PhDr. Ivo Jánský

Position: PhD student
Field of interest: Risk management and time series analysis
Membership: PhD Candidates

Contact

Office:
Email: ivo [DOT] jansky [AT] gmail [DOT] com
Phone: 728846708
Available: After an email appointment

More information

Syllabi

Teacher

JEM092 - Portfolio Analysis and Risk Management

Assistant

JEM092 - Portfolio Analysis and Risk Management

PhD study

Tutor: doc. Roman Horváth Ph.D., ČSOB Corporate Chair

Studying from: 2011
PhDr examination: 10/2011
Final exam:
Dissertation Proposal defence:
Dissertation defence:

Current work:

Dissertation topic:
Three essays on the spillover effect on financial markets based on high frequency data.

Disertation abstract:
High frequency data provide quite interesting insight on the market behavior and are able to describe the market at any given point in the past. Therefore it is possible to observe how markets react to various external and internal events in real time. This allows for an interesting research and application of various algorithmic and econometric methods on the data in order to extract information from the market and use that information for a more successful trading.

Due to the above mentioned reasons, the dissertation research project will focus on high frequency data and it will try to provide answers to questions concerning the reaction of markets to specific events. In other words, the dissertation project will comprise from three essays on the topic of high frequency data; however each describing the market behavior from a different aspect.

Optional courses:

CV

Education

2011+ PhD. student at IES FSV UK

2011 national (PhDr.) exam
2008-2011 MA program in Finance, Financial Markets and Banking at the IES FSV UK
2008-2009 exchange program at the Ludwig Maximilian Universität in Munich

2005-2010 BA program in International Trade at the University of Economics in Prague
2005-2008 BA program in Economics at IES FSV UK

Awards and prizes

2011 - M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.

Topics for supervision

Bachelor theses

See the topics for master theses.

Master theses

Any theses related to the following topics are welcomed:
- financial instruments risk analysis,
- Value at Risk,
- Extreme value theory,
- GARCH models for modelling volatility
- high frequency data analysis.

Supervised Master Theses

all/awarded: 1/0
Awarded:

Downloadable

Individual study plan