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.
Dynamic risk modelling
Financial Decision Making
Dynamic quantile asset pricing models
STAT of ML conference, Prague, Sept 2019 webpage of the conference
TBA
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 web page
Miloš Kopa web page
Martin Branda web page
Tomáš Cipra web page
Radek Hendrych web page
Karel Kozmík web page
Zuzana Prášková web page
Tomáš Rusý web page
Jan Večeř web page
Sebastiano Vitali web page
Jozef Baruník web page
František Čech web page
Luboš Hanus web page
Martin Hronec web page
Josef Kurka web page
Matěj Nevrla web page
Lukáš Vácha web page
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