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- 1.0564516 - ÚI 2023 RIV CZ eng C - Conference Paper (international conference)
Kalina, Jan - Neoral, Aleš
Recent Trends in Machine Learning with a Focus on Applications in Finance.
The 16th International Days of Statistics and Economics Conference Proceedings. Praha: Melandrium, 2022 - (Löster, T.; Pavelka, T.), s. 187-196. ISBN 978-80-87990-29-2.
[International Days of Statistics and Economics /16./. Praha (CZ), 08.09.2022-10.09.2022]
R&D Projects: GA ČR(CZ) GA22-02067S
Grant - others:GA ČR(CZ) GA21-19311S
Institutional support: RVO:67985807
Keywords : statistical learning * automated machine learning * metalearning * financial data analysis * stock market investing
OECD category: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
https://msed.vse.cz/msed_2022/article/577-Kalina-Jan-paper.pdf
Permanent Link: https://hdl.handle.net/11104/0336174 - 2.0558357 - NHU-C 2023 CZ eng D - Thesis
Štefko, Peter
Essays on information in financial markets.
Prague: Charles University, CERGE, 2022. 143 s.
Grant - others:UK(CZ) GAUK 470217
Institutional support: Cooperatio-COOP
Keywords : financial markets * stock market indices * investment strategy
Subject RIV: AH - Economics
https://www.cerge-ei.cz/dissertations/stefko-peter
Permanent Link: http://hdl.handle.net/11104/0332084 - 3.0521173 - NHU-C 2020 CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Does index arbitrage distort the market reaction to shocks?.
Prague: CERGE-EI, 2019. 47 s. CERGE-EI Working Paper Series, 651. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GA17-27567S
Institutional support: Progres-Q24
Keywords : high-frequency data * stock market * ETF
Subject RIV: AH - Economics
https://www.cerge-ei.cz/pdf/wp/Wp651.pdf
Permanent Link: http://hdl.handle.net/11104/0305813 - 4.0521171 - NHÚ 2020 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Seleznev, S. - Selezneva, Veronika
Does index arbitrage distort the market reaction to shocks?.
Prague: CERGE-EI, 2019. 47 s. CERGE-EI Working Paper Series, 651. ISSN 1211-3298
Institutional support: RVO:67985998
Keywords : high-frequency data * stock market * ETF
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp651.pdf
Permanent Link: http://hdl.handle.net/11104/0305809File Download Size Commentary Version Access cerge-ei_Wp651.pdf 1 734.3 KB Publisher’s postprint open-access - 5.0507521 - ÚTIA 2020 RIV GB eng J - Journal Article
Baruník, Jozef - Kley, T.
Quantile coherency: A general measure for dependence between cyclical economic variables.
Econometrics Journal. Roč. 22, č. 2 (2019), s. 131-152. ISSN 1368-4221. E-ISSN 1368-423X
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : cross-spectral analysis * ranks * copula * stock market * risk
OECD category: Economic Theory
Impact factor: 2.139, year: 2019
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/barunik-0507521.pdf https://academic.oup.com/ectj/article-abstract/22/2/131/5303852
Permanent Link: http://hdl.handle.net/11104/0298675 - 6.0434202 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Kukačka, Jiří
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.
Quantitative Finance. Roč. 15, č. 6 (2015), s. 959-973. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf
Permanent Link: http://hdl.handle.net/11104/0238360 - 7.0431151 - ÚTIA 2015 RIV GB eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy.
European Physical Journal B. Roč. 87, č. 7 (2014), "162-1"-"162-9". ISSN 1434-6028. E-ISSN 1434-6036
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) FP7/2007-2013
Program: FP7
Institutional support: RVO:67985556
Keywords : Statistical and Nonlinear Physics * fractal dimension * stock market efficiency
Subject RIV: AH - Economics
Impact factor: 1.345, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0431151.pdf
Permanent Link: http://hdl.handle.net/11104/0236071 - 8.0395344 - ÚTIA 2014 RIV NL eng J - Journal Article
Kukačka, Jiří - Baruník, Jozef
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment.
Physica. A : Statistical Mechanics and its Applications. Roč. 392, č. 23 (2013), s. 5920-5938. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965
Institutional support: RVO:67985556
Keywords : Heterogeneous agent model * Behavioural finance * Herding * Overconfidence * Market sentiment * Stock market crash
Subject RIV: AH - Economics
Impact factor: 1.722, year: 2013
http://library.utia.cas.cz/separaty/2013/E/barunik-0395344.pdf
Permanent Link: http://hdl.handle.net/11104/0223482 - 9.0375580 - ÚTIA 2013 RIV NL eng J - Journal Article
Horváth, Roman - Poldauf, P.
International Stock Market Comovements: What Happened during the Financial Crisis?
Global Economy Journal. Roč. 12, č. 1 (2012), s. 1-21. ISSN 1524-5861
R&D Projects: GA ČR GA402/09/0965
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : stock market comovements * financial crisis * GARCH
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/horvath-international stock market comovements what happened during the financial crisis.pdf
Permanent Link: http://hdl.handle.net/11104/0208193 - 10.0371982 - NHU-C 2012 RIV CZ eng J - Journal Article
Fungáčová, Z. - Hanousek, Jan
Determinants of firm delisting on the Prague Stock Exchange.
Prague Economic Papers. Roč. 20, č. 4 (2011), s. 348-365. ISSN 1210-0455. E-ISSN 2336-730X
R&D Projects: GA ČR GA402/09/1595
Institutional research plan: CEZ:MSM0021620846
Keywords : stock market * delisting * transition economy
Subject RIV: AH - Economics
Impact factor: 0.256, year: 2011
http://www.vse.cz/pep/abstrakt.php3?IDcl=404
Permanent Link: http://hdl.handle.net/11104/0205383