PhDr. Ivo Jánský
Position: PhD student
Field of interest: Risk management and time series analysis
Membership: PhD Candidates
Email: ivo [DOT] jansky [AT] gmail [DOT] com
Available: After an email appointment
Studying from: 2011
PhDr examination: 10/2011
Dissertation Proposal defence:
Three essays on the spillover effect on financial markets based on high frequency data.
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.
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
See the topics for 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.