DyMoDiF

About

Joint project of MFF Charles University and UTIA UTIA Czech Academy of Sciences
supported by the Czech Science Foundation
EXPRO no. GX19-28231X project

The recent availability of large digital finance datasets brings new challenges to quantitative finance. Many of the classical financial econometric or optimization models become inappropriate or intractable when applied to digital finance data. Vast quantities of information available in every moment require improvement of the classical methodology, in order to understand correctly the information hidden in the data, as well as to model and predict any dynamic behavior. The project will contribute to the debate, and propose new methodologies, which will take the high-frequency structure of the data as the advantage and turn the „curse of dimensionality“ into „blessing of dimensionality“. In particular, new models for the dynamic risk measuring, optimal decision making and advanced asset pricing will be developer, analyzed and implemented. These models will help to better understand and explain the complex changes in financial world induced by upcoming digital age.

Working groups

Dynamic risk modelling

Financial Decision Making

Dynamic quantile asset pricing models

Kick off meting

STAT of ML conference, Prague, Sept 2019
webpage of the conference

2020

TBA

2019

Barunik, J. M.Bevilacqua, and R.Tunaru (2019): Asymmetric Network Connectedness of Fears R&R in The Review of Economics and Statistics

Barunik, J. and Cech. F (2019): Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns R&R in The Journal of Financial Markets

Leaders

Wolfgang Karl Härdle
web page

Jozef Baruník
web page

Miloš Kopa
web page

MFF UK Team Members

Martin Branda
web page

Tomáš Cipra
web page

Radek Hendrych
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Karel Kozmík
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Zuzana Prášková
web page

Tomáš Rusý
web page

Jan Večeř
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Sebastiano Vitali
web page

UTIA AV CR Team Members

Jozef Baruník
web page

František Čech
web page

Luboš Hanus
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Martin Hronec
web page

Josef Kurka
web page

Matěj Nevrla
web page

Lukáš Vácha
web page

Contact

doc. PhDr. Jozef Baruník, Ph.D.

Head of the Department Department of Econometrics
Institute of Information Theory and Automation
Academy of Sciences of the Czech Republic
Pod Vodarenskou Vezi 4
Prague 8, 182 08,Czech Republic

https://barunik.github.io