Search results
- 1.0507284 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Efficient market hypothesis * Gold * Currencies * Fractal dimension * Entropy * Long-term memory
OECD category: Finance
Impact factor: 2.243, year: 2016
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507284.pdf https://www.sciencedirect.com/science/article/pii/S0378437115011036
Permanent Link: http://hdl.handle.net/11104/0298750 - 2.0507283 - ÚTIA 2020 RIV CZ eng C - Conference Paper (international conference)
Krištoufek, Ladislav - Vošvrda, Miloslav
Capital market efficiency in the Ising model environment: Local and global effects.
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016. Liberec: Technical University, 2016 - (Kocourek, A.; Vavroušek, M.), s. 465-470. ISBN 978-80-7494-296-9.
[MME 2016. International Conference Mathematical Methods in Economics /34./. Liberec (CZ), 06.09.2016-09.09.2016]
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Ising model * efficient market hypothesis * Monte Carlo simulation
OECD category: Applied Economics, Econometrics
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507283.pdf
Permanent Link: http://hdl.handle.net/11104/0298751 - 3.0507282 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Herding, minority game, market clearing and efficient markets in a simple spin model framework.
Communications in Nonlinear Science and Numerical Simulation. Roč. 54, č. 1 (2018), s. 148-155. ISSN 1007-5704. E-ISSN 1878-7274
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Ising model * Efficient market hypothesis * Monte Carlo simulation
OECD category: Applied Economics, Econometrics
Impact factor: 3.967, year: 2018
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507282.pdf https://www.sciencedirect.com/science/article/pii/S1007570417301867
Permanent Link: http://hdl.handle.net/11104/0298753 - 4.0505687 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Cryptocurrencies market efficiency ranking: Not so straightforward.
Physica. A : Statistical Mechanics and its Applications. Roč. 531, č. 1 (2019), č. článku 120853. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097; GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Cryptocurrency * Efficient market hypothesis * Efficiency index * Fractal dimension
OECD category: Finance
Impact factor: 2.924, year: 2019
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0505687.pdf https://www.sciencedirect.com/science/article/pii/S0378437119304558
Permanent Link: http://hdl.handle.net/11104/0297106 - 5.0474986 - ÚTIA 2018 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Herding, minority game, market clearing and efficient markets in a simple spin model framework.
Communications in Nonlinear Science and Numerical Simulation. Roč. 54, č. 1 (2018), s. 148-155. ISSN 1007-5704. E-ISSN 1878-7274
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Ising model * Efficient market hypothesis * Monte Carlo simulation
OECD category: Applied Economics, Econometrics
Impact factor: 3.967, year: 2018
http://library.utia.cas.cz/separaty/2017/E/kristoufek-0474986.pdf
Permanent Link: http://hdl.handle.net/11104/0272091 - 6.0455876 - ÚTIA 2017 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Efficient market hypothesis, * Gold * Currencies, * Fractal dimension * Entropy * Long-Term memory
Subject RIV: AH - Economics
Impact factor: 2.243, year: 2016
http://library.utia.cas.cz/separaty/2016/E/kristoufek-0455876.pdf
Permanent Link: http://hdl.handle.net/11104/0257096 - 7.0411317 - UTIA-B 20050045 RIV CZ eng J - Journal Article
Vácha, Lukáš - Vošvrda, Miloslav
Dynamical agents' strategies and the fractal market hypothesis.
[Dynamické strategie agentů a fraktální hypotéza trhu.]
Prague Economic Papers. Roč. 14, č. 2 (2005), s. 172-179. ISSN 1210-0455. E-ISSN 2336-730X
Grant - others:GA UK(CZ) 454/2004/A EK/FSV
Institutional research plan: CEZ:AV0Z10750506
Keywords : efficient market hypothesis * fractal market hypothesis * agent's investment horizons
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131400 - 8.0411002 - UTIA-B 20020216 RIV SK eng C - Conference Paper (international conference)
Vošvrda, Miloslav - Vácha, Lukáš
Heterogeneous agent model with learning.
Nitra: Slovak Agricultural University, 2002. ISBN 80-8069-114-2. In: Quantitative Methods in Economics. (Multiple Criteria Decision Making 11). - (Magáthová, V.), s. 269-280
[Quantitative Methods in Economics /11./. Nitra (SK), 05.12.2002-06.12.2002]
R&D Projects: GA ČR GA402/00/0439; GA ČR GA402/01/0034; GA AV ČR IAA7075202
Institutional research plan: CEZ:AV0Z1075907
Keywords : efficient market hypothesis * trading rules * asset price behavior
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131089 - 9.0370121 - 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 - 10.0352601 - ÚTIA 2011 RIV CZ eng C - Conference Paper (international conference)
Ivanková, Kristýna
Application of isobars to stock market indices.
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010. České Budějovice: University of South Bohemia, 2010 - (Houda, M.; Friebelová, J.), s. 296-301. ISBN 978-80-7394-218-2.
[Mathematical Methods in Economics. Ceske Budejovice (CZ), 08.09.2010-10.09.2010]
R&D Projects: GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : isobars * efficient market hypothesis * nonparametric regression * extreme value theory
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/ivankova-application of isobars to stock market indices.pdf
Permanent Link: http://hdl.handle.net/11104/0192076