Dynamic Models for the Digital Finance
(2019 - 2023)


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





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



Wolfgang Karl Härdle
web page

Jozef Baruník
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Miloš Kopa
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MFF UK Team Members

Martin Branda
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Tomáš Cipra
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Radek Hendrych
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Karel Kozmík
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Zuzana Prášková
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Tomáš Rusý
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Jan Večeř
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Sebastiano Vitali
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UTIA AV CR Team Members

Jozef Baruník
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František Čech
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Luboš Hanus
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Martin Hronec
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Josef Kurka
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Matěj Nevrla
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Lukáš Vácha
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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