doc. PhDr. Ladislav Krištoufek Ph.D.

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Position: Vice-Dean for Student Affairs, Associate Professor
Field of interest: Financial Econometrics, Computational Economics and Finance, Econophysics, Long-term memory, Fractality, Multifractality, Financial Market Crashes, Scaling in Finance, Extreme Events, Efficient Capital Markets
Membership: Finance and Capital Markets, Internal

Contact

Office: 406
Email: ladislav [DOT] kristoufek [AT] fsv [DOT] cuni [DOT] cz
Phone: line 312 (IES), line 2243 (UTIA)
Personal web pages: http://ies.fsv.cuni.cz/en/staff/kristoufek
Available: TUE 12:30 - 13:30 (drop me an e-mail first, please)

More information

Syllabi

Course supervisor

JEM181 - Data Science with R
JEB109 - Econometrics I
JEM092 - Portfolio Analysis and Risk Management

Teacher

JEM181 - Data Science with R
JEB109 - Econometrics I

CV

Organisation Memberships

DYME - Dynamic Models in Economics - Excellence Project
Czech Econometric Society (ČES)
Czech Economic Society (ČSE)
Society for Computational Economics (SCE)

Education

2009-2013: PhD. - IES FSV UK
2009: PhDr. Economics - IES FSV UK
2007 - 2009: Mgr. (MSc. equivalent) Economics - IES FSV UK
2006-2007: Economics, London Metropolitan Business School, London Metropolitan University, UK (Erasmus Exchange Program)
2004 - 2007: Bc. (BSc. equivalent) Economics - IES FSV UK

Job history

2016+: Associate Professor, IES FSV UK
2014-2015: Research Fellow, Warwick Business School, University of Warwick
2014+: Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics; research fellow
2013-2016: Assistant Professor, IES FSV UK
2013-2014: Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics; postdoc
2009-2013: Teaching Assistant, IES FSV UK
2011: Research visit, University of California, Berkeley
2010-2012: External lecturer, Metropolitan University Prague
2009-2013: Research Assistant, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics

Extra activities

2015+: Czech Science Foundation Panelist (403)
2012+: Board Member, Czech Econometric Society
2012-2014: Head, Committee for Studies Affairs, AS FSV UK
2010-2015: senator, Pedagogic Chamber, AS FSV UK
2010-2015: member, Economic and Studies Committee, AS FSV UK

Conference organization:
- Econophysics Colloquium 2015 (Prague, CZE) Chairman

Editorial boards:
- Frontiers in Physics (Review Editor)
- Prague Economic Papers (Executive Board)

Referee:
- Agribusiness: An International Journal (1)
- Algorithmic Finance (1)
- Acta Oeconomica Pragensia (1)
- Advances in Complex Systems (1)
- American Journal of Agricultural Economics (1)
- Atmospheric Research (1)
- Biodiversity and Conservation (1)
- British Journal of Applied Science & Technology (1)
- Bulletin of the Czech Econometric Society (1)
- Chaos Solitons & Fractals (2)
- Chinese Journal of Physics (1)
- Communications in Nonlinear Science and Numerical Simulation (4)
- Complexity (1)
- Computational Statistics (2)
- Contemporary Economics (2)
- Czech Economic Review (3)
- Czech Journal of Economics and Finance (10)
- Digital Signal Processing (1)
- Economic Modelling (4)
- Emerging Markets Finance and Trade (3)
- Empirical Economics (1)
- Energy (1)
- Energy Economics (21)
- Energy Journal (1)
- Energy Policy (1)
- Entropy (2)
- EPL (1)
- European Physical Journal B (2)
- European Physical Journal Special Topics (1)
- Expert Systems with Applications (1)
- Finance Research Letters (1)
- Fluctuation and Noise Letters (4)
- Fractals (5)
- Frontiers in Neuroscience (1)
- Frontiers in Physics (1)
- IEEE Signal Processing Letters (1)
- IES Working Papers Series (2)
- International Journal of Economics and Business Research (1)
- International Economics and Economic Policy (2)
- International Journal of Economic Sciences (1)
- International Journal of Modern Physics B (1)
- International Journal of Modern Physics C (1)
- International Review of Financial Analysis (2)
- Intersections: East European Journal of Society and Politics (1)
- Iranian Journal of Fuzzy Systems (1)
- Journal of Applied Statistics (1)
- Journal of Banking & Finance (1)
- Journal of Commodity Markets (1)
- Journal of Economic Interaction and Coordination (1)
- Journal of Forecasting (1)
- Journal of International Financial Markets, Institutions & Money (1)
- Journal of International Money and Finance (1)
- Journal of Process Mechanical Engineering (1)
- Journal of the Royal Society Interface (2)
- Kybernetika (1)
- Management Journals (1)
- Modern Physics Letters B (1)
- Nature Communications (1)
- Organizations and Markets in Emerging Economies (1)
- Palgrave Communications (1)
- Physica A: Statistical Mechanics and Its Applications (89)
- Physical Review E (6)
- Physics Letters A (1)
- PLoS ONE (21)
- Prague Economic Papers (13)
- Quantitative Finance (5)
- Research in International Business and Finance (1)
- Royal Society Open Science (3)
- Scientific Reports (3)
- Studies in Economics and Finance (1)
- Theologia vitae (1)

Awards and prizes

2015: IES Alumni Chair
2014: Otto Wichterle Award
2014: Czech Science Foundation Postdoctoral Project (2014-2016)
2013: Czech Society for Operational Research Award
2013: Czech Econometric Society - Best student's paper in theoretical economics (1st place)
2013: Top 100 Educators 2013 (IBC, Cambridge, England)
2012: Energy Economics Contest - winner (with K. Janda and D. Zilberman)
2011:
Award for the best publication and application at IITA AS CR 2011, Award for young authors
2011+: Bibliographic reference in „Who’s Who in the World“ (Marquis, USA, Edition 2012 & 2013)
2011: Best paper award at The 12th Doctoral Conference of Faculty of Finance and Accounting University of Economics, Prague
2011: "The best courses taught at the IES" award for Advanced Econometrics (with M.Netuka, J. Barunik and P.Gapko)
2010: Czech Econometric Society - Best student's paper in theoretical economics (3rd place)
2009: MSc. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis and final state exam

Topics for supervision

Bachelor theses

Please see Diploma theses section.

Master theses

General topics, preferably applied (you are more than welcome to specify the topic yourself):

Topics on Crypto(currency) markets
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 in Inter(Multi)disciplinary Economics and Finance
Topics in Computational Social Science
Topics in Energy Economics and Finance
Topics in Data Science (also in cooperation with CSOB)

Some specific topics (not limited to):
- Efficiency, predictability and liquidity in the crypto-markets
- Forks and airdrops in cryptomarkets: Investment opportunities or thin air?
- Fundamental trading in cryptomarkets
- HODLing and mooning vs. standard strategies in the crypto-markets
- ICOs vs. IPOs: Comparison of the stylized facts
- Financial market crashes: Log-periodic oscillations or critical slowing down?
- Multifractal signatures before the market crashes
- Predictability and liquidity in the crypto(currency) markets
- Rational agents with imprecise expectations: Implications for investing and portfolio selection
- Seasonalities in the cryptocurrency markets
- Spin models in marketing
- Spin models in biofuels markets (interplay between producing for food and for biofuel)

Only theses in English and LaTeX are to be supervised.

Currently supervised theses:
Analysis of Weather Effect on Sales in the Czech FMCG Market
Are cryptocurrencies gambling assets?
Comparison of linear regression and machine learning models in a loan default prediction
Examining the Link between Financial Market Efficiency and Monetary Policy Effectiveness
Forecasting oil prices volatility with Google searches
Long-term memory of interest in publicly traded companies
May Transaction Data Improve Consumer Credit Scoring Model?
Neural Networks for Machine Learning in Algorithmic Trading
Portfolio diversification with cryptoassets
Psychologické hranice ve financích: Záleží na nich?
Volatility spillovers between crude oil and food commodities
Web search as an indicator of consumer confidence in the Visegrad Group

Supervised Bachelor theses

all/awarded: 48/13
Awarded:
Bc Marek Janča, Bc. Adam Klečka , Bc. Alice Nušlová, Bc. Branislav Albert, Bc. David Svačina, Bc. Jana Hortová, Bc. Jaroslav Pavlíček, Bc. Katarína Líšková, Bc. Lukáš Jílek, Bc. Martin Kotek , Bc. Pavel Dvořák, Bc. Tomáš Kvasnička, Bc. Vladimír Nahodil

Supervised Master Theses

all/awarded: 21/5
Awarded: Mgr. Barbora Máková, Mgr. Kristýna Čechová, Mgr. Martin Baletka , Mgr. Milan Hanousek , Mgr. Štěpán Chrz

Current Ph.D. students

number: 11
Mahsa Asadieydivand M.Sc., Stanislav Astapovich , RNDr. Matúš Baniar , Mgr. Lenka Dvořáková Švejdová , Mgr. Ladislav Habiňák , Marek Hauzr , Pavel Irinkov , Ing. Mgr. Barbora Máková M.A., Jaroslav Pavlíček , Mgr. Jan Šíla MSc., Mgr. Daniel Šopov M.Sc.

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB