 - 3.0314932 - ÚTIA 2009 RIV CZ eng J - Journal Article
Kuchyňka, Alexandr
An Empirical Application of a Two-Factor Model of Stochastic Volatility.
[Empirická aplikace dvoufaktorového modelu stochastické volatility.]
Prague Economic Papers. Roč. 17, č. 3 (2008), s. 243-253. ISSN 1210-0455. E-ISSN 2336-730X
R&D Projects: GA ČR GA402/07/1113; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic volatility * Kalman filter
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/kuchynka-an empirical application of a two-factor model of stochastic volatility.pdf
Permanent Link: http://hdl.handle.net/11104/0165294 - 4.0082432 - ÚTIA 2007 RIV CZ eng J - Journal Article
Vošvrda, Miloslav - Vácha, Lukáš
Heterogeneous Agents Model with the Worst Out Algorithm.
[Model heterogenních agentů s algoritmem nejhorší z kola ven.]
AUCO Czech Economic Review. I, č. 1 (2007), s. 54-66. ISSN 1802-4696
R&D Projects: GA MŠMT(CZ) LC06075; GA ČR(CZ) GA402/06/0990
Grant - others:GA UK(CZ) 454/2004/A-EK/FSV
Institutional research plan: CEZ:AV0Z10750506
Keywords : Efficient Markets Hypothesis * Fractal Market Hypothesis * agents' investment horizons * agents' trading strategies * technical trading rules * heterogeneous agent model with stochastic memory * Worst out Algorithm
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0145990