PhDr. Ladislav Krištoufek
Akademická funkce: PhD. student
Odborné zaměření: Finanční ekonometrie, ekonofyzika
Členství: Centrum doktorských studií, Doktorandi, Interní, Katedra financí a kapitálových trhů
Kontakt
Kancelář: 602
Email: kristoufek [AT] ies-prague [DOT] org
Telefon: +420 607 68 44 17
Osobní www stránka: http://ideas.repec.org/e/pkr148.html
Konzultační hodiny: po dohodě
Další informace
Předměty
Vyučující
Asistent
JEM005 - Advanced Econometrics
JEB109 - Econometrics I
JEB110 - Econometrics II
JEB105 - Statistics
PhD studium
Školitel: Mgr. Lukáš Vácha ,PhD
Rok začátku PhD studia: 2009
Datum rigorózní zkoušky: 10/2009
Datum státní dr. zkoušky: 01/2011
Malá obhajoba:
Velká obhajoba:
Vědecká práce:
Hurst exponent properties for heavy-tailed distributions
Bootstrapping the Hurst exponent
Hurst exponent and predictability
Local fractal properties and market crashes
Multi-fractal analysis
Wavelet transforms and coherence
Volatility return intervals
Disertační téma:
Long-term memory processes in financial time series
Disertační teze:
Long-term memory processes have been found in several stock market indices, commodities, FX and bond returns. Even though the number of applied research papers has grown significantly in recent years, there still remain a lot of issues waiting to be solved.
There is a plethora of methods for estimation of Hurst exponent – R/S, M-R/S, DFA, DMA, GHE and others. However, each method has different properties and is better for different type of data and research papers comparing methods are only few. Moreover, majority of authors base the interpretation of results on asymptotic properties only. However, the finite sample properties of the methods show that even if the data are independent, the estimates of Hurst estimate can be far from the asymptotic threshold of 0.5. Therefore, the hypothesis of independence of the time series must be based on confidence intervals. The other issue of current state of long-term memory processes estimation is the fact that the presence of both long- and short-term dependence can strongly bias the estimates and again only a few authors deal with the problem.
My future research will focus on mentioned issues. Firstly, research of the finite sample properties of the methods already commenced in diploma thesis will be further developed with special focus on optimal scales. Secondly, generalized Hurst exponent (GHE) method will be applied as it provides the most straighforward way to multi-fractality in financial time series and is rather new and thus its properties need to be tested. Thirdly, long-range dependence of high-frequency time series will be examined as it has not been given enough focus in literature yet. Fourthly, and lastly, the research will focus on short-term dependence resistant estimator as an alternative to M-R/S which is rather used for global properties of the time series and my dissertation will focus on time-dependent and thus local properties.
Volitelné předměty (absolvované):
Životopis
Člen organizací
Czech Econometric Society (ČES)
Czech Economic Society (ČSE)
Society for Computational Economics (SCE)
Vzdělání
2009+: PhD. - IES FSV UK
2009: PhDr. - IES FSV UK
2007 - 2009: Mgr. ekonomie - IES FSV UK
2006-2007: Economics, Erasmus Exchange Program - London Metropolitan Business School, London Metropolitan University, UK
2004 - 2007: Bc. ekonomie - IES FSV UK
Odborná praxe
2011: research visit, UC Berkeley
2010+: IES FSV UK, vyuka seminaru Statistics
2010+: MUP, Statistika ve verejne sprave (externi vyucujici)
2009+: IES FSV UK, výuka seminaru Ekonometrie
2009+: IES FSV UK, výuka seminaru Econometrics A
Veřejné aktivity
2012+: předseda studijní komise AS FSV UK
2010+: senátor pedagogické komory AS FSV UK
2010-12: člen ekonomické a studijní komise AS FSV UK
2009+: Ústav teorie informace a automatizace Akademie Věd ČR, v.v.i., oddělení ekonometrie, odborný pracovník
Referee:
- AUCO Czech Economic Review
- Economic Modelling
- Bulletin of the Czech Econometric Society
- IES Working Papers Series
- Iranian Journal of Fuzzy Systems
- Kybernetika
- Theologia vitae
Ocenění
2011: Soutěž o nejlepší publikaci a aplikaci ÚTIA AV ČR 2011, Cena pro mladé autory
2011: Bibliografická reference v „Who’s Who in the World“ (Marquis, USA, Edice 2012)
2011: Cena za nejlepší článek na 12. ročníku konference studentů doktorského studia pořádaného Fakultou financí a účetnictví Vysoké školy ekonomické v Praze
2011: "The best courses taught at the IES" award for Advanced Econometrics (with M.Netuka, J. Barunik and P.Gapko)
2010: Nejlepší studentská práce z teoretické ekonomie (3. misto)
2009: Pochvala děkana Fakulty sociálních věd za vynikající diplomovou práci a vynikající výkon u státní závěrečné zkoušky
Nabídka témat závěrečných prací
Bakalářské práce
Suggested topics, preferably applied (you are more than welcome to specify the topic):
Topics on Efficient markets hypothesis
Topics on Fractal markets hypothesis
Topics on Econometrics of financial time series
Diplomové práce
Suggested topics, preferably applied (you are more than welcome to specify the topic):
Topics on Efficient markets hypothesis
Topics on Fractal markets hypothesis
Topics on Econometrics of financial time series
Topics on Fractality/self-similarity/long-range dependence
Topics on Econophysics
Currently supervised theses:
B. Albert - Long-term memory – detection with bootstrapping techniques
M. Badanova - Analysis of gasoline and diesel prices in the Czech Republic
K. Cechova - Multifractal Analysis of Stock Markets
P. Dvorak - From microscopic rules to macroscopic phenomena: Ising model in finance
L. Jilek - Analysis of stock market anomalies: US cross-sectoral comparison
D. Svacina - Stickiness of gasoline prices in the Czech Republic: Evaluation of different models of price adjustment
Vedoucí bakalářských prací
vše/oceněné: 2/1
Oceněné:
Bc Marek Janča
Ke stažení
Econometrics I - HW1
Econometrics I - HW1 correction
Econometrics I - HW2
Econometrics I - midterm results
Econometrics I - S1
Econometrics I - S2
Econometrics I - S3
Econometrics I - S4
Econometrics I - S5 - code
Econometrics I - S6
Econometrics I - S7
Econometrics I - S8
Econometrics I - S9
Evaluation_2010
Evaluation_2011
ISP
ISP Update 2010
ISP Update 2011