Search results
- 1.0411310 - UTIA-B 20050038 RIV CZ eng J - Journal Article
Šmíd, Martin
Stochastic model of thin market with an indivisible commodity.
[Stochastický model nelikvidního trhu s nedělitelnou komoditou.]
Acta Oeconomica Pragensia. Roč. 13, č. 1 (2005), s. 94-100. ISSN 0572-3043
R&D Projects: GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : thin market * market price * stochastic models
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131393 - 2.0314410 - ÚTIA 2009 RIV US eng J - Journal Article
Šmíd, Martin
The Expected Loss in the Discretization of Multistage Stochastic Programming Problems - Estimation and Convergence Rate.
[Očekávaná ztráta v diskretizaci vícestupňového problému stochastického programování - odhady a konvergence cen.]
Annals of Operations Research. Roč. 165, č. 1 (2009), s. 29-45. ISSN 0254-5330. E-ISSN 1572-9338
R&D Projects: GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : multistage stochastic programming problems * approximation * discretization * Monte Carlo
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.961, year: 2009
http://library.utia.cas.cz/separaty/2008/E/smid-the expected loss in the discretization of multistage stochastic programming problems - estimation and convergence rate.pdf
Permanent Link: http://hdl.handle.net/11104/0164931 - 3.0106451 - UTIA-B 20040263 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Šmíd, Martin
On approximation in multistage stochastic programs: Markov dependence.
[Aproximace v úlohách vícestupňového stochastického programování.]
Kybernetika. Roč. 40, č. 5 (2004), s. 625-638. ISSN 0023-5954
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/02/1015; GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z1075907
Keywords : multistage stochastic programming problems * approximate solution scheme * Markov dpendence
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.224, year: 2004
Permanent Link: http://hdl.handle.net/11104/0013632File Download Size Commentary Version Access 0106451.pdf 1 1.5 MB Publisher’s postprint open-access - 4.0106216 - UTIA-B 20040026 RIV CZ eng J - Journal Article
Vošvrda, Miloslav - Žikeš, Filip
An application of the GARCH-t model on Central European stock returns.
[Aplikace GARCH-t modelu na burzách Střední Evropy.]
Prague Economic Papers. Roč. 12, č. 1 (2004), s. 26-39. ISSN 1210-0455. E-ISSN 2336-730X
R&D Projects: GA ČR GA402/01/0034; GA ČR GA402/04/1294
Grant - others:GA UK(CZ) 287/2003/A-EK/FSV
Institutional research plan: CEZ:AV0Z1075907
Keywords : conditional heteroskedasticity * GARCH * leptokurtosis
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0013398 - 5.0086466 - ÚTIA 2008 RIV CZ eng J - Journal Article
Šmíd, Martin
Are Limit Orders Rational?
[Je racionální používat limitní objednávky?]
Acta Oeconomica Pragensia. Roč. 14, č. 4 (2007), s. 32-38. ISSN 0572-3043
R&D Projects: GA ČR(CZ) GA402/06/1417; GA ČR GA402/04/1294; GA ČR GD402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : market microstructure * limit order market * portfolio selection
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0148722 - 6.0079739 - ÚTIA 2007 RIV GB eng J - Journal Article
Sladký, Karel - van Dijk, N. M.
On the Total Reward Variance for Continuous-Time Markov Reward Chains.
[O rozptylu celkového výnosu ve spojitých markovských procesech s ohodnocení.]
Journal of Applied Probability. Roč. 43, č. 4 (2006), s. 1044-1052. ISSN 0021-9002. E-ISSN 1475-6072
R&D Projects: GA ČR GA402/05/0115; GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous-time Markov reward chain * variance of cumulative reward * asymptotic behaviour * uniformization
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.504, year: 2006
Permanent Link: http://hdl.handle.net/11104/0144321 - 7.0040529 - ÚTIA 2007 RIV AT eng J - Journal Article
Kaňková, Vlasta - Houda, Michal
Depandent samples in empirical estimation of stochastic programming problems.
[Závislé výběry a empirické odhady v úlohách stochastického programování.]
Austrian Journal of Statistics. Roč. 35, 2/3 (2006), s. 271-279. ISSN 1026-597X
R&D Projects: GA ČR GA402/04/1294; GA ČR GD402/03/H057; GA ČR GA402/05/0115
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic programming * stability * probability metrics * Wasserstein metric * Kolmogorov metric * simulations
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0134235 - 8.0039284 - ÚTIA 2007 RIV AT eng J - Journal Article
Volf, Petr
On statistical analysis of compound point process.
[Statistická analýza složeného bodového procesu.]
Austrian Journal of Statistics. Roč. 35, 2-3 (2006), s. 389-396. ISSN 1026-597X
R&D Projects: GA ČR(CZ) GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : counting process * compound process * hazard function * Cox-model
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0133418 - 9.0039070 - ÚTIA 2007 RIV CZ eng J - Journal Article
van Dijk, N. M. - Sladký, Karel
Monotonicity and comparsion results for nonnegative dynamic system. Part II: Continuous-time case.
[Monotonie a porovnání pro nezáporné dynamické systémy. Část II: Spojité modely.]
Kybernetika. Roč. 42, č. 1 (2006), s. 161-180. ISSN 0023-5954
R&D Projects: GA ČR GA402/05/0115; GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : Markov chains * monotonicoty * nonnegative matrices
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.293, year: 2006
Permanent Link: http://hdl.handle.net/11104/0133245File Download Size Commentary Version Access 0039070.pdf 3 882.6 KB Publisher’s postprint open-access - 10.0039065 - ÚTIA 2007 RIV CZ eng J - Journal Article
van Dijk, N. M. - Sladký, Karel
Monotonicity and comparsion results for nonnegative dynamic system. Part I: Discrete-time case.
[Monotonie a porovnání pro nezáporné dynamické systémy. Část I: Diskrétní modely.]
Kybernetika. Roč. 42, č. 1 (2006), s. 37-56. ISSN 0023-5954
R&D Projects: GA ČR GA402/05/0115; GA ČR GA402/04/1294
Institutional research plan: CEZ:AV0Z10750506
Keywords : Markov chains * monotonicoty * nonnegative matrices
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.293, year: 2006
Permanent Link: http://hdl.handle.net/11104/0133241File Download Size Commentary Version Access 0039065.pdf 1 545.5 KB Publisher’s postprint open-access