PhDr. Jiří Kukačka, Ph.D.

Jiri Kukacka is an economist based in Prague interested in financial econometrics, behavioral finance and macro, and the development of simulation-based estimation methods. His work has been published in leading journals in the field, including JEBO, JEDC, and Business Ethics, and presented at around fifty international conferences and workshops.

Education

2011 - 2016: Ph.D. in Economics, Charles University
2012: PhDr. in Economics, Charles University
2008 - 2011: Master's degree in Economics, Charles University
2008 - 2009: University of Bath, United Kingdom, Erasmus
2005 - 2008: Bachelor's degree in Economic Theories, Charles University

Job history

Academic Staff at Charles University:
2017+: Assistant Professor, Institute of Economic Studies, see also my: Google Scholar Citations, ResearchGate, RePEc, and recent working papers at SSRN
2016: Postdoctoral Research Visit, University of California, Irvine, USA
2016 - 2017: Postdoc

Research visits:
University of Florence, Italy (2023)
Hamburg Institute of International Economics, Germany (2023)
Sant'Anna School of Advanced Studies in Pisa, Italy (2022)
Kiel University, Germany (2022, 2021, 2020, 2018, 2016)

Researcher at Czech Academy of Sciences:
2023+: Research Fellow, Institute of Information Theory and Automation, Department of Econometrics
2021 - 2023: Research Associate
2016 - 2021: Postdoc

Monographs

Chapters in monographs

• Kukačka J. (2019). Simulated maximum likelihood estimation of agent-based models in economics and finance. Network Theory and Agent-Based Modeling in Economics and Finance (pp. 203-226).

Articles

• Kukačka J., & Sacht S. (2023). Estimation of heuristic switching in behavioral macroeconomic models. Journal of Economic Dynamics and Control, 146(January), UT-WOS link
• Kukačka J., & Krištoufek L. (2021). Does parameterization affect the complexity of agent-based models?. Journal of Economic Behavior and Organization, 192(December), 324-356. UT-WOS link
• Kukačka J., & Krištoufek L. (2023). Fundamental and speculative components of the cryptocurrency pricing dynamics. Financial Innovation, 9(1), UT-WOS link
• Kukačka J., & Baruník J. (2013). Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment. Physica A: Statistical Mechanics and its Applications, 392(23), 5920-5938. UT-WOS link
• Kukačka J., Jang T., & Sacht S. (2018). On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood. Economics Working Papers, 2018(12), 1-32.
• Kukačka J., & Baruník J. (2017). Estimation of financial agent-based models with simulated maximum likelihood. Journal of Economic Dynamics and Control, 85(December), 21-45. UT-WOS link
• Kukačka J., & Krištoufek L. (2020). Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality. Journal of Economic Dynamics and Control, 113(April), 1-23. UT-WOS link
• Havlínová A., & Kukačka J. (2023). Corporate Social Responsibility and Stock Prices After the Financial Crisis: The Role of Strategic CSR Activities. Journal of Business Ethics, 182(1), 223-242. UT-WOS link
• Baruník J., & Kukačka J. (2015). Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility. Quantitative Finance, 15(6), 959-973. UT-WOS link
• Polach J., & Kukačka J. (2019). Prospect Theory in the Heterogeneous Agent Model. Journal of Economic Interaction and Coordination, 14(1), 147-174. UT-WOS link
• Staněk F., & Kukačka J. (2018). The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market. Computational Economics, 51(4), 865-892. UT-WOS link
• Vainer J., & Kukačka J. (2021). Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium. Communications in Nonlinear Science and Numerical Simulation, 99(August), 1-19. UT-WOS link
• Žíla E., & Kukačka J. (2023). Moment set selection for the SMM using simple machine learning. Journal of Economic Behavior and Organization, 212(August 2023), 366-391. UT-WOS link

Contributions in the conference proceedings

JEB109 - Econometrics I
JEM062 - Introductory Econometrics

Bachelor's theses

Students are welcome to contact me via email and consult the supervision of bachelor's theses related to fields of my research interest (the maximum load of supervised bachelor's theses for a given academic year is around two, no further capacity for the academic year 2024/25):

1. Behavioral Finance (empirical econometric approach). See interesting videos here and here, read about behavioural biases, patterns, and anomalies here, and download comprehensive e-handbooks here, here, here, and here. Are these patters still detectable? Are they detectable at other markets than where discovered?
2. Cryptocurrencies/Cryptoassets (empirical econometric approach). Read this overview article and see our recent paper. Do various well-known behavioral finance biases and patterns also play a role in cryptocurrency markets?
3. Agent-Based Modelling in economics and finance, for motivation read this nice article. Implementation/extension/analysis/estimation of a simple financial heterogeneous agent model (handbook 2006, handbook 2018), or a macroeconomic agent-based model in NetLogo or any other software (R, Julia, etc.). See this textbook with example codes and these interesting videos for more inspiration: finance, macro.
4. Agentization of a theoretical model into the discrete agent-based domain. Do both result in the same findings? Examples: Cournot oligopoly with simple learning, cartels. Implementation in NetLogo or any other software (R, Julia, etc.). See this textbook with example codes for more inspiration.
5. Corporate social responsibility (CSR) and ESG (Environmental, Social, and Governance) scoring and investing (empirical econometric time series analysis of financial data). See our recent paper on the CSR topic.

Currently supervised:
Radim Kral: Application of an Agent-Based Model to the Pension system in the Czech Republic
Jakub Cakan: Behavioural biases in the Czech sports betting market
Ji Jia Xin: ESG score and corporate financial performance in controversial industries
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Vojtech Dohnal: an ABM topic
Krystof Kalhous: a macro ABM topic
Smid Samuel: a sports betting market topic

Master's theses

Students are welcome to contact me via email and consult the supervision of master's theses related to fields of my research interest (the maximum load of supervised master's theses for a given academic year is around two, no further capacity for the academic year 2024/25):

1. Simulation-based estimation methods in financial- and macro-econometrics (simulated MLE, simulated MM, Bayesian approaches). Analysis of performance, horse race comparison. Check our recent papers here and here or see this handbook 2018 chapter.
2. Behavioural New Keynesian model (calibration, estimation, theoretical extension). Read this article for more motivation about bounded rationality in macro and check this textbook (or an older version) or our recent paper.
3. Heterogeneous Agent Modelling in finance (estimation, application to the cryptocurrency market, horse race of a ZOO of models). See a nice article here for more motivation, check related chapters in handbook 2006 and handbook 2018, or see our recents papers here and here.
4. Behavioral Finance (advanced empirical econometric analysis of a selected topic). Read about behavioural biases, patterns, and anomalies here, and download comprehensive e-handbooks here, here, here, and here. Can one reasonably profit on this knowledge? Can we develop behavioral trading strategies to ensure abnormal returns?
5. Cryptocurrencies/Cryptoassets (advanced empirical econometric approach). Read this overview article and see our recent paper. Do various well-known behavioral finance biases and patterns also play a role in cryptocurrency markets?
6. Corporate social responsibility (CSR) and ESG (Environmental, Social, and Governance) scoring and investing (advanced empirical econometric analysis of financial data). See our recent paper on the CSR topic.

Currently supervised:
Eric Zila: Surrogate Modelling Extension of the Simulated Method of Moments
Ondrej Karlicek: Simulation-based estimation methods in financial econometrics - analysis of performance and comparison
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Ekaterina Orjonikidze: How Does ESG Performance Affect Stock Return Volatility Across Industries During the COVID-19 Crisis?
Vandasova Daniela

Successes of my students

• Kristyna Coufalova: admitted to the University of Oxford
• Tatiana Bielakova: Deloitte Outstanding Thesis Award 2023, admitted to ETH Zurich
• Alexander Macejovsky: Deloitte Outstanding Thesis Award 2022
• Eric Zila: Deloitte Outstanding Thesis Award 2021, admitted to the University of Amsterdam
• Katerina Havelkova: Deloitte Outstanding Thesis Award 2020
• Renata Wojnarova: Deloitte Outstanding Thesis Award 2020
• Sergey Bolshakov: Deloitte Outstanding Thesis Award 2020
• Jan Vainer: Deloitte Outstanding Thesis Award 2018
• Aneta Pintekova: Josef Vavrousek Award FSV UK 2017
• Jan Polach: MSc in Finance at the London School of Economics 2016
• Filip Stanek: Dean's Award for an extraordinarily good bachelor's diploma thesis 2014

2020 - 2022: Czech Science Foundation (GACR 20-14817S), "Linking financial and economic agent-based models: An econometric approach", Principal Investigator

2019 - 2021: Charles University (PRIMUS/19/HUM/017), "Behavioral finance and macroeconomics: New insights for the mainstream", Team Member

Financial Econometrics, Behavioral Finance and Macroeconomics, Heterogeneous Agent Models, Cryptoassets