prof. Ing. Miloslav Vošvrda CSc. - Publikace

Články v impaktovaných časopisech

2018 Kristoufek, L. & Vosvrda, M.: Herding, minority game, market clearing and efficient markets in a simple spin model framework, Communications in Nonlinear Science and Numerical Simulations 54, pp. 148-155 FinMaP WP PDF

2016 Kristoufek, L. & Vosvrda, M.: Gold, currencies and market efficiency, Physica A: Statistical Mechanics and Its Applications 449, pp. 27-34 arXiv PDF

2014 Kristoufek, L. & Vosvrda, M.: Commodity futures and market efficiency, Energy Economics 42, pp. 50-57 arXiv PDF

2014 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, European Physical Journal B 87, art. 162 PDF arXiv

2013 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Global and local correlations structure, Physica A: Statistical Mechanics and its Applications 392(1), pp. 184-193 arXiv PDF

2012 Kristoufek, L. & Vosvrda, M.: Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie, Politicka ekonomie 16(2), pp.208-221

2012 Vacha L. Barunik J. Vosvrda M.: How do skilled traders change the structure of the market, International Review of Financial Analysis 23, pp. 66-71 PDF

2009 Barunik J., Vacha L., Vosvrda M.: Smart Predictions in the Heterogeneous Agent Model, Journal of Economic Interaction and Coordination, vol. 4(2), pp. 163-172 PDF

2009 Barunik J., Vosvrda M.: Can a stochastic cusp catastrophe model explain stock market crashes?, Journal of Economic Dynamics and Control 33, pp. 1824-1836 PDF

2009 Vacha L., Barunik J. Vosvrda M.: Sentiment Patterns in the Heterogeneous Agent Model, Prague Economic Papers 3, pp. 209-219 PDF

2008 Vosvrda M., Baruník J.: Modelování krachů na kapitálových trzích: Aplikace teorie stochastických katastrof, Politická Ekonomie 6, pp. 759-771 PDF

2007 Wavelet Decomposition of the Financial Market, Prague Economic Papers

Články v recenzovaných časopisech

2010 Barunik J., Vacha L., Vosvrda M.: Tail Behavior of the Central European Stock Markets During the Financial Crisis, AUCO Czech Economic Review 4(3) pp. 281-294 PDF

2010 Vacha L., Barunik J., Vosvrda M.: Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News, No. 81, pp. 39-40 PDF

2008 Wavelets and Sentiment in the Heterogeneous Agents Model, Bulletin of the Czech Econometric Society

2007 Heterogeneous Agents Model with the Worst Out Algorithm, AUCO-Czech Economic Review

2007 Heterogeneous Agents Model with the Worst Out Algorithm, AUCO Czech Economic Review,1, (1), pp. 54-66.

2005 Vosvrda M., Kodera J. : Production, Capital Stock and Price Dynamics in A Simple Model of Closed Economy (2005), Working Paper FSV UK

2005 Vosvrda M., Kodera J., Sladky K.: Neo-Keynesian and Neo-Classical Macroeconomic Models:Stability and Lyapunov Exponents (2005), Workuing Papers FSV UK

2005 Vosvrda M., Vácha L.:Heterogeneous Agents Model with the Worst Out Algorithm (2005), Working Paper FSV UK

2005 Vošvrda M., Vácha L.: Dynamical agents' strategies and the fractal market hypothesis (2005), Prague Economic Papers, 14, 2, 172-179

Odborné knihy

2004 Vošvrda M., Žikeš F.:An Application of the GARCH-t Model on Central European Stock ReturnsPrague Economic Papers, 1/2004,

2003 Vosvrda M., Vácha L.: Heterogeneous Agent Model with Memory and Asset Price Behaviour, Prague Economic Papers, nu 2, vol. 12, pp.155-168, ISSN 1210-0455,

2002 Vosvrda M., Vácha L.: Heterogeneous Agent Model and Numerical Analysis of Learning,, Bulletin of the CzechEconometric Society, ISSN 1212-074X, no.17, 2002, pp. 15-22,

2001 Vosvrda M.: Bifurcation Routes and Heterogeneous Formations, Nostradamus 2001, 4th International Conference on Prediction and Nonlinear Dynamics, Zlin, Sept 25, 2001,

2001 Vosvrda M.: On foreign Capital Investment Bifurcations, Journal of Economics, ISSN 0013-3035, 49, no.5, 2001,,

2000 Vosvrda M. : An Economic Uncertainty Principle, Acta Oeconomica Pragnensis, pp. 12-20,no.2, 2000,

2000 Vosvrda M. : An Uncertainty Principle in Economics, Quantitative Methods in Economics, pp. 155-159, ISBN 80-88715-93-8, University of Economics,Bratislava, 2000,

2000 Vosvrda M.: Van Der Pol's Equation and an Economic Model of Cycles, Bulletin of the Czech Econometric Society, ISSN 1212-074X, no.10, 1999, pp. 31-41,

1999 Sladky K., Kodera J., Vosvrda M.: Sensitivity and Stability in Dynamic Economic SystemBulletin of the Czech Econometric Society, ISSN 1212-074X, no.9, 1999, pp. 1-10s,,

1999 Vošvrda, M.: Výkonnost kapitálového trhu, hypotéza (EMM) a její test. (EMM and its testing). Acta Economica,Carolinum, Publishing House of Charles University, 1/1999,pp. 89-97,

1998 Vošvrda, M. - Filáček, J. - Kapička, M.: Testování hypotézy efektivního trhu na BCPP. (EMM for BCPP) Finance a Úvěr, 1998, no. 9, pp. 554-566,

1997 Vošvrda, M.: CAPM and the Selected European Capital Markets. Workshop to ACE Project: Information Asymmetries on Capital Markets Emerging in Transition Countries, the Case of the Czech Capital Markets, Prague 1997, pp. 23-52,

1997 Vošvrda, M.: Econometric Model for the Czech Economy. CD publikace, 1966,

1997 Vošvrda, M.: Information Asymmetries on Capital Markets Emerging in Transition Countries, the Case of the Czech Capital Markets. Praha, ÚTIA AV CR, 1997, 180 pp.,

1997 Vošvrda, M.: Information Asymmetries on Capital Markets Emerging in Transition Countries. Prague, ÚTIA AV ČR, 1998, 258 pp.,

1997 Vošvrda, M.: Multi-Market Disequilibrium Model. Praha, ÚTIA AV ČR, VZ, No 1855, 1995,

1997 Vošvrda, M.: Nové perspektivy finanční analýzy na kapitálových trzích (New Perspectives of Financial Analysis on the Capital Markets), Ekonom, 1994, No. 3, pp. 35-36,

1997 Vošvrda, M.: The Efficient Market Hypothesis Testing on Volatility: the Prague Stock Exchange. Bulletin of the Czech Econometric Society, 1998, no.7, pp. 55-67,

1997 Vošvrda, M.: The Efficient Market Hypothesis Testing: a case of the Prague Stock Exchange. In: Proc. of the 16Th Int. Conf. on Math. Methods in Economics 98,1998, in print,

1996 Vošvrda, M. - Sladký, K.: Robust Stability in Walrasian Equilibrium Model. In: KME, Bratislava, 1996, pp. 143-150,

1996 Vošvrda, M.: Disequilibrium Model applied to the Czech Economy. In: Bulletin of the Czech Econometric Society, 1996, no. 4, pp. 73-95,

1996 Vošvrda, M.: Disequilibrium model for Czech Economy. Praha, ÚTIA AV ČR, No 1851,1995,

1996 Vošvrda, M.: Disequilibrium Model for the Czech Economy. In: Matematické metody v ekonomii (Mathematical Methods in Economics), 1996, Praha, pp. 84-97,

1996 Vošvrda, M.: Phillips Curve and Market Situations in the Privatization Process in Central Europe. In: The Privatization Process in East-Central Europe. Evolutionary Process of Czech Privatization, Kluwer, USA, 1996, pp. 279-305,

1996 Vošvrda, M.: The Privatization Process in East-Central Europe, Boston Klower Acad. Publ., 1997, pp. 279-303,

1995 Vošvrda, M. - Kodera, J.: A Desciption of the Capital Market in the Czech Republic (1995-1996) Workshop to ACE Project: Information Asymmetries on Capital Markets Emerging in Transition Countries, the Case of the Czech Capital Markets, Prague 1997, pp. 1-,

1995 Vošvrda, M. - Kodera, J.: Price Models and the Czech Capital Market. Workshop to ACE Project: Information Asymmetries on Capital Markets Emerging in Transition Countries, the Case of the Czech Capital Markets, Prague, 1977,

1995 Vošvrda, M.: Differential Equation and Application. Bulletin of the Econometric Society, 1995, No. 21, pp. 53-66,

1995 Vošvrda, M.: Efficiency of Transforming Economies: Substitution between Output and Inflation, Praha, Akademia, 1997. pp. 127-132,

1995 Vošvrda, M.: Markov Model of Unemployment, Central European J. for Oper. Research and Economics, 1994,

1995 Vošvrda, M.: Markovian Model of Unemployment. Bulletin of the Czech Econometric Society, 1995, no. 3, pp. 66-77,

1995 Vošvrda, M.: Statistical Analysis of Phillips Curve, Economic Efficiency and Microeconomic Rigidities, Economics Institute, Prague, 1994,

1995 Vošvrda, M.: The Czech Republic and Economic Transition in Eastern Europe. Efficiency of Transitional Economies. The Output-Inflation Tradeoff. Academic Press, Inc. N.Y., 1995, 434 pp.,

1994 Vošvrda, M.: A Measure of an Economic Efficiency, and its Applications, Praha, CERGE-EI, 1994, pp. 1-29,

1993 Vošvrda, M.: An Equilibrium in Price Attractor in Competitive Equilibrium Models, Central European Journal for Operation Research and Economics, 2, 1994, No. 1, pp. 8-22,

1993 Vošvrda, M.: Sladký, K.: The Speed of Adjustment and Robust Stability of Macroeconomics Systems. In: Bulletin of the Czech Econometric Society. 1996, no. 5, pp. 89-116.,

1992 Vošvrda, M.: Teoretická ekonomie. Scriptum, Praha, Carolinum, 1994, 204 pp.,

IES Working Papers

2010 Tail Behavior of the Central European Stock Markets during the Financial Crisis, IES Working Papers 4/2010

2007 Goodwin's Predator-Prey Model with Endogenous Technological Progress,

2006 Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents, IES WP 2006/10

2006 Wavelet Applications to Heterogeneous Agents Model, IES WP 2006/21

2005 Heterogeneous Agents Model with the Worst Out Algorithm, IES WP 2005/91

2005 Production, Capital Stock and Price Dynamics in a Simple Model of Closed Economy, IES WP 2005/93

2001 On Martingale Diffusions in Financial Markets, IES WP 2001/10

IES Occassional Papers

2002 Heterogenní model agentů s paměti a cenový vyvoj cenných papirů, IES Occassional Paper 1/2002

Články ve sborníku

2013 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, Proceedings to 31st International Conference on Mathematical Methods in Economics 2013, pp. 470-475 PDF (whole conference proceedings)

2012 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency with tools of statistical physics, Mathematical Methods in Economics 2012 Proceedings, pp. 496-501

2012 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency with tools of statistical physics, Proceedings to The International Conference on Econophysics, New Economy & Complexity 2012 PDF

2011 Ivanková, K. & Krištoufek, L. & Vošvrda, M.: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent, Mathematical Methods in Economics Proceedings (1), pp. 300-305

2008 Baruník J., Vosvrda M.: Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes, Quantitative Methods in Economics proceedings

2008 Baruník J., Vošvrda M.: Cusp Catastrophe Theory: Application to U.S. Stock, Mathematical Methods in Economics Proceedings

Ostatní

2014 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long- term memory, fractal dimension and approximate entropy, FinMaP Working Papers 18 PDF

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF