doc. PhDr. Ladislav Krištoufek Ph.D.

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Position: Associate Professor
Field of interest: Financial econometrics, computational social science, 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 11:00 - 12:00 (drop me an e-mail first, please)

More information

Syllabi

Course supervisor

JEM181 - Data Science with R
JEB109 - Econometrics I

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)
- Biodiversity and Conservation (1)
- British Journal of Applied Science & Technology (1)
- Bulletin of the Czech Econometric Society (1)
- Chaos Solitons & Fractals (1)
- Communications in Nonlinear Science and Numerical Simulation (3)
- Computational Statistics (2)
- Contemporary Economics (2)
- Czech Economic Review (3)
- Czech Journal of Economics and Finance (9)
- Digital Signal Processing (1)
- Economic Modelling (4)
- Emerging Markets Finance and Trade (2)
- Empirical Economics (1)
- Energy Economics (15)
- Energy Journal (1)
- Energy Policy (1)
- Entropy (2)
- European Physical Journal B (2)
- European Physical Journal Special Topics (1)
- Expert Systems with Applications (1)
- Fluctuation and Noise Letters (4)
- Fractals (3)
- Frontiers in Neuroscience (1)
- Frontiers in Physics (1)
- IES Working Papers Series (2)
- 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 Commodity Markets (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 (46)
- Physical Review E (3)
- Physics Letters A (1)
- PLoS ONE (13)
- Prague Economic Papers (9)
- Quantitative Finance (3)
- Scientific Reports (3)
- 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

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

Topics on Efficient markets hypothesis
Topics on Econometrics of financial time series
Topics in Inter(Multi)disciplinary Economics and Finance

For specific topics, please see the Master thesis section below.

Only theses in English and LaTeX are to be supervised.

Master theses

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

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

Some specific topics (not limited to):
- Algorithmic fundamental trading
- Are cryptocurrencies gambling assets?
- Are the wealthy just the lucky ones?
- Hierarchical structure of interest in publicly traded companies
- Financial market crashes: Log-periodic oscillations or critical slowing down?
- Psychological boundaries in finance: Do they matter?
- Rational agents with imprecise expectations: Implications for investing and portfolio selection
- Spin models in marketing
- Volatility spillovers between crude oil and food commodities

In cooperation with CSOB, a.s. (Ceskoslovenska obchodni banka):
- Customer lifetime value

Only theses in English and LaTeX are to be supervised.

Currently supervised theses:
M. Badáňová: Forecasting in futures markets: Front, back and rolling contracts
D. Brandejs: Statistical properties of the liquidity and its influence on the volatility prediction
K. Brunova: Are the more popular stocks also the more risky ones? Google and Wikipedia searches in portfolio optimization
V. Cermak: Efficiency, predictability and liquidity in the commodity futures markets
J. Cizek: Bitcoin as a leader of crypto-currencies: A predictability study
P. Harnych: On the Link between Spot and Forward Prices in Hungarian Power Market
J. Hortova: Jumps prediction in electricity markets
O. Chopyk: Practical usage of optimal portfolio diversification using maximum entropy principle
L. Jilek: A forecast comparison of mGARCH models
B. Khurelbaatar: Hedge effectiveness in copper futures market
D. Koubek: Neural Networks for Machine Learning and Pattern Recognition in Algorithmic Trading
V. Kunc: Electricity market: Analysis and prediction of volatility
T. Kvasnicka: Wavelet portfolio optimization: Investment horizons, stability in time and rebalancing
S. Mayr: Do crypto-currencies form a new asset class?
D. Nettwallova: Long-term memory of interest in publicly traded companies
M. Patek: Variance structure of the Bitcoin currency
P. Ruzek: How do the efficient portfolios at various investment horizons differ?
P. Rygr: Applicability of online sentiment analysis for stock market prediction
J. Sedlarikova: Are financial returns and volatility multifractal at all?
R. Sevinsky: Portfolio selection based on hierarchical structure of its components

Supervised Bachelor theses

all/awarded: 32/11
Awarded:
Bc Marek Janča, Bc. Adam Klečka , Bc. Alice Nušlová, Bc. Branislav Albert, Bc. David Svačina, Bc. Jana Hortová, Bc. Jaroslav Pavlíček, Bc. Lukáš Jílek, Bc. Martin Kotek , Bc. Pavel Dvořák, Bc. Tomáš Kvasnička

Supervised Master Theses

all/awarded: 16/5
Awarded: Mgr. Barbora Máková, Mgr. Kristýna Čechová, Mgr. Martin Baletka , Mgr. Milan Hanousek , Mgr. Štěpán Chrz

Current Ph.D. students

number: 5
RNDr. Matúš Baniar , Lenka Dvořáková , Mgr. Ladislav Habiňák , Marek Hauzr , Mgr. Daniel Šopov M.Sc.

Partners

ČSOB
Deloitte
McKinsey & Company

Sponsors

CRIF
EY